Applying the Back Testing to Construct An Investment Strategy: An Empirical Study of Taiwan Stock Index Futures

• Main Authors: CHEN,YIN-DAI, 陳銀黛
• Other Authors: WU,MING-ZHENG
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/6czh5n

碩士 === 國立彰化師範大學 === 財務金融技術學系 === 102 === This study utilizes the technical analysis which combined with program trading system software to examine the three widely used technical indicators (Dow theory, moving average, trend prediction) of TAIEX Futures system and to conduct a portfolio which has at minimum risk to get excess return by using 30-minute K line to be the rules of day-trading. After that this paper verifies whether the Taiwan stock futures market has efficiency. The sample period of this study consists of records of 2,107 transaction days in Taiex futures markets over the period of January 1, 2005 to June 30, 2013. This study combines three single technical indexes and market trends to construct the stop-loss mechanism and further lessen the investment risk. The empirical result of the back testing shows that the proposed strategy gets the reward ratio of 47% and the winning percentage of 82.7%.