| Summary: | 碩士 === 義守大學 === 財務金融學系碩士班 === 96 === This research used daily stock price to build the Excel function of TD market timing indicators and transaction strategies. These were referred to the publications by DeMark (1994, 1997). DeMark developed five kinds of TD Market Timing Indicators to discriminate between the price bottom pattern and the price peak pattern. This paper only treated one of the five indicators, namely, TD Range Expansion Index.
In addition, we adopted the definition of trends that Caginalp and Laurent (1998) developed. Then test the price trend of continued or reversal by Poisson distribution. Whether price trend exhaustion can successfully forecast price trend reversal or not depends on using TD market timing indicators for the rising or the declining trend in Hong Kong Stock Market. The conclusions of our research are the following:
First:
In order to confirm the stock price in the trend, we need to make sure the index sign falls in the oversold or overbought regions, depending on whether the price trend reverses or not. Thus, we use TD Price Oscillator to confirm the potential opportunity between buying and selling. Then we carry out the best transaction strategies.
Second:
We use TD Duration Analysis and the rule of lost the best dealing change to confirm the best dealing opportunity, which allows us to avoid frequent dealing times affecting the performance due to false signals.
Third:
This paper used standard type TD Range Expansion Index and the moderate TD Duration Analysis. It may not apply to situations when the market appears to be extremely oversold or overbought.
Fourth:
In regard to the performance of transaction strategies, we shows that the reverse dealing indicators could produce positive performance.
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