 The profitability of Ichimoku Kinkohyo based trading rules in stock markets and FX marketsShangkun Deng, Haoran Yu, Chenyang Wei, Tianxiang Yang and Shimada Tatsuro International Journal of Finance & Economics, 2021, vol. 26, issue 4, 5321-5336 Abstract: This paper examines the profitability of trading rules based on a Japanese technical analysis method called Ichimoku Kinkohyo. First, the trading strategies based on several entry and exit strategies of Ichimoku Kinkohyo charting were designed. Then, we investigated their profitability on four stock indices of the world's famous stock exchanges over 1995 to 2018, and on four important currency pairs over 2003 to 2018. By using the default parameter setting (9, 26, 52) of Ichimoku Kinkohyo, we found that although several profitable trading strategies were obtained for stock index trading and currency trading during the Subperiod 1, experimental results in the Subperiod 2 revealed that they failed to create values consistently. Finally, evidence from parameter sweep showed that several Ichimoku trading strategies may well prove to be profitable on stock index trading, but none was found for currency trading. Date: 2021 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:wly:ijfiec:v:26:y:2021:i:4:p:5321-5336 Ordering information: This journal article can be ordered from Access Statistics for this article International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd. |
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