The Optimal Trading Strategy of Taiwan Government Bond Based on Technical Analysis

• Main Authors: Hui-Ying Lan, 藍慧櫻
• Other Authors: tzu-ping ho
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/a8938k

碩士 === 銘傳大學 === 國際企業學系碩士在職專班 === 95 === This research is to use buy-hold strategy and use 5 volume-based technical indicators to conduct real diagnosis. Those technical indicators, including MQ, VAMA, FI, OBV, and RSI, are used to determine trading strategy of 10-year Taiwan government bond; the statistics used are the data of 10-yr Taiwan government bond between 2005 and 2006 from GaiTai market R.O.C. Using the buy-hold strategy and the trading strategy derived from 5 technical indicators, this research is to verify whether technical indicators are improving profitability rate of government bond trading. The results of this real diagnosis are as following: 1.Using buy-hold strategy for 10-yr TW government bond, the return rate is depend on the yield rate despite of rolling over to succeeding bond. Therefore the yield rate is the key to profitability. 2.MQ and VAMA are both using volume to determine the trading timing. The result shows that the profitability of 2-yr period is better than that of either 2005 or 2006. When using MQ, the interception of 10MQ and 20MQ will create the highest investment return. As for VAMA, using the interception of 5 VAMA and 10 VAMA create a better trading profitability. 3.According to the real diagnosis, using FI, OBV, RSI indicators will create positive trading return. Using MQ, VAMA, the profitability will depend on the trading volume and price movement. 4.Among 5 technical indicators used this research, the investment return is the highest by using RSI despite of in 2005 or in 2006; therefore when using technical indicators, the profitability will increase if refer to closing price and trading volume. 5.When using trading volume as the technical indicator, the larger the trading volume, the higher the profitability. 6.In this research, during the 2-yr period when using above stated 5 indicators, the profitability is better than that of buy-hold strategy.