Performance Analysis of Applying Various Technical Analysis Strategies in Taiwan Index Future Market
| Autor: | Chi-Jung Tsai, 蔡啟榮 |
|---|---|
| Rok vydání: | 2009 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 97 This research applies eight technical indexes, including MA, MACD, BIAS, WMS%R, KD, RSI, CMO, and BOLL, to form various trading strategies on common-used parameters, common-used parameters plus stop-loss signal, and the optimized parameters trading signals. All these strategies are applied to trading on Taiwan Index Futures Market. Furthermore, based on above empirical studies, we selected three better technical indexes among them to design synthetic strategies, expecting to defeat the market. According to the empirical results, using common-used parameters is barely possible to beat the buy-and-hold trading strategy, and adding stop-loss signal is also hard to increase rewards. Adopting the optimized parameter in strategies is possible to surpass the stock market; However, it showed that the best optimization parameters for eight strategies during different periods are not stable and cannot find any migratory trend to follow. Sometimes, using the strategies inversely even can obtain better performance than using them normally. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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