The Trading Performance of Coppock Indicator in Taiwan Futures Market

• Main Authors: Fu-Chieh Chang, 張富傑
• Other Authors: Chih-Hsien Lo
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/5a7nf9

碩士 === 國立高雄應用科技大學 === 金融系金融資訊碩士班 === 103 === The technical indicators vary in the market. Edwin Coppock (1962) proposed the Coppock Indicator, with the main purpose is to look for the timing of the market switching from the bear market to the bull market, thereby keeping up with the market trend and to get paid. The Coppock Indicator is mainly based on the monthly frequency data for calculation; therefore, it is the technical indicator used by the long-term investors. In terms of futures, which are the commodities needed to be settled monthly, the indicators constructed with too low frequency cannot be used. Therefore, in this study, in the use of the Coppock Indicator calculated based on the minute data of the TAIEX futures from January 2, 2001 to December 31, 2014, in accordance with the spirits and purposes of the original Coppock Indicator, the trading strategies suitable for use in Taiwan Futures Market are searched and improved. The empirical results show that, the performance of the trading strategies in the use of the Coppock Indicator, the HMA indicator in the Adaptive Moving Average indicators, the Relative Strength Index (RSI), and the wave filter in communication processing, is significantly better than the technical indicators often used in the market.