| Summary: | 碩士 === 元智大學 === 管理研究所 === 95 === In spite of basic analysis or technique analysis, the purpose of the investors'' trading is making profits. My paper uses two lines of moving average (MA) crossing of the underlying of Taiwan Weighted Index to find a buying or selling signal.
Then to long or short an option, its derivatives is Taiwan Stock Index Futures Options.
In other words, we just want to know if the technique analysis could make use of trading options. Therefore, to provide investors an useful trading strategies to beat the markets and win exceeding profits
Results:
1.
In the numbers of the two lines of moving average commonly used by the market, after examination we find 50MA and 150MA have the best behavior
2.
Shorting the option strategy has higher profiting probability and smaller deviation compared to longing the option strategy. So we suggest investors should choose that first.
3.
The procedure of the number optimization could promote the methods of two crossing MA. In my research, using the worse number of prior time to make mean reverting is more ideal!
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