「Multi-layer Stock Selection Model Based on Bollinger Band with Moving Average and KD Index」－In Case of Taiwan Stock Market

• Main Authors: Hsuan-Ming Lai, 賴宣名
• Other Authors: Ting-Cheng Chang
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/h85a7x

碩士 === 嶺東科技大學 === 高階主管企管碩士在職專班 === 101 === Stock analysis can be divided into fundamental and technical analysis. There is a huge difference of material acquisition between retail investors, institutional investors and shareholders. Under this phenomenon of asymmetric information, the odds are hard on retail investors’ favor. On the other hand, investors are also unable to acquire return by adopting technical analysis. The reasons of failure lie not only in attitude, but also in a lack of alliance with the option and usage of technical analysis tools. This study adopts Bollinger Band as the principle technical tool, and combined with weekly moving average lines and stochastic oscillator to analyze all the stock of listed company, Taiwan ETF-50 Stock, and MSCI Taiwan Index Components. In order to get more insight of the effectiveness through multiple time frame strategies, we collect the entire sample from 2008.01.01 to 2013.02.06. The results of this study are as follows: 1. The Bollinger Band trading rules work more efficient than other indicators on acquiring return. 2. By adding with the stock selection mechanism of weekly moving average lines, it can effectively reduce the sign occurrences 3. The stochastic oscillator trend lines represent the direction of market index and the efficiency of selecting stock is proved to be positive by conducting trend following strategy. It confirms the success rate by 67.01% and can therefore increase the average profits by 70.01%. 4. Among four strategies, c of MSCI Taiwan Index Components are superior to Taiwan ETF-50 Stock.