Profitability of Modified Moving Average Trading Rule on the Taiwan Stock Exchange Market
碩士 === 國立交通大學 === 工業工程與管理系所 === 92 === The MA (moving average) trading rule for stocks has been extensively studied in various stock markets. Previous research shows that the MA trading rule may not be widely effective. This research aims to develop a method for enhancing the MA trading rule. The ba...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/59492695382121978776 |
| Summary: | 碩士 === 國立交通大學 === 工業工程與管理系所 === 92 === The MA (moving average) trading rule for stocks has been extensively studied in various stock markets. Previous research shows that the MA trading rule may not be widely effective. This research aims to develop a method for enhancing the MA trading rule. The basic idea is to hierarchically classify the transaction points produced by the MA rule into several groups, of which some are positive and the others are negative in the rate of return. The classification mechanism is implemented by decision tree—a data mining tool. Taiwan stock exchange market has been used to justify the performance of the enhanced MA trading rule. Experiment results show that the compound annual rate of return increases from 4.17% to 7.70%, by enhancing the MA trading rule.
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