| Summary: | 碩士 === 南華大學 === 企業管理系管理科學碩博士班 === 101 === Moving average rule is commonly served as the technical index for making the timing signal according to the price momentum. However, the chief defect associated with the traditional moving average rule is its excessive sensitivness to temporary price change. This study suggest using the Hodrick-Prescott filter(HPF) to extract the price trend from an observed price series for modifying the traditional moving average rule on the purpose of improving its timing ability. HPF have been widely-used to generate the business cycle using low-frequency economic data, however, less study examined its fitness for using high-frequency trading price. In addition, the performance of HPF is sensitive to the smoothing parameter of HPF’s . This study aims to detect the validity of HPF for using daily exchange price. Secondly, an appropriate smoothing parameter of HPF’s is determined by investigating the performance of the daily momentum trading strategy.
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