Stock Strategy and Research - Application of Bollinger Bands in the components of TSE TWSE Taiwan 50

• Main Authors: Jhong-Huei Wu, 吳忠輝
• Other Authors: Te-Chung Hu
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/bbrnfb

碩士 === 國立高雄應用科技大學 === 金融系金融資訊碩士在職專班 === 103 === Statistics show that in the past, Taiwan's stock index has a high correlation between Taiwan and Taiwan 50 ETF, and very similar to the historical price movements which, so this paper Taiwan 50 ETF stocks on behalf of Taiwan's overall stock price and overall performance; and market observation from past literature known to Bollinger Bands strip as a reasonable spread interval reference index may seek to lower the risk of profit opportunities. Therefore, this study I want to cite a method of construction of Bollinger trading strategies, and explore different parameters in the setting, which is eligible for interest rates and profit opportunities result, this transaction trading strategy as a model for future performance based operating strategies. The results showed that the more broads range Bollinger Bands, the greater the risk faced by the transaction. This paper attempts to apply technical indicators Bollinger of the trading strategy Taiwan 50 ETF constituent stocks, as the judge admitted buying and selling transactions of guidelines, from one to two standard deviations to 0.1 standard deviation subdivision total of 11 class to buy or sell from the action, and back and observe whether the same parameters in different periods still have a positive reward. Research on the subject of a 45-meter stall the subject matter of the study period to June 30, 2003 to June 15, 2015. Empirical studies found that most of the stocks are suitable to operate out of Bollinger's recommendation, profitability and high probability obviously, but when the stock price within a narrow range consolidation, the stock will be eligible for lower rates. After finishing fruit study found that the performance was the best standard deviation level distance to two standard deviations of the most stable and eligible for the highest profit rates, and is one standard deviation from the worst level, which means that Taiwan's stock market is not for short-term out of the mode of operation, with the general technical specifications of the homeopathic action policy (chase sell into) the operating practices differ, also shows that the Taiwan stock market, although affected by other factors, short-term trend will be choppy pattern, but in the long term, stock prices Index will continue to follow the main trend.