Abstract
This study investigates whether the trading range breakout technical trading rule can be applied in exchange-traded funds. Using the samples of crude oil exchange-traded funds, namely USO, USL, UCO, and DBO, that track West Texas intermediate (WTI), the results indicate that the trading range breakout technical trading rule outperforms the benchmark buy-and-hold strategy. In addition, a volatility-based trading range breakout technical trading rule is proposed to enhance trading performance. The results suggest that the proposed TGARCH-MA can be used as a technical trading rule to assist investors and fund managers interested in using the trading range breakout in exchange-traded funds.
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