The Trading Performance of Technical Analysis:The Case of Taiwan 50 ETF
碩士 === 國立臺灣大學 === 國際企業學研究所 === 104 === This paper uses TTT daily data from 2010 to 2015 to examine the profitability of technical trading rules by evaluating their ability to outperform the buy-and-hold trading strategy. Three technical analysis indicators with different parameters and strategies we...
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ndltd-TW-104NTU053200322019-05-15T23:01:19Z http://ndltd.ncl.edu.tw/handle/d476sn The Trading Performance of Technical Analysis:The Case of Taiwan 50 ETF 技術分析投資績效之實證分析—以台灣50 ETF為例 Kung-Hao Ho 何公皓 何公皓 碩士 國立臺灣大學 國際企業學研究所 104 This paper uses TTT daily data from 2010 to 2015 to examine the profitability of technical trading rules by evaluating their ability to outperform the buy-and-hold trading strategy. Three technical analysis indicators with different parameters and strategies were used in this paper. According to the result of this paper, we conclude these following results: First, the performance of using single technical analysis indicator can not outperform the buy-and-hold strategy. Second, technical trading rules combined with the stop-loss strategy can outperform the buy-and-hold strategy. Third, in the performance of single technical analysis indicator, the moving-average rules with 20-120 parameter, bollinger band with 20-2-2 parameter, and stochastic oscillator with 20-3-3 parameters have the greatest return among the all parameters. Fourth, KD indictor combined with the stop-loss strategy performs better than the rest of the technical analysis indicators. Fifth, the performance of KD passivation strategy can not surpass the single technical analysis. Sixth, Bollinger band with the overweight strategy do not outperform the single technical analysis. 洪茂蔚 2016 學位論文 ; thesis 44 zh-TW |
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碩士 === 國立臺灣大學 === 國際企業學研究所 === 104 === This paper uses TTT daily data from 2010 to 2015 to examine the profitability of technical trading rules by evaluating their ability to outperform the buy-and-hold trading strategy. Three technical analysis indicators with different parameters and strategies were used in this paper.
According to the result of this paper, we conclude these following results:
First, the performance of using single technical analysis indicator can not outperform the buy-and-hold strategy. Second, technical trading rules combined with the stop-loss strategy can outperform the buy-and-hold strategy. Third, in the performance of single technical analysis indicator, the moving-average rules with 20-120 parameter, bollinger band with 20-2-2 parameter, and stochastic oscillator with 20-3-3 parameters have the greatest return among the all parameters. Fourth, KD indictor combined with the stop-loss strategy performs better than the rest of the technical analysis indicators. Fifth, the performance of KD passivation strategy can not surpass the single technical analysis. Sixth, Bollinger band with the overweight strategy do not outperform the single technical analysis.
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author2 |
洪茂蔚 |
author_facet |
洪茂蔚 Kung-Hao Ho 何公皓 何公皓 |
author |
Kung-Hao Ho 何公皓 何公皓 |
spellingShingle |
Kung-Hao Ho 何公皓 何公皓 The Trading Performance of Technical Analysis:The Case of Taiwan 50 ETF |
author_sort |
Kung-Hao Ho 何公皓 |
title |
The Trading Performance of Technical Analysis:The Case of Taiwan 50 ETF |
title_short |
The Trading Performance of Technical Analysis:The Case of Taiwan 50 ETF |
title_full |
The Trading Performance of Technical Analysis:The Case of Taiwan 50 ETF |
title_fullStr |
The Trading Performance of Technical Analysis:The Case of Taiwan 50 ETF |
title_full_unstemmed |
The Trading Performance of Technical Analysis:The Case of Taiwan 50 ETF |
title_sort |
trading performance of technical analysis:the case of taiwan 50 etf |
publishDate |
2016 |
url |
http://ndltd.ncl.edu.tw/handle/d476sn |
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