Research for “Stop And Reverse” Indicator in Taiwan Futures Market

• Main Authors: Li-Na Lin, 林麗娜
• Other Authors: Chuang-Chang Chang
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/70684465923268045585

碩士 === 國立中央大學 === 財務金融學系碩士在職專班 === 94 === The general technical analysis research is focused on the validity and timing of technical indicators.“Stop And Reverse”(SAR) has been confirmed its validity and timing in Taiwan stock market by academic papers. In the futures market, it is very common to use the technical analysis as the trading rules. As a futures trader, I am interested in SAR indicator. Though it has been proved its validity and timing in Taiwan stock market, will it be the same in Taiwan futures market? Therefore, I will study how to construct the optimized returns and discover the most suitable SAR parameter. The research results are as followings: 1. “Stop And Reverse”indicator is effective in Taiwan futures market. 2. The best parameter combination of “Stop And Reverse”indicator could be found in Taiwan futures market to gain optimized returns. 3. The best parameter of “Stop And Reverse” indicator in Taiwan futures market is SAR(6, 0.03) for TX, SAR (5,0.02) for TE and SAR(3,0.02) for TF. 4. In Taiwan futures market, the optimized returns of in-sample and out-of-the sample are the same in terms of “Stop And Reverse” indicator.