A Technical Analysis on the Taiwan Futures Market：Combined Signal Approach

• Main Authors: Yang-Chih Yung., 楊智詠
• Other Authors: Kuang-Hua Hsu
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/16744629473755326865

碩士 === 朝陽科技大學 === 財務金融系碩士班 === 99 === Two studies published in the last decade (Lento & Gradojevic, 2007; Lento, 2008) evidence that the Combined Signal Approach (CSA) to technical analysis combines individual trading rules into a consensus signal that is more profitable than the individual signals alone and naïve buy and hold trading rules. In this paper we examine the profitability of the CSA on the TAIEX Futures (TX), Electronic Sector Index Futures (TE) and Finance Sector Index Futures (TF) of Taiwan futures market. The data sets are for three Index Futures over various times periods ranging from January 1989 to December 2009. The individual trading rules are able to outperform the buy and hold trading strategy after considering transaction costs. The results present further evidence that the CSA improves the profitability of individual trading rules on the Electronic Sector Index Futures (TE).