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

29 Pages Posted: 8 Mar 2020

Date Written: January 16, 2020

Abstract

The aim of this study is to investigate Ichimoku Clouds, as a technical analysis indicator, can serve to better predict stock prices of leading US energy companies. The methodology centers on the application of the Ichimoku clouds as a trading system. Daily stock prices from the top ten constituents of the S&P Composite 1500 Energy Index are sourced, spanning from 12th April 2012 to 31st July 2019. The performance of the Ichimoku Cloud is captured using both the Sharpe and Sortino performance measures, to adjust both for total risk and downside risk. To account for the drop in energy stock prices during the July 2014- December 2015, the analysis is broken down into pre and post oil crisis. The model is also benchmarked against the naïve buy-and-hold strategy. The capacity of the Ichimoku indicator to provide signals during strengthening trends is also captured. Despite energy stock prices drop, number of trades continued to increase, with profits opportunities. PSX ranked first, with the highest Sharpe, Sortino, and Sharpe per number of trade. While various buying signals took place during strengthening bullish periods, various selling signals also unexpectedly happened during similar strengthening bullish trends. Most buying and selling signals under the Ichimoku indicator occurred during no strengthening of bullish or bearish trends. Overall findings suggest, speculators can benefit from the use of Ichimoku Clouds over energy stock price movements, and are not susceptible to changes in energy prices.

Keywords: Energy stocks, Price Forecasts, Ichimoku Clouds, Performance

JEL Classification: Q40, G15, G17

Suggested Citation

Gurrib, Ikhlaas, Can the Leading Us Energy Stock Prices Be Predicted Using Ichimoku Clouds? (January 16, 2020). Available at SSRN: https://ssrn.com/abstract=3520582 or http://dx.doi.org/10.2139/ssrn.3520582

Ikhlaas Gurrib (Contact Author)

Canadian University Dubai ( email )

School of Graduate Studies
Sheikh Zayed Road
Dubai, 117781
United Arab Emirates

HOME PAGE: http://www.cud.ac.ae

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