The Profitability of Technical Analysis during the COVID-19 Market Meltdown

Camillo Lento and Nikola Gradojevic

JRFM, 2022, vol. 15, issue 5, 1-19

Abstract: This article explores the profitability of technical trading rules around the COVID-19 pandemic market meltdown for the S&P 500 index, Bitcoin, Comex gold spot, crude oil WTI, and the VIX. Trading rule profits are estimated from January to May 2020, including three sub-periods, on a high-frequency data set. The results reveal that the trading rules can beat the buy-and-hold trading strategy. However, only the Bollinger Bands and trading range break-out rules become profitable after transaction costs during the market crash. Moreover, it is found that composite trading signals effectively improve the profitability of technical analysis around the COVID-19 market crash.

Keywords: technical analysis; technical trading; market efficiency; COVID-19 (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.mdpi.com/1911-8074/15/5/192/pdf (application/pdf)
https://www.mdpi.com/1911-8074/15/5/192/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jjrfmx:v:15:y:2022:i:5:p:192-:d:797810

Access Statistics for this article

JRFM is currently edited by Ms. Chelthy Cheng

More articles in JRFM from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().