A Performance Study of Trading Strategies with Price-Based and Volume-Based Technical Indicators

• Main Authors: Ying-Ting Wang, 汪映廷
• Other Authors: Yale Wang
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/77546404048409381153

碩士 === 朝陽科技大學 === 財務金融系碩士班 === 100 === 　　In combining with price-based and volume-based technical indicators, this study examines the profitability of the 30 technical trading strategies in Taiwan stock market from June 30, 2003 through June 30, 2011. 30 technical trading strategies compose of MA, OBV, KD, VAMA, and CRISMA, and then with 10×20, 10×30, 10×60, 20×30, 20×60, 30×60 (short-term × long-term), six different lengths of time period to cross. We examine whether or not their technical trading strategies’ outperformance are over the singal technical trading strategies and the naive buy-and-hold trading strategy in Taiwan stock market. 　　Our results present that their technical trading strategies’ performance are over the singal technical trading strategies and only one trading strategy 【MA×OBVMA(20×60)】outperform the naive buy-and-hold trading strategy in Taiwan stock market. The sample stock price fell into the swing-upward, swing-downward and situations of decline between 2003 and 2009, so we can understand that performance of the trading strategy【MA×OBVMA(20×60)】is the best strategy for Taiwan stock market, implying that the strategy used in the swing-upward, swing-downward and situations of decline in Taiwan stock market also make the investors to obtain profits .