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| 研究生： |
陳映廷 Chen, Ying-Ting |
|---|---|
| 論文名稱： |
The Profitability of Technical Trading Strategies in Taiwan Future Market |
| 指導教授： |
郭維裕
Kuo,Weiyu |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 國際經營與貿易學系 Department of International Business |
| 論文出版年： | 2005 |
| 畢業學年度： | 93 |
| 語文別： | 英文 |
| 論文頁數： | 52 |
| 中文關鍵詞： | 技術分析 、指數期貨 、台指期貨 |
| 外文關鍵詞： | technical trading rules, index futures, TAIEX Futures |
| 相關次數： | 點閱：282 下載：0 |
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The price of stocks, futures, commodities and currency are for ever changing. Anyone interested in financial prices soon discovers that changes in prices are frequently substantial and are always difficult to forecast. This paper describes the behavior of prices from a statistical perspective. Specifically, employ several technical trading rules to uncover the trend of futures price movement and attempt to make profit out of the trend. In this paper, trading of seven technical trading systems is simulated for three futures contracts from September 1998 to March 2005 to test for market disequilibrium. The results differ by trading systems. Four systems produced positive mean net returns and five systems produced positive gross return when optimal parameters were used. These results indicate that, there exist opportunities to design profitable trading systems for futures markets.
Abstract ………………………………………………………… 0
1. Introduction ………………………………………………… 1
2. Methodology ………………………………………………‥ 6
2.1 Technical Trading Systems ……………………………‥ 6
2.2 Measuring Trading Performance ………………………‥15
2.3 Data ………………………………………………………. 16
3. Empirical Results ……………………………‥……………18
3.1 The Alexander’s Filter Rule ………………………‥ 18
3.2 The Alexander’s Filter Rule ………………………… 19
3.3 The Moving Average Crossovers …………………………21
3.4 The Kestner's Moving Average ………………………… 21
3.5 The Directional Movement System ………………………22
3.6 The SAR system ………………………………………… .23
3.7 The Volume Moving Average Crossovers ……………… 25
4. Conclusion …………………………………………………… 27
Reference ……………………………………………………… .28
Appendix ……………………………………………………… .29
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