APPLYING PRICE AND VOLUME TECHNICAL INDICATORS AND VaR TO CONSTRUCT TRADING STRATEGIES FOR YUANTA TAIWAN TOP 50 ETF

• Main Authors: WU,YU-CHIEH, 吳育杰
• Other Authors: YU,TAI-YI
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/d82dd8

碩士 === 銘傳大學 === 風險管理與保險學系碩士班 === 107 === In this study, the daily data of Taiwan 50 ETF is used to as the research object to construct trading policies with R software and several technical indicators, such as VaR, MA, KD, RSI and MFI, from May 8, 2006 to January 21, 2016. The influencing effects of one, two and three technical indicators for trading policies were compared. This study also performed sensitivity analysis of dominant factors on varied technical indicators, original investment amount and transaction amount. The ROI (Return of Investment) was utilized as a benchmark to assess adequate combination of distinct trading policies. Firstly, the ROI results showed that the selling points are more important than the buying points. The result of single indicator strategy shows that RSI is the best indicator, VaR is the second best, MA is third best. The ROI of KD and MFI does not exceed the Buy and Hold (B&H) strategy, so KD and MFI could not be suitable to use alone. Results of trading strategies for double indicators show that “single indicator + VaR” can screen more suitable trading points than one indicator, so ROI have a significant increasing, but numbers of transactions decrease. Results of trading policies for three indicators show higher ROI values than B&H strategy; however, indicators are too rigorous and result in poor transaction numbers. With sensitivity analysis, the best values of original investment amount and transaction amount are $NT 3,000,000 and $NT 1,000,000. The MFI is exploring focus in this study. If only MFI is selected alone, the buying points and selling points could not supply acceptable ROI values. If used double indicators strategy “MFI+VaR”, ROI will significantly increase; and the ROI value for “MFI+VaR” would exceed “VaR+RSI” and “VaR+KD”. As for the results of the three indicators, ROI of “VaR+KD+MFI” is obviously greater than “VaR+KD+RSI”. Therefore, the MFI indicator, based on the combination of price and volume, can provide better trading points and higher ROI values. Comparing the ROI values of trading policies for single, double and three indicators, double indicators (VaR+ MA or VaR + MFI) present the highest ROI values for Taiwan 50 ETF. The ROI values of single indicator strategy is generally poor, numbers of transactions of three indicators strategy is limited. So single and three indicator strategy are not suitable for the operation strategy of Taiwan 50 ETF.