The Use of Five-minute K Line as the Signal of Day-trading:An Empirical Study of Taiwan Stock Index Futures
碩士 === 東海大學 === 企業管理學系碩士班 === 99 === The Use of Five-minute K Line as the Signal of Day-trading: An empirical Study of Taiwan Stock Index Futures Abstract Financial markets, particularly stocks, futures, options and funds have been some of the methods which lead people to become rich. There are ove...
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ndltd-TW-099THU001210012015-10-13T19:06:37Z http://ndltd.ncl.edu.tw/handle/03887101458751662216 The Use of Five-minute K Line as the Signal of Day-trading:An Empirical Study of Taiwan Stock Index Futures 運用5分鐘K線作為當沖買賣訊號之實證分析-以台指期貨為例 Tsan-Ying Li 黎燦熒 碩士 東海大學 企業管理學系碩士班 99 The Use of Five-minute K Line as the Signal of Day-trading: An empirical Study of Taiwan Stock Index Futures Abstract Financial markets, particularly stocks, futures, options and funds have been some of the methods which lead people to become rich. There are over eight million stock accounts in Taiwan and stock investment has already been a “National Movement”; nevertheless, few acquired fortune as expected. The vast majority of stock holders are retail personal investors, many of them lacking the correct investment concepts and operative skills. So every day, they buy stocks at higher price and sell at lower one. Whenever sold, the stock’s price began to soar, bought, to fall. Many are tragically trapped in the stock market. People are sharing the experience that whether they buy or sell, and they are sleepless during the nights. In addition, buying stocks is affecting the normal daily routine and family harmony. Therefore, this study takes Taiwan Weighted Stock Index Futures financial products (hereinafter referred to as Taiwan Stock Index Futures) as a research subject and uses 5-minute K line to be the rules of day-trading. We pick the first closed 5-minute K line or the first closed 5-minute K line combined with the second closed 5-minute K line of that day to judge bull or bear trends and determine the price points for any buying or selling within that day. These rules can be applied to both bull and bear trends of the same day. To be in line with the actual operating conditions of Taiwan Stock Index Futures, each operation is limited to one lot and subject to recent months’ futures. The issues of changing positions and interest of funding are not considered. This study is an empirical day-trading operation strategy which does not implement according to any other indicators of technical analysis and is also regardless of stock market variation of Europe, the U.S.A and Asia and bullish kicking or bearish kicking at the opening. The empirical results are as follows: First, this study simulated operation from August 2, 2010 to November 30, 2010, a total of four months, 86 transaction days and 86 transactions. Under the transaction rules set in this study, 57 positions were opened successfully. The stop loss was 29 times. The success rate of operating profit was 66.3%. Second, this study designed four conditions of offset position. The minimum net profit was up to NT 99000, the maximum was NT 318200. Among them, offset position right before 5-minutes market closing was the best strategy. If we use the appropriate financial leverage, the net profit could potentially be much more. Third, the study set two stop-loss conditions but there were no differences after verification. Both of these conditions can be applied to day-trading transitions. Fourth, all the rules set in this study for stop loss and offset positions can also be applied to day-trading of Taiwan Stock Index Futures to be a profitable strategy. Keywords: Taiwan Stock Index Futures, Day Trade, Open Position, Stop Loss, Offset Position. Yen-Tsung Huang , Ph.D. 黃延聰 2010 學位論文 ; thesis 133 zh-TW |
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碩士 === 東海大學 === 企業管理學系碩士班 === 99 === The Use of Five-minute K Line as the Signal of Day-trading: An empirical Study of Taiwan Stock Index Futures
Abstract
Financial markets, particularly stocks, futures, options and funds have been some of the methods which lead people to become rich. There are over eight million stock accounts in Taiwan and stock investment has already been a “National Movement”; nevertheless, few acquired fortune as expected. The vast majority of stock holders are retail personal investors, many of them lacking the correct investment concepts and operative skills.
So every day, they buy stocks at higher price and sell at lower one. Whenever sold, the stock’s price began to soar, bought, to fall. Many are tragically trapped in the stock market. People are sharing the experience that whether they buy or sell, and they are sleepless during the nights. In addition, buying stocks is affecting the normal daily routine and family harmony.
Therefore, this study takes Taiwan Weighted Stock Index Futures financial products (hereinafter referred to as Taiwan Stock Index Futures) as a research subject and uses 5-minute K line to be the rules of day-trading. We pick the first closed 5-minute K line or the first closed 5-minute K line combined with the second closed 5-minute K line of that day to judge bull or bear trends and determine the price points for any buying or selling within that day. These rules can be applied to both bull and bear trends of the same day.
To be in line with the actual operating conditions of Taiwan Stock Index Futures, each operation is limited to one lot and subject to recent months’ futures. The issues of changing positions and interest of funding are not considered.
This study is an empirical day-trading operation strategy which does not implement according to any other indicators of technical analysis and is also regardless of stock market variation of Europe, the U.S.A and Asia and bullish kicking or bearish kicking at the opening.
The empirical results are as follows:
First, this study simulated operation from August 2, 2010 to November 30, 2010, a total of four months, 86 transaction days and 86 transactions. Under the transaction rules set in this study, 57 positions were opened successfully. The stop loss was 29 times. The success rate of operating profit was 66.3%.
Second, this study designed four conditions of offset position. The minimum net profit was up to NT 99000, the maximum was NT 318200. Among them, offset position right before 5-minutes market closing was the best strategy. If we use the appropriate financial leverage, the net profit could potentially be much more.
Third, the study set two stop-loss conditions but there were no differences after verification. Both of these conditions can be applied to day-trading transitions.
Fourth, all the rules set in this study for stop loss and offset positions can also be applied to day-trading of Taiwan Stock Index Futures to be a profitable strategy.
Keywords: Taiwan Stock Index Futures, Day Trade, Open Position, Stop Loss, Offset Position.
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author2 |
Yen-Tsung Huang , Ph.D. |
author_facet |
Yen-Tsung Huang , Ph.D. Tsan-Ying Li 黎燦熒 |
author |
Tsan-Ying Li 黎燦熒 |
spellingShingle |
Tsan-Ying Li 黎燦熒 The Use of Five-minute K Line as the Signal of Day-trading:An Empirical Study of Taiwan Stock Index Futures |
author_sort |
Tsan-Ying Li |
title |
The Use of Five-minute K Line as the Signal of Day-trading:An Empirical Study of Taiwan Stock Index Futures |
title_short |
The Use of Five-minute K Line as the Signal of Day-trading:An Empirical Study of Taiwan Stock Index Futures |
title_full |
The Use of Five-minute K Line as the Signal of Day-trading:An Empirical Study of Taiwan Stock Index Futures |
title_fullStr |
The Use of Five-minute K Line as the Signal of Day-trading:An Empirical Study of Taiwan Stock Index Futures |
title_full_unstemmed |
The Use of Five-minute K Line as the Signal of Day-trading:An Empirical Study of Taiwan Stock Index Futures |
title_sort |
use of five-minute k line as the signal of day-trading:an empirical study of taiwan stock index futures |
publishDate |
2010 |
url |
http://ndltd.ncl.edu.tw/handle/03887101458751662216 |
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