Technical Analysis, Energy Cryptos and Energy Equity Markets

Simple item page
dc.contributor.authorGurrib, Ikhlaas
dc.date.accessioned2022-04-25T11:48:24Z
dc.date.available2022-04-25T11:48:24Z
dc.date.copyright© 2022
dc.date.issued2022-03-20
dc.description.abstractThis 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.en_US
dc.identifier.citationGurrib, 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.11015en_US
dc.identifier.issn21464553
dc.identifier.urihttps://doi.org/10.32479/ijeep.11015
dc.identifier.urihttp://hdl.handle.net/20.500.12519/553
dc.language.isoenen_US
dc.publisherEconjournalsen_US
dc.relationAuthors Affiliations : Gurrib, I., Canadian University Dubai, Faculty of Management, School of Graduate Studies, United Arab Emirates
dc.relation.ispartofseriesInternational Journal of Energy Economics and Policy;Volume 12, Issue 2
dc.rightsCreative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License
dc.rights.holderCopyright : © 2022, Econjournals. All rights reserved.
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subjectEnergy Marketsen_US
dc.subjectTechnical Analysisen_US
dc.subjectTrading Performanceen_US
dc.titleTechnical Analysis, Energy Cryptos and Energy Equity Marketsen_US
dc.typeArticleen_US

Files

Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
Access Instruction
Size:
5.35 MB
Format:
Adobe Portable Document Format
Description:
Download

Collections

Accounting & Finance