| Summary: | 碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 93 === The Technical Analysis is a common tool applied to security market, but his forecasting ability has been a arguing problem. We want to present a comprehensive test of trading rules, so we apply 7846 tading rules (Sullivan, Timmermann, White (1999)) to test Taiwan stock market and future market to see if the technical analysis is suitable for Taiwan market . Meanwhile, we consider the effect of data snooping. Data snooping occurs when a given set of data is used for more than once for purpose of inference or model. When such data reuse occurs, there is always the possibility that any satisfactory results obtained may simply be due to chance rather than to any merit inherent in the method yielding the results. The empirical researchers should avoid this problem. Hence, we employ White Reality Check to test data-snooping effect.
The main results as follows: 1.The best trading rules are really superior rule for Taiwan and future market under the simple T Test. 2.After considering data-snooping effect, we find the best trading rule is still not significant under white reality check.
|
|---|
