Alternative trading strategies to beat “buy-and-hold”

Hui, Eddie C.M.; Chan, Ka Kwan Kevin

doi:10.1016/j.physa.2019.04.036

Cited by 6 publications

(4 citation statements)

References 35 publications

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“…In addition to the ROI, other typical measures, such as the AR, SR, and JA, are also utilized to evaluate the performance of the Ichimoku-based strategy. Of available works evaluating the effectiveness of trading strategies, most used the Buy-and-hold method as a benchmark (Coe & Laosethakul, 2021 ; Hui & Chan, 2019 ; Zhang & Khushi, 2020 ). Therefore, we include the AR acquired using the Ichimoku-based strategy and the Buy-and-hold method, for further comparison.…”

Section: Methodsmentioning

confidence: 99%

Profitability of Ichimoku-Based Trading Rule in Vietnam Stock Market in the Context of the COVID-19 Outbreak

2022

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Ichimoku Kinkohyo or Ichimoku Cloud Chart is one of the most popular technical indicators used by traders all over the world. However, its profitability is heavily influenced by the market environment, to which it is applied. Furthermore, the COVID-19 outbreak may have an impact on the market environment as well as the performance of all technical indicators. This study is the first to look into the profitability of Ichimoku-based trading rules in the Vietnamese stock market in the context of the COVID-19 outbreak. More particularly, the COVID-19 outbreak has a positive influence on the performance of this strategy when considering the entire market as well as a variety of industries including real estate industry, food and beverage industry, resource industry, and automotive and electronic components industry. Compared to the pre-pandemic period, the return on investment obtained per each transaction using the Ichimoku-based strategy increased by roughly in the pandemic period. Compared to the Buy-and-hold method, the Ichimoku-based strategy could slightly increase Accumulated return while posing a lower risk. The findings indicate that the Ichimoku-based strategy is applicable to the Vietnam stock market, regardless of the adverse effects of the pandemic on the industries.

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Section: Methodsmentioning

confidence: 99%

Profitability of Ichimoku-Based Trading Rule in Vietnam Stock Market in the Context of the COVID-19 Outbreak

2022

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“…In addition to the ROI, other typical measures, such as the AR, SR, and JA, are also utilized to evaluate the performance of the Ichimoku-based strategy. Of available works evaluating the effectiveness of trading strategies, most used the Buy-and-hold method as a benchmark [10,22,50]. Therefore, we include the AR acquired using the Ichimoku-based strategy and the Buyand-hold method, for further comparison.…”

Section: Methodsmentioning

confidence: 99%

Profifitability of Ichimoku-based trading rule in Vietnam stock market in the context of the COVID-19 outbreak

Che‐Ngoc

Do-Thi

Nguyen‐Trang

2022

Preprint

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Ichimoku Kinkohyo or Ichimoku Cloud Chart is one of the most popular technical indicators used by traders all over the world. However, its profitability is heavily influenced by the market environment, to which it is applied. Furthermore, the COVID-19 outbreak may have an impact on the market environment as well as the performance of all technical indicators. This study is the first to look into the profitability of Ichimoku-based trading rules in the Vietnamese stock market in the context of the COVID-19 outbreak. More particularly, the COVID-19 outbreak has a positive influence on the performance of this strategy when considering the entire market as well as a variety of industries including real estate industry, food and beverage industry, resource industry, and automotive and electronic components industry. Compared to the pre-pandemic period, the return on investment obtained per each transaction using the Ichimoku-based strategy increased by roughly 8-9% in the pandemic period. Compared to the Buy-and-hold method, the Ichimoku-based strategy could slightly increase Accumulated return while posing a lower risk. The findings indicate that the Ichimoku-based strategy is applicable to the Vietnam stock market, regardless of the adverse effects of the pandemic on the industries.

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“…Regarding alternative strategies to the known buy-and-hold approach for stock investment, in ( [69]), the authors propose two new trading strategies to outperform the buy-and-hold approach, which is based on the efficient market hypothesis. The proposed strategies are based on a generalized time-dependent strategy proposed in ( [70]) but propose different timing for changing the buying/selling position.…”

Section: Exploiting Uptrends and Downtrends In Strategies For Stock I...mentioning

confidence: 99%

Stock Portfolio Management in the Presence of Downtrends Using Computational Intelligence

et al. 2022

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Stock portfolio management consists of defining how some investment resources should be allocated to a set of stocks. It is an important component in the functioning of modern societies throughout the world. However, it faces important theoretical and practical challenges. The contribution of this work is two-fold: first, to describe an approach that comprehensively addresses the main activities carried out by practitioners during portfolio management (price forecasting, stock selection and portfolio optimization) and, second, to consider uptrends and downtrends in prices. Both aspects are relevant for practitioners but, to the best of our knowledge, the literature does not have an approach addressing them together. We propose to do it by exploiting various computational intelligence techniques. The assessment of the proposal shows that further improvements to the procedure are obtained when considering downtrends and that the procedure allows obtaining portfolios with better returns than those produced by the considered benchmarks. These results indicate that practitioners should consider the proposed procedure as a complement to their current methodologies in managing stock portfolios.

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Alternative trading strategies to beat “buy-and-hold”

Cited by 6 publications

References 35 publications

Profitability of Ichimoku-Based Trading Rule in Vietnam Stock Market in the Context of the COVID-19 Outbreak

Profitability of Ichimoku-Based Trading Rule in Vietnam Stock Market in the Context of the COVID-19 Outbreak

Profifitability of Ichimoku-based trading rule in Vietnam stock market in the context of the COVID-19 outbreak

Stock Portfolio Management in the Presence of Downtrends Using Computational Intelligence

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