Summary: | 碩士 === 國立臺北大學 === 金融與合作經營學系 === 106 === In the past, there are many literature regarding security investment in the way of using technical analysis. However, due to literature being written long time ago and using different technical analysis methods, this paper use modified technical indicators to backtest the performance of Taiwan's weighted stock index futures.
In this study, the traditional moving average (MA) indictor is improved by adding three mid-price. setting different level of limit up and limit down, and using Muticharts to backtest the performance of Taiwan's weighted stock index futures from 2010 to 2017 thereafter.
The result suggests that the performance backtest through all adjusted MA is better than the performance backtest through traditional moving average (MA). In addition, the performance backtest through the third MA is better than others indicators used in this paper. The best strategy is to set stop loss/profit point at 7% or 10% in the condition of 4 trading days’ moving average to 7 trading days’ moving average, which can profit the annual return of over 7%, even transaction cost included. Last, against the backdrop of bull market, it’s inappropriate to use moving average to short in the short run.
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