| Summary: | 碩士 === 國立中山大學 === 資訊工程學系研究所 === 106 === With the rapid development of modern business, the companies often have cross-border cooperation and influence with each other. There are few researches studying on how to utilize the information of US stock markets to increase investment profit in Taiwan stock market. Therefore, we study the trading strategy improvement with the information of US stock market.
Our method first aligns the trading days between Taiwan and US stock market. Next, the similarity between PI and one of the US stock indices, the Dow Jones Industrial Average (DJIA), NASDAQ composite index (NASDAQ),or Standard & Poor''s 500 (S&P 500), is computed, respectively. The trading signals of PI or each US stock index are generated by the method of Lee et al.. Finally, the consensus signals of PI are determined by the majority voting scheme based on the weight, calculated from the similarity.
The training period of PI starts from 1996/1/4 through 2017/12/29, totally 5591 days, and the training period of DJIA, NASDAQ, and S&P 500 starts from 1996/1/2 through 2017/12/29, totally 5539 days. The trading period starts from 2000/1/4 to 2017/12/29. As the experimental results show, index combination (PI, DJIA, NASDAQ) with W(4) is considered to be the best combination for trading PI. Its average annualized return (cumulative return) achieves 15.03% (1170.42%), which is better than the method of Lee et al. 13.88% (947.65%), and the buy-and-hold strategy 9.85% (442.90%).
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