| Summary: | 碩士 === 國立臺灣大學 === 國家發展研究所 === 97 === This study aims to apply the methods devised by Su (2005). By adopting the quantitative technical trading strategy Slope Trend Indicator (referred to herein as “STI”), we analyzed the performance of the Taiwan futures market.
The sample data consisted of 30-minute intraday data on the prices of Taiwan futures recorded from January 5, 1999 to May 6, 2008. To measure the performance of 198 STI strategies under different trading costs, we examined four kinds of trading decisions: long-only, long-and-short, long-only with stop-loss, and long-and-short with stop-loss.
Standard t-statistic analysis has been adopted to estimate STI’s effectiveness. Spearman Rank Correlation Test has been used to test the performance of persistence. Moreover, the Binomial Proportionality Test has been appointed to assess STI’s predictability.
The empirical results are as follows:
(1) STI was effective. In a test period comprising 22 groups, there existed at least one STI strategy to beat the buy-and-hold strategy in each group. (2) The return rank orders of the long-only and long-and-short STI strategies were roughly the same. (3) None of the four trading decisions yielded significant success rates. This test result differed from Su’s (2005). (4) STI strategies possessed significant persistence; however, when combined with stop-loss, they lost their persistence. (5) We recommended the 50 or 53 30 min STI strategies in the Taiwan futures market. In addition, the returns of STI strategies longer than 83 30-minute were insignificant. (6) STI strategies performed well in the bear market, especially when combined with the stop-loss strategy.
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