The Analysis of Breakout Trading System-Evidence from Constituent Stocks in Taiwan Top 50
| Autor: | Meng-Yu Chiang, 江孟育 |
|---|---|
| Rok vydání: | 2015 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 103 This study backtest two kinds of breakout trading systems- Trading Range Breakout and Keltner Channel- for constituent stocks in Taiwan top 50. The data period is from 2007/8/27 to 2015/2/4 with thirty-minute frequency. We detrend the data via selecting sub period. We defined five strategies with different structure and executed sensitivity analysis in terms of parameters of upper and lower boundary. 1. Upper boundary=the maximum close price within the latest 40 days Lower boundary= the minimum close price within the latest 20 days Signal occurs when the close price of thirty-minute candlestick breakout the range. 2. Upper boundary=the maximum high price within the latest 20 days Lower boundary= the minimum low price within the latest 40 days Signal occurs when the close price of thirty-minute candlestick breakout the range. 3. Upper boundary=the maximum high price within the latest 20 days Lower boundary= the minimum low price within the latest 40 days Signal occurs when the high price of thirty-minute candlestick breakout the range. 4. Upper boundary=20EMA+10ATR*2 Lower boundary=20EMA-10ATR*2 Signal occurs when the close price of thirty-minute candlestick breakout the range. 5. Upper boundary=20EMA+14ATR*2 Lower boundary=20EMA-14ATR*2 Signal occurs when the close price of thirty-minute candlestick breakout the range. We selected the best strategy to executed Monte-Carlo permutation simulation to check the quality of return among constituent stocks, and checked whether there exist a relationship between returns and volatility of prices. The appendix shows return patterns for stocks with negative total return and stocks which are remarkable under the execution of Monte-Carlo permutation simulation. The empirical findings are summarized as follows: 1. After adjusting parameters of upper and lower boundary, the performance of breakout trading systems we defined are well and statistically significant during research period. 2. The best strategy we found is: Upper boundary=the maximum high price within the latest 25 days Lower boundary= the minimum low price within the latest 40 days Signal occurs when the high price of thirty-minute candlestick breakout the range. Monte-Carlo permutation simulation demonstrates that there are six stocks with high quality of return when significant level is 5%, and nine stocks when significant level is 10% under the best strategy. 3. There is moderately positive correlation between returns and volatility of prices under the best strategy. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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