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An Analyze on Effectiveness of Candlestick Reversal Patterns for Vietnamese

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 An Analyze on Effectiveness of Candlestick Reversal
Patterns for Vietnamese Stock Market
Ngo Tung Son Le Van Thanh Tran Quy Ban
ICT Department, FPT University, ICT Department, FPT University, ICT Department, FPT University,
Hanoi, Vietnam Hanoi, Vietnam Hanoi, Vietnam
Sonnt69@fe.edu.vn Thanhlvse04819@fe.edu.vn Bantq3@fpt.edu.vn

Duong Xuan Hoa Bui Ngoc Anh

ICT Department, FPT University, ICT Department, FPT University,
Hanoi, Vietnam Hanoi, Vietnam
hoadxse04730@fpt.edu.vn Anhbn5@fe.edu.vn

ABSTRACT Similarly, the HNX-Index rose 13.35% to 132.46, UPCoM up

The Japanese candlestick model is a common technical analysis
used to understand the behavior and predict the trend in the
financial market. There are many studies have been conducted to
assess the effectiveness of candlestick patterns in different markets.
This paper describes an empirical research to examine the
predictability and profitability of the candlestick reversal patterns
analysis on the Vietnamese stock market over the period from Jan
2, 2013, to May 15, 2018. The purpose is to determine whether
candlesticks patterns can be used to achieve significant gains or to
predict future price trends. We apply the use of Pivot Simple
Moving Average to indicate the reversal signals of the market and
compute the profit. Our results show the tested reversal
candlesticks do not demonstrate the ability to predict the market
trend and generated profitability is low on the stock market in
Vietnam. The main contribution of this paper is a statistical
analysis of the effectiveness of candlestick patterns as predictors of
the behavior of those stocks.
CCS Concepts
• Information systems → Data analytics
Keywords
Vietnamese Stock Market, Technical Analysis, Candlestick, Trend
Prediction, Profitability.
10.5% [1]. The goal of investors is always to gain maximum profit
on their investments. There are two approaches they commonly use
[2]: the fundamental analysis (FA) approach which focuses on all
publicly available information and the technical analysis (TA)
approach which based on an investigation of historical information.
Elton et al pointed out that the effectiveness of each approach type
depends on the type of market [3]. Candlestick is one of the very
famous models in TA. It uses the open, high, low and closing
(denoted by OHLC) values for each time period you want to display
[4]. The hollow or colored portion of the candlestick is called the
body. The shadow represented by long thin lines above and below
the body. It describes the high/low range of the prices. Figure 1
represents high, low, open, and close prices of each displayed time
period. The candlestick patterns can be classified into two classes:
continuation and reversal patterns. Continuation patterns indicate
that the current trend will continue, while reversal patterns indicate
that the current trend will reverse [5]. Reversal patterns are bullish
or bearish, the bearish patterns are inverses of the bullish patterns
and vice versa.
Upper shadow  High Upper shadow  High
Open Close

1. INTRODUCTION
In developed countries such as the United States, Europe and Japan,
investment activity has grown exponentially and consisted of large
financial institutions and individual investors with abundant funds.
In recent years in Vietnam, the demand for personal investment has
increased sharply as financial markets have begun to grow and
develop. The stock market, derivatives ... gradually becomes an
attractive investment. According to Vietnam State Securities
Commission, the stock market capitalization in Vietnam reached
over $ 183 billion, accounting for 82% of GDP. The VN Index
ended the first quarter of 2017 reached 1,174.46, up 19.33%
compared to the end of 2017 and led the world in terms of growth.
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Conference’10, Month 1–2, 2010, City, State, Country.
Copyright 2010 ACM 1-58113-000-0/00/0010 …$15.00.
DOI: http://dx.doi.org/10.1145/12345.67890
Body  Body 
Close Open
Lower shadow  Low Lower shadow  Low
Figure 1 Formation of Candlestick
2. RELATED WORKS
In the past, many researchers were conducted to evaluate the
predictive power of candlestick patterns in different stock
markets. There are both positive and negative conclusions about
the candlestick model. Several researchers believe that
candlestick patterns do not bring value to investors in the stock
market: Marshall et al (2006) [6] examined the profitability of the
candlestick patterns. In their study, they used price data from 35
stocks in the Dow Jones Industrial Average (DJIA) for the period
from 1992 to 2001. They found that candlestick patterns had no
financial or financial value for the investors. Goo et al tested the
performance of candlestick patterns on the Taiwan stock market
from 1997 to 2006. They found that the best performing candle
pattern in three to four days hold while the bullish pattern works
best during a 9-10 day period [7]. Marshall et al (2008) [8] again
examined the predictive power and profitability of candlesticks
for a 10-day holding period. The tests were conducted using the
largest 100 stocks on the Tokyo Stock Exchange between 1975
and 2002 by the same technique they have done in 2006. Finally,
they concluded that the candlesticks had no predictive power as
well as any profit on the Japanese stock market. Horton studied
the profitability of eight candlestick patterns on 349 stocks,
comparing their gains with buy and hold strategies. He concluded
that the Stars, Crows, and Dojis candlestick models were not
profitable [9]. Max Jönsson tested the predictive power of the
candlestick pattern on the Swedish stock market between 2007
and 2015 for his bachelor thesis [10]. He pointed out that
candlestick analysis was not of value for profit to investors on the
Swedish stock market.
The above studies supported Morris's view when he said: "market
psychology cannot be measured by statistics" [5]. On the other
hand, many studies have shown that candlesticks yield certain
values: Hércules et al evaluated 16 patterns on 10 component
stocks of Bovespa. The data collected over 5 years from 2005 to
2009 in Brazil, 9 patterns can be considered relatively regular
because they occur at frequencies higher than 1% [11]. Lu et al
(2015) use 26 (after pre-processing) stocks of the DJIA index for
the period from January 2, 1992 to December 31, 2012. To
explore the predictive and lucrative potential of eight three-day
reversal patterns. They show that the type of holding plays a
major role in the effectiveness of candlestick trading strategies.
Especially candlestick trading strategies can create better value
for investors on riskier assets [12]. Lu et al (2016) analyze the 1-
day candlestick pattern using data from 30 component stocks of
the DJIA, with some patterns still proving profitable especially
since 1992 [13]. F. Martinsson and I. Liljeqvist [14] tested both
the Swedish OMXS30 market and the UK FTSE100 market using
10 candlestick patterns. They performed an analysis on the effects
of Relative Strength Index (RSI) and stop loss configurations on
a trading algorithm based on candlestick patterns. Their result
shows that different RSI and stop loss configurations has a
substantial impact on the performance of a trading algorithm
based on candlestick patterns. This information shows that the
effectiveness of the candlestick pattern depends very much on the
Figure 2: 10 tested Candlestick Patterns. Images from www.OnlinetradingConcepts.com
particular market and the combination with other techniques. In
many cases, the holding strategies also play very important roles in
bringing profit to the investors.
3. EXPERIMENTAL DESIGN
This study employs a daily sample from 9 components stocks of
HOSE index for the period from January 2, 2013 to March 15,
2018 (downloaded from cophieu68.vn [15]): CTG (Vietinbank),
GAS (Petro Vietnam), HPG (Hoa Phat Group), MSN (Masan
Group Corporation), VCB (Bank for Foreign Trade of Vietnam),
VIC (Vingroup), VNM (VietNam Dairy Products), FPT (FPT
Corporation), and HAP (Hapaco Corporation). The 10 tested
candlesticks patterns are defined in Figure 2. The uptrend and
downtrend are defined in the section 3.1 and profit of each
candlestick are calculated based on equation in the section 3.2. We
first evaluate the predictive power of all bullish and bearish
patterns, and then calculate the return of each candlestick on
different holding period.
3.1 Trend Definition
Many researches have used Moving Average (MA) to identify the
trend of finance market. Lu et al used the five-day simple moving
average (SMA) to define trend of tested candlestick patterns [12,
13]. In this study, we apply five-day pivot-based MA described by
Occhoa [16]. The pivot point is derived by taking the average of the
high, low, and close prices of a period of candle: 𝑝𝑡 = (H𝑡 + L𝑡 +
C𝑡 ) / 3
Where 𝑝𝑡 is pivot point value, H𝑡 L𝑡 and C𝑡 are respectively High
price, Low price and Closing price of day 𝑡 𝑡ℎ . The five-day moving
is given by:
4
1
𝑀𝐴𝑡 = ∑ 𝑝𝑡−𝑖
5
𝑖=0
Declare 𝑚𝑡,𝑡−𝑖 is a binary variable to mark if 2 consecutive days is
bullish. Where:
1 if 𝑀𝐴𝑡 > 𝑀𝐴𝑡−𝑖
𝑚𝑡,𝑡−𝑖 = {
0 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
The uptrend is identified if the MA is increasing consecutively for
at least five of the past six days. However, we will relax this
condition by requiring only 4/5 times of accuracy:
4
∑ 𝑚𝑡−𝑖,𝑡−𝑖−1 ≥ 4
𝑖=0
Similarly, the downtrend is identified as:
4 accuracy.
∑ 𝑚𝑡−𝑖−1,𝑡−𝑖 ≥ 4
𝑖=0
We then perform a 2 tailed t-test to evaluate if a candlestick is a
statistically significant trend reverser with:
Null hypothesis: 𝐻0 : 𝑝𝑐 − 𝑝 = 0
Alternative hypothesis: 𝐻1 : 𝑝𝑐 − 𝑝 ≠ 0
Where 𝑝 is the overall probability of a downtrend / uptrend being
reversed. 𝑝𝑐 denotes the probability of trend reversal success on
each pattern 𝑐 𝑡ℎ .
3.2 Profit Calculation
The profits are calculated with the following assumptions: buy with
the ‘open’ price after the pattern appears, and sell with the ‘close’
price of the last day of holding period.
C𝑡+𝑛 −𝑂𝑡+1 C𝑡+𝑛 −𝑂𝑡+1
𝑓𝑢𝑝𝑡𝑟𝑒𝑛𝑑 and 𝑓𝑑𝑜𝑤𝑛𝑡𝑟𝑒𝑛𝑑 = −
𝑂𝑡+1 𝑂𝑡+1
Where 𝑡 denotes the day that tested pattern occur. 𝑛 denotes the
number of days in the holding period. C𝑡+𝑛 represents the closing
price at day 𝑡 + 𝑛. 𝑂𝑡+1 is the opening price at day 𝑡 + 1. Nison
suggested that candlestick model is useful for short-term trading
[4]. We assess the profit for holding 1 to 10 days after patterns
appear. The average rates of return are tested by a 1 tailed t-tested
for significance after the calculation of the mean rate of return on
each pattern during each of the holding periods.
Null hypothesis: 𝐻0 : 𝑟𝑖𝑗 = 0
Alternative hypothesis: 𝐻1 : 𝑟𝑖𝑗 > 0
Where 𝑟𝑖𝑗 is represents the mean rate of return for each holding
period 𝑖𝑡ℎ and candlestick pattern 𝑗𝑡ℎ .
We don’t take into account transaction cost in this study, because it
will distract the main focus which is finding a profitable trading
strategy. Moreover, transaction costs are not the same across the
world, so that many addition constraints will have to be properly
considered to adopt for the study.
4. RESULTS
Our analysis begins with an examination of the accurate reversal
signals that 10 candlestick patterns have generated overall 9 stocks,
for both bullish and bearish patterns. Figure 3 illustrates the rate of
reversal over the entire stock market of Vietnam during selected
period for the experiment. For the 607 bullish candlesticks detected
on downtrend, there are 310 times the trend followed by are
successfully reversed. Figure 4 shows the frequency of the
particular patterns. The average prediction accuracy of bullish
candlestick patterns is 51.1%. The similar result happened for
bearish patterns: with 311 times accurate predictions over 701
times detected, bearish candlesticks patterns have 44.4% prediction
49%
56%
Fail
Correct
51%
44%
Bullish Bearish
Figure 3: Rate of reversal over the entire stock market of
Vietnam during selected period for experiment.
We then evaluated the reversal power of individual patterns. The
statistical test results are presented in Table 1 and Figure 5
visualizes the comparison of the rates of success and failure
predictions of the patterns. With the 5% significant level, none of
the candlestick patterns is a statistically significant trend reversal
predictor. The Bearish Engulfing is the most common pattern, with
91 times successful predict trend reversal over 205 times occurs, it-
-has a success rate of 44.39% and p-value of 74%, not a statistical
significant predictor. Piercing is the rarest pattern being only
identified 45 times, however it’s the second most accurate patterns
with success rate of 53.33% and p-value is 68%. The Bullish
Engulfing, identified 177 times with accuracy of 53.67%, is not
only one of the most common patterns, but also the most accurate
patterns with success rate of 53.67%. Therefore it has the lowest p-
value of 37%, still well above the critical 5% significance level.
This part of the section shows the result of profitability examination
of each candlestick patterns with holding periods from one to ten
days.
The average returns are calculated for all 9 stocks are tested
whether they are significantly higher than 0 or not. Table 2 shows
the statistical test result for profitability on the holding periods. We
can observe that the Bullish Engulfing, Bullish Harami, Piercing
for some particular holding periods are statistically significant,
especially during the 4, 5 to 10 day holding period. Meanwhile,
other patterns such as Hammer, Inverted Hammer, and Dark Cloud
Cover... are not significant difference.

Table 1: The statistical test result for predictive power of experimented Candlestick patterns
Patterns Success Reverse Frequency Prediction Rate t-value p-value
Bullish Engulfing 95 177 53,67% 0,90 0,37
Bullish Harami 90 170 52,94% 0,73 0,46
Hammer 46 97 47,42% -0,22 0,82
Inverted Hammer 55 118 46,61% -0,37 0,72
Piercing 24 45 53,33% 0,42 0,68
Bearish Engulfing 91 205 44,39% -0,34 0,74
Bearish Harami 82 194 42,27% -0,71 0,48
Dark Cloud Cover 24 56 42,86% -0,32 0,75
Hanging Man 47 98 47,96% 0,25 0,80
Shooting Star 67 148 45,27% -0,14 0,89
 Table 2: The statistical test result for profitability on the holding periods
Holding dayth
Patterns Statistic Factors 1 2 3 4 5 6 7 8 9 10
Bullish Engulfing Mean 0.001 0.002 0.004 0.006 0.008 0.010 0.008 0.009 0.009 0.010
T-score 0.517 0.801 1.473 1.774 2.504 2.693 2.161 2.214 2.040 2.167
p-value 0.303 0.212 0.071 0.039 0.007 0.004 0.016 0.014 0.021 0.016
Bullish Harami Mean 0.002 0.005 0.005 0.003 0.002 0.007 0.008 0.009 0.012 0.012
T-score 0.766 1.726 1.552 0.732 0.523 1.663 1.783 1.993 2.630 2.551
p-value 0.222 0.043 0.061 0.232 0.301 0.049 0.038 0.024 0.005 0.006
Hammer Mean -0.002 0.001 0.001 0.003 0.004 0.002 0.003 0.002 0.002 0.004
T-score -1.040 0.201 0.184 0.667 1.129 0.526 0.696 0.314 0.456 0.666
p-value 0.849 0.421 0.427 0.253 0.131 0.300 0.244 0.377 0.325 0.253
Inverted Hammer Mean 0.000 0.001 0.002 0.004 0.005 0.004 0.003 0.001 0.001 0.002
T-score -0.011 0.348 0.525 0.983 0.958 0.867 0.612 0.210 0.123 0.336
p-value 0.505 0.364 0.300 0.164 0.170 0.194 0.271 0.417 0.451 0.369
Piercing Mean 0.003 0.004 0.008 0.010 0.016 0.020 0.020 0.021 0.019 0.019
T-score 1.014 1.010 1.389 1.775 2.528 2.835 2.917 2.752 2.523 2.134
p-value 0.158 0.159 0.086 0.041 0.008 0.003 0.003 0.004 0.008 0.019
Bearish Engulfing Mean -0.001 -0.003 -0.003 -0.006 -0.007 -0.007 -0.009 -0.013 -0.014 -0.012
T-score -0.412 -1.373 -1.055 -2.134 -1.978 -2.099 -2.321 -3.127 -3.276 -2.594
p-value 0.660 0.914 0.854 0.983 0.975 0.981 0.989 0.999 0.999 0.995
Bearish Harami Mean -0.001 -0.003 -0.006 -0.010 -0.011 -0.015 -0.017 -0.020 -0.021 -0.024
T-score -0.396 -1.355 -2.006 -2.759 -2.869 -3.566 -3.941 -4.534 -4.388 -4.773
p-value 0.654 0.912 0.977 0.997 0.998 1.000 1.000 1.000 1.000 1.000
Dark Cloud Cover Mean -0.002 -0.006 -0.004 -0.006 -0.005 -0.002 -0.007 -0.012 -0.008 -0.005
T-score -0.794 -1.633 -0.874 -1.326 -0.842 -0.363 -0.881 -1.463 -1.035 -0.553
p-value 0.785 0.946 0.807 0.905 0.798 0.641 0.809 0.925 0.847 0.709
Hanging Man Mean -0.003 -0.003 -0.005 -0.009 -0.013 -0.013 -0.013 -0.016 -0.018 -0.020
T-score -1.095 -1.001 -1.138 -1.797 -2.543 -2.624 -2.367 -2.681 -2.745 -2.965
p-value 0.862 0.840 0.871 0.962 0.994 0.995 0.990 0.996 0.996 0.998
Shooting Star Mean -0.003 -0.006 -0.007 -0.008 -0.013 -0.013 -0.014 -0.012 -0.015 -0.016
T-score -1.280 -2.363 -2.734 -2.733 -3.618 -2.986 -2.989 -2.755 -3.130 -3.141
p-value 0.899 0.990 0.996 0.996 1.000 0.998 0.998 0.997 0.999 0.999

Taking pivot-SMA(5) trend into account, 3/5 bullish patterns prove

that they are profitable for the periods of 6 to 10 days. The Bullish
Shooting Star
Engulfing and Piercing models are even continuity lucrative in their
Hanging Man
4 to 10 day holding periods. Especially, Piercing is the most
Dark Cloud Cover
profitable when giving highest pattern ~ 2% after 6 holding days.
Bearish Harami
Bearish Engulfing This is quite similar to Max [10] when Piercing is also proved to be
Piercing most profitable. The results also illustrate that the holding strategies
Inverted Hammer based on the Bearish Patterns such as Shooting Star, Hanging Man,
Hammer Bearish Harami and Bearish Engulfing do not bring any profit.
Bullish Harami
Bullish Engulfing
5. CONCLUSION
This study is one of the earliest assessments of the candlestick
0 50 100 150 200 250 model performance on the Vietnamese stock market. The previous
Frequency studies on other stock markets have shown that the effectiveness of
a candlesticks models depends very much on the particular market.
The purpose of this research is to examine whether candlestick
Figure 4: Frequency of occurrences of the patterns patterns can predict future trend and to determine whether they can
be used to achieve profit in short-term. There are 2 separate statistic
Shooting Star tests performed. The results from the first test determining the null
Hanging Man hypothesis stating that candlestick has no predictive power, cannot
Dark Cloud Cover be rejected. There is none of the 10 candlestick patterns has
fail predictive power when using on Vietnamese stock data. This test
Bearish Harami
Bearish Engulfing success result is similar to previous studies in different markets [6, 7, 8, 9,
10, and 12]. The second test is designed to determine if a trading
Piercing
strategy based on candlestick patterns can produce holding period
Inverted Hammer
returns, which are significantly greater than zero. The results show
Hammer that the bullish patterns basically produce higher returns than the
Bullish Harami bearish ones. This finding agrees with Lu (2015) [12]. The period
Bullish Engulfing of holding from 5-th to 10-th day shows the profitability (although
0.00% 50.00% 100.00% small). The result of the research can contribute to the investor's
decision-making process as well as existing researches on technical
Figure 5: Prediction Rate on individual patterns analysis.
This study is limited to the profit calculation is based on buying and Department of Economics NEKH01, Bachelor Thesis, Spring
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shortcomings that pivot-SMA (5) can bring. For example in the past 172–183. doi:10.1016/j.jbankfin.2015.09.009
Lu et al used MA (3) [12, 13] or F. Martinson et al [14] applied RSI
as the indicator of market trends. Another work is to test candlestick [13] Tsung-Hsun Lu & Yung-Ming Shiu (2016): Can 1-day
patterns in conjunction with other technical methods such as Fuzzy candlestick patterns be profitable on the 30 component stocks
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10.1080/00036846.2015.1137553
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