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Can exchange-traded funds be profitably traded with the trading range breakout technical trading rule?

Author

Listed:
  • Kok-Leong Yap

    (Faculty of Business and Economics, University of Malaya, Kuala Lumpur 50603, Malaysia)

  • Wee-Yeap Lau

    (Faculty of Business and Economics, University of Malaya, Kuala Lumpur 50603, Malaysia)

  • Izlin Ismail

    (Faculty of Business and Economics, University of Malaya, Kuala Lumpur 50603, Malaysia)

Abstract

This study investigates whether the trading range breakout technical trading rule can be applied in exchange-traded funds. Using the samples of crude oil exchange-traded funds, namely USO, USL, UCO, and DBO, that track West Texas intermediate (WTI), the results indicate that the trading range breakout technical trading rule outperforms the benchmark buy-and-hold strategy. In addition, a volatility-based trading range breakout technical trading rule is proposed to enhance trading performance. The results suggest that the proposed TGARCH-MA can be used as a technical trading rule to assist investors and fund managers interested in using the trading range breakout in exchange-traded funds.

Suggested Citation

  • Kok-Leong Yap & Wee-Yeap Lau & Izlin Ismail, 2022. "Can exchange-traded funds be profitably traded with the trading range breakout technical trading rule?," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 9(04), pages 1-21, December.
    • Handle: RePEc:wsi:ijfexx:v:09:y:2022:i:04:n:s242478632250027x
    DOI: 10.1142/S242478632250027X
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    Citations

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    Cited by:

    1. Day, Min-Yuh & Ni, Yensen, 2023. "Be greedy when others are fearful: Evidence from a two-decade assessment of the NDX 100 and S&P 500 indexes," International Review of Financial Analysis, Elsevier, vol. 90(C).

    More about this item

    Keywords

    Trading range breakout; GARCH; volatility; exchange-traded fund; West Texas intermediate;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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