Technical Analysis, Energy Cryptos and Energy Equity Markets

Date
2022-03-20
Authors
Gurrib, Ikhlaas
Journal Title
Journal ISSN
Volume Title
Publisher
Econjournals
Abstract
This paper principally assesses the use of technical trading strategies in forecasting both leading US energy equity prices and cryptos. Specifically, both Fibonacci and crossover strategies are integrated in a trading system. Both Sharpe and Sharpe per trade are used as performance measures, including benchmarking our model with the traditional buy-and-hold model. Leading market-capitalized weighted energy stocks from the S&P Composite 1500 Energy Index are used, with daily energy equity prices over the period 2017-2020. Findings suggest that the widely used Fibonacci tool tracks price movements of energy stocks better than for energy cryptocurrencies. Moreover, the technical analysis indicator tends to capture falling prices during bullish episodes better than rising prices during bearish ones. Although a Fibonacci coupled with a crossover strategy results in a superior model than the buy-and-hold, performance measures including Sharpe values were low, suggesting more factors such as macroeconomic variables can be included to enhance the model performance. © 2022, Econjournals. All rights reserved.
Description
This article is not available at CUD collection. The version of scholarly record of this paper is published in International Journal of Energy Economics and Policy (2022), available online at: https://doi.org/10.32479/ijeep.11015
Keywords
Energy Markets, Technical Analysis, Trading Performance
Citation
Gurrib, I. (2022). Technical analysis, energy cryptos and energy equity markets. International Journal of Energy Economics and Policy, 12(2), 249-267. https://doi.org/10.32479/ijeep.11015