Can the Leading Us Energy Stock Prices Be Predicted Using Ichimoku Clouds?

Gurrib, Ikhlaas; Kamalov, Firuz; Elshareif, Elgilani Eltahir

doi:10.2139/ssrn.3520582

Cited by 2 publications

(3 citation statements)

References 43 publications

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“…Although the Sharpe ratio considers the total risk of the portfolio, negative values are difficult to interpret. Generally, the Sharp and Sortino ratios are used as alternative performance measures which capture downside risk (Gurrib et al , 2021; Chaudhry and Johnson, 2008). Selected portfolios in our study (diversified and undiversified) were characterized by the non-normal distribution of returns.…”

Section: Methodsmentioning

confidence: 99%

“…Despite the growing interest in cryptocurrencies, studies on the diversification benefits that they may provide are still limited. The study by Gurrib et al (2020) analyzed the impact that blockchain cryptocurrencies have on the energy companies listed on the S&P composite 1500 energy index. Results under Markowitz and Markowitz Cornish Fisher's adjusted risk model show that the inclusion of cryptocurrencies does not significantly improve the efficient portfolio frontier.…”

Section: Introductionmentioning

confidence: 99%

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Analysis of diversification benefits for cryptocurrency portfolios before and during the COVID-19 pandemic

Aliu

Bajra

Preniqi

2021

SEF

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Purpose This study aims to investigate the diversification benefits attached to the crypto portfolios when combined with stocks, Forex instruments and commodity assets. Design/methodology/approach Markowitz diversification techniques have been used to analyze the risk-return tradeoffs of the individual portfolios. Daily prices on cryptocurrencies and the selected asset classes, cover the period before and during the pandemic COVID-19. The portfolio risk of the portfolios was calculated by identical techniques and analyzed with equal criteria. Findings The results with 270 trails indicate that stocks on average reduce the portfolio risk of crypto portfolios by 36% followed by fiat currency with 30.9% and commodities by 20.8%. Average daily returns stand in line with the standard portfolio theories where riskier portfolios offer higher returns and the other way around. Originality/value The authors contribute to the current literature by investigating the portfolio risk attached to the crypto portfolios when stocks, commodities and Forex instruments were added separately. To this end, results inform not only retail investors but also portfolio managers on the asset classes that generate better optimization for crypto portfolios.

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Section: Methodsmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Analysis of diversification benefits for cryptocurrency portfolios before and during the COVID-19 pandemic

Aliu

Bajra

Preniqi

2021

SEF

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“…The results showed that the strategies could work well in both markets. In [11], the authors studied the performance of Ichimoku Cloud in the leading US Energy Stocks market. The results showed the rationality of the method when buying/selling during strong bull/bearish periods.…”

Section: Introductionmentioning

confidence: 99%

Profitability 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 applied to the four industries consisting of real estate industry, food and beverage industry, resource industry, and automotive and electronic components industry. The obtained results demonstrate that the Ichimoku-based strategy can be considered a suitable method for applying Vietnam stock market, indeed no matter if there would be adverse effects of the pandemic on the industries or not.

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Can the Leading Us Energy Stock Prices Be Predicted Using Ichimoku Clouds?

Cited by 2 publications

References 43 publications

Analysis of diversification benefits for cryptocurrency portfolios before and during the COVID-19 pandemic

Analysis of diversification benefits for cryptocurrency portfolios before and during the COVID-19 pandemic

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

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