Establishment and Performance Backtesting of a Passive Trading Strategy for Stock Investment

• Main Authors: LIN, WEI-CHI, 林韋齊
• Other Authors: Chen, Yuh-Jen
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/d2u774

碩士 === 國立高雄科技大學 === 會計資訊系 === 107 === This study mainly proves that the passive operation strategies can be applied in the passive goods, which performance is better than the buy-and-hold method. Moreover, the passive operation strategiescan achieve good performance in the stock market, such as individual stocksor ETF. However, the empirical finding indicates that the buy-and-hold method has relatively good results for bull or long-term stock market. In this study, three passive investment methods are adopted for the top 150 stocks and 9 ETFs in Taiwan stock market. The performances are compared with the buy-and-hold method. In the passive commodity ETF, through long-term holding, regular fixed investment, or random investment (the best and worst trading conditions in the third method of this study), as long as the funds are properly controlled, they can get a certain profit on the ETF. In the context, the ETF price data file is the amount of unreturned interest, that is, in each year of calculation, these ETFs have interest-bearing income almost every year, and the actual rate of return is much larger than the MAX and MIN. Thus, the passive goods are a profit-guaranteed investment commodity. The two passive operating strategies mentioned in thestudy(the first and second methods), in the empirical results, the average performance is defeated by the buy-and-hold method. In fact, if these two methods are used well, they can also create a good performance. For example, in the statistical table, it can be seen that in the long-term, long-term, short-selling, consolidation, or performance of the three groups, the passive operation method is mostly positive compensation. But in the short period, the passive operation method can make the stop loss function work and defeat the performance of the buy-and-hold method. For the second method, if it can overcome the limitation of the maximum cost, its profit-making effect is much greater than the first method, even the performance is better than the buy-and-hold method in the short period to create superior profitability.