There is a wide body of evidence demonstrating the existence of momentum not only in stocks, but across asset classes. There’s also evidence that moving-average indicators provide higher risk-adjusted stock returns in recessions.
On the other hand, while major data vendors, such as MarketWatch and Bloomberg, report daily on technical market indicators (for example, advance or decline lines, the volatility index and the Arms index), they have drawn little attention from the academic community.
Jiali Fang, Yafeng Qin and Ben Jacobsen, authors of the June 2014 study “Technical Market Indicators: An Overview,” examined the profitability of 93 market indicators from the Global Financial Data database.
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