The Applications of Fuzzy Theory on Taiwan 50 ETF Trading Decision

• Main Authors: Chia-wang Chang, 張家旺
• Other Authors: Shang-wu Yu
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/d2dp43

碩士 === 國立臺灣科技大學 === 資訊管理系 === 94 === This study discusses the trading strategies for Taiwan 50 ETF by combining the fuzzy theory with the moving average index and the Williams overbought/oversold index. Also, the historical transaction data of Taiwan 50 ETF is used to represent the daily trading and to test the constructed transaction principles, “buy and hold” and “fuzzy trading rules”. These strategies and principles will be judged according to the net profit and the constraints for their application will be discussed. Base on the results, the following conclusions could be made. 1.The mixed index that is a combination of the above two indexes has the best net profit. 2.When only single index is considered, the Williams overbought/oversold index should be recommended. 3.The “moving average positive trading rule” has worse net profit than “buy and hold”. It can explain the investors who buy on the price rising and sell on the price falling make the wrong trading strategies. 4.The strategies, buying on the price falling and selling on the price rising, could make even more profit than the “buy and hold”. 5.The “fuzzy trading rules” can provide sufficient information to investors to make decision. It suggests the timing for buying as well as selling and reduces the impact from buying on higher price, selling on lower price, selling too early, and selling too late.