Performance on different tradingstrategy based on moving average in Taiwan Stock market
碩士 === 逢甲大學 === 財務金融學所 === 92 === Abstract In Taiwan’s stock market, majority of the investors are liquidity traders. Among them, many form trading strategies and trying to earn a windfall profit. With speculation as their main objective, speculators often time the market with various trading ind...
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ndltd-TW-092FCU053040172019-05-15T19:37:50Z http://ndltd.ncl.edu.tw/handle/6uwd7b Performance on different tradingstrategy based on moving average in Taiwan Stock market 以移動平均線及突破比率為指標在不同交易策略下之報酬 Sheng-Fei Liang 梁勝斐 碩士 逢甲大學 財務金融學所 92 Abstract In Taiwan’s stock market, majority of the investors are liquidity traders. Among them, many form trading strategies and trying to earn a windfall profit. With speculation as their main objective, speculators often time the market with various trading indicators and market information. The objective of this study is to develop technical trading strategies in order to explore the excess return opportunities. We apply the moving average technique and the breakout ratio on 162 publicly traded stock in the Taiwan Stock Market over the period from January 1999 to December 2003. By varying moving average window and buy-and-sell timing, a total of 261 trading strategies are formed and compared to the simple buy-and-hold strategy. Out of the 261 trading strategies, 48 strategies significantly outperform the buy-and-hold strategy. In particular, buy when price rises above the 22-day moving average and sell when price falls below the 22-day moving average by more than three percent is considered to be the trading strategy that can best forecast the future price movements. Wen-Yi Lin 林問一 2004 學位論文 ; thesis 76 zh-TW |
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碩士 === 逢甲大學 === 財務金融學所 === 92 === Abstract
In Taiwan’s stock market, majority of the investors are liquidity traders. Among them, many form trading strategies and trying to earn a windfall profit. With speculation as their main objective, speculators often time the market with various trading indicators and market information. The objective of this study is to develop technical trading strategies in order to explore the excess return opportunities.
We apply the moving average technique and the breakout ratio on 162 publicly traded stock in the Taiwan Stock Market over the period from January 1999 to December 2003. By varying moving average window and buy-and-sell timing, a total of 261 trading strategies are formed and compared to the simple buy-and-hold strategy. Out of the 261 trading strategies, 48 strategies significantly outperform the buy-and-hold strategy. In particular, buy when price rises above the 22-day moving average and sell when price falls below the 22-day moving average by more than three percent is considered to be the trading strategy that can best forecast the future price movements.
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Wen-Yi Lin |
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Wen-Yi Lin Sheng-Fei Liang 梁勝斐 |
author |
Sheng-Fei Liang 梁勝斐 |
spellingShingle |
Sheng-Fei Liang 梁勝斐 Performance on different tradingstrategy based on moving average in Taiwan Stock market |
author_sort |
Sheng-Fei Liang |
title |
Performance on different tradingstrategy based on moving average in Taiwan Stock market |
title_short |
Performance on different tradingstrategy based on moving average in Taiwan Stock market |
title_full |
Performance on different tradingstrategy based on moving average in Taiwan Stock market |
title_fullStr |
Performance on different tradingstrategy based on moving average in Taiwan Stock market |
title_full_unstemmed |
Performance on different tradingstrategy based on moving average in Taiwan Stock market |
title_sort |
performance on different tradingstrategy based on moving average in taiwan stock market |
publishDate |
2004 |
url |
http://ndltd.ncl.edu.tw/handle/6uwd7b |
work_keys_str_mv |
AT shengfeiliang performanceondifferenttradingstrategybasedonmovingaverageintaiwanstockmarket AT liángshèngfěi performanceondifferenttradingstrategybasedonmovingaverageintaiwanstockmarket AT shengfeiliang yǐyídòngpíngjūnxiànjítūpòbǐlǜwèizhǐbiāozàibùtóngjiāoyìcèlüèxiàzhībàochóu AT liángshèngfěi yǐyídòngpíngjūnxiànjítūpòbǐlǜwèizhǐbiāozàibùtóngjiāoyìcèlüèxiàzhībàochóu |
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