Comparison on the Performances of the Stop-Limit Mechanism By Applying Different Trading Strategies

• Main Authors: Yi-Chung, Huang, 黃怡中
• Other Authors: Yang-Cheng, Lu
• Format: Others
• Language: zh-TW
• Published: 2002
• Online Access: http://ndltd.ncl.edu.tw/handle/53187101614800029286

碩士 === 銘傳大學 === 金融研究所碩士在職專班 === 90 === Unlike the general methods used in the stock market to testify the Market Efficiency Hypothesis, this study attempts to evaluate the extent of efficiency of the derivatives market and its possibilities to create excessive profit margins. Our research emphasizes on the study of information obtained from the daily activities in the derivatives markets to the provisions of certain statistical indicators, in which we should examine the effectiveness of various applied trading strategies, and thus determines the impacts after the introduction of the stop-limit mechanism on performances. The selected indicators in this study include EMA (Exponential Moving Average Line), KD (Classical Stochastic Oscillator), MACD (Moving Average Convergence Divergence), RSI (Relative Strength Index), VEMA (Exponential Moving Line with Volume) and the particular BEMA, with the aid of the principles of the general market experience, our intention is to analyze the different outputs of performances derived when optimization of indicatory parameters is implied to circumstances accordingly. Obviously, the KD, RSI and the BEMA offer the best three excellent indicators after regressive experimentation of various combinations of 9 individual futures assets.