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Article

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

by
Camillo Lento
1,* and
Nikola Gradojevic
2
1
Faculty of Business Administration, Lakehead University, 955 Oliver Road, Thunder Bay, ON P7B 5E1, Canada
2
Department of Economics and Finance, Lang School of Business and Economics, University of Guelph, 50 Stone Road East, Guelph, ON N1G 2W1, Canada
*
Author to whom correspondence should be addressed.
J. Risk Financ. Manag. 2022, 15(5), 192; https://doi.org/10.3390/jrfm15050192
Submission received: 31 March 2022 / Revised: 14 April 2022 / Accepted: 17 April 2022 / Published: 20 April 2022
(This article belongs to the Section Financial Markets)
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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 technical analysis; technical trading; market efficiency; COVID-19

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MDPI and ACS Style

Lento, C.; Gradojevic, N. The Profitability of Technical Analysis during the COVID-19 Market Meltdown. J. Risk Financ. Manag. 2022, 15, 192. https://doi.org/10.3390/jrfm15050192

AMA Style

Lento C, Gradojevic N. The Profitability of Technical Analysis during the COVID-19 Market Meltdown. Journal of Risk and Financial Management. 2022; 15(5):192. https://doi.org/10.3390/jrfm15050192

Chicago/Turabian Style

Lento, Camillo, and Nikola Gradojevic. 2022. "The Profitability of Technical Analysis during the COVID-19 Market Meltdown" Journal of Risk and Financial Management 15, no. 5: 192. https://doi.org/10.3390/jrfm15050192

APA Style

Lento, C., & Gradojevic, N. (2022). The Profitability of Technical Analysis during the COVID-19 Market Meltdown. Journal of Risk and Financial Management, 15(5), 192. https://doi.org/10.3390/jrfm15050192

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