 Be greedy when others are fearful: Evidence from a two-decade assessment of the NDX 100 and S&P 500 indexesMin-Yuh Day and Yensen Ni International Review of Financial Analysis, 2023, vol. 90, issue C Abstract: This study explores the profitability of trading range breakout (TRB) trading rules and commonly used moving average (MA) trading rules in the NDX 100 and S&P 500 indices. Its objective is to offer practical insights for investors who own QQQ and SPY, two popular ETFs that track these two indices. Using big data analytics, the study reveals that investors who trade and hold these two ETFs can potentially profit from using TRB instead of MA trading rules. Unexpectedly as opposed to buying signals from TRB trading rules or momentum MA trading rules, investors may obtain much higher returns by purchasing these ETFs (i.e., QQQ and SPY) as selling signals emitted by TRB rules, particularly by buying these ETFs as stock prices break below 150-day low and 200-day low, a situation in which many investors may experience panic due to the continuously falling share price. As such, we argue that our findings may suggest that being greedy when others are fearful (i.e., the Warren Buffett quote) is of significance to this study. Keywords: Profitability; TRB trading rule; Momentum strategies; Contrarian strategies; Index ETFs; Average holding period return (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:90:y:2023:i:c:s1057521923003721 DOI: 10.1016/j.irfa.2023.102856 Access Statistics for this article International Review of Financial Analysis is currently edited by B.M. Lucey More articles in International Review of Financial Analysis from Elsevier |
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