Automatic identification and evaluation of Fibonacci retracements: Empirical evidence from three equity markets

作者：

Highlights：

• We propose an algorithmic scheme for the identification of Fibonacci retracements.

• Fibonacci Retracements are evaluated by constructing zones around their levels.

• Results show positive relationship between zones and probability of price bounces.

• Price behavior on Fibonacci and non-Fibonacci zones did not differ statistically.

摘要

•We propose an algorithmic scheme for the identification of Fibonacci retracements.•Fibonacci Retracements are evaluated by constructing zones around their levels.•Results show positive relationship between zones and probability of price bounces.•Price behavior on Fibonacci and non-Fibonacci zones did not differ statistically.

论文关键词：Fibonacci retracements,Technical analysis,Support and resistance levels

论文评审过程：Received 19 March 2021, Revised 13 June 2021, Accepted 6 September 2021, Available online 20 September 2021, Version of Record 28 September 2021.

论文官网地址：https://doi.org/10.1016/j.eswa.2021.115893