The profitability of technical analysis during the COVID-19 market meltdown

Camillo Lento and Nikola Gradojevic

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.

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Year of publication:	2022
Authors:	Lento, Camillo ; Gradojevic, Nikola
Published in:	Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 15.2022, 5, Art.-No. 192, p. 1-19
Subject:	COVID-19 \| market efficiency \| technical analysis \| technical trading \| Finanzanalyse \| Financial analysis \| Coronavirus \| Effizienzmarkthypothese \| Efficient market hypothesis

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.3390/jrfm15050192 [DOI] hdl:10419/274714 [Handle]
Source:	ECONIS - Online Catalogue of the ZBW

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