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

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Listed:
  • Camillo Lento

    (Faculty of Business Administration, Lakehead University, 955 Oliver Road, Thunder Bay, ON P7B 5E1, Canada)

  • Nikola Gradojevic

    (Department of Economics and Finance, Lang School of Business and Economics, University of Guelph, 50 Stone Road East, Guelph, ON N1G 2W1, Canada)

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.

Suggested Citation

  • Camillo Lento & Nikola Gradojevic, 2022. "The Profitability of Technical Analysis during the COVID-19 Market Meltdown," JRFM, MDPI, vol. 15(5), pages 1-19, April.
    • Handle: RePEc:gam:jjrfmx:v:15:y:2022:i:5:p:192-:d:797810
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    References listed on IDEAS

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