A study on finding top and bottom zones for stock markets

• Main Authors: Yi-Wei Chang, 張奕偉
• Other Authors: Tsong-Wuu Lin
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/86900476911939309986

碩士 === 東吳大學 === 資訊管理學系 === 97 === Since the ancient times, we carry out many kinds of transactions based on different demands and obtain profit through these processes. There are many factors influencing trading market. A large number of methods were proposed to analyze the market. This article first analyzes the market indexes and the transaction volume to derive the concept of bull and bear confidence indexes. Then we quantify bull and bear confidence indexes to achieve the goal of predicting the market top zone and market bottom zone. We propose methods to compute the bull and bear confidence indexes. The exponential moving average of market index is first calculated with weekly closed price and volume. The confidence indexes are derived by a series of rules for referencing the change of the exponential moving average of market index. It is possible to predict the market tendency on the basis of exponential moving average with its self-forecasting quality. In accordance with characteristics of massive enlargement or reduction of volume, we can foresee that whether the market has reached the market top zone or market bottom zone. In the experimental design, we use Standard & Poor's 500-Stock Index over the 1960-2007 period and Taiwan-Stock Index over the 1967-2007 period to verify our methods. These data sets are drawn from Yahoo Singapore Finance web. We calculate the market bottom zone and find the chance to invest from the first week. Then we estimate the market top zone and find the chance to withdraw our investment. We continue to manipulate this pattern within the experiment period. Only the bull market is manipulated, and stop-loss stage is set when the maximum loss reached 12%. The experimental results suggest that the annualized return of our method surpasses the one of the buy-and-hold strategy. It is beneficial for the utilization of fund as the fund stayed in the market approximately 50% of all period. Moreover, taking S&P500 as an example, fund has flowed in and out of the market 17 times for past 48 years, which reduced the transaction commission fee and provided the investors simpler operating environment.