Summary: | 碩士 === 東海大學 === 財務金融學系碩士在職專班 === 104 === The purpose of the study was to assess the the “Testing to Relative Strength(TTRS)” strategy in Taiwan Stock Market, by adopted the data backtesting with the CMoney – Institutional Investors Investment Decision Supporting System. First of all, according the momentum theory built a pick-up model from bull moving average appearance looking at mid & small size company on technical analysis. Further, filtered thru weekly over bought percentage by foreign investment & investment trust on chips factors, and, the annual growth rate of monthly revenue (YoY) and the quarter growth of Return On Equity (ROE) on fundamental analysis. To achieve the weekly “Heavily Traded Stock Pick-Up Model” in the period of bull market. Purpose to data backtesting if these portfolio return by model selection is better than Polaris Taiwan Top 50 Tracker Fund (TTT,0050) Exchange Traded Funds (ETF)- a passive strategy, to be sold in the same particular short & mid time.
The results revealed:
(1) During the bull market, the portfolio return by model selection is better than the TTT ETF in the same particular time, which is R5 (weekly return)/ R10 (half-monthly return)/ R20 (monthly return)/ R60 (a quarter return).
(2) Involved the condition factor of stop-loss or take-profit met bear market, the portfolio retrun increment is not obvious.
(3) The return of selected stocks in this study appeared positive in different particular time, its probalility is over fifty percent; and the chance of largest return concentrated upon R60 (a quarter return) is highest.
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