| Summary: | 碩士 === 國立政治大學 === 國際經營與貿易研究所 === 101 === The purpose of this paper is to test whether the use of two modern technical rules (i.e. the Moving Average Convergence and Divergence (MACD) and the Relative Strength Index (RSI) ) can produce a significant return comparing to the buy-and-hold strategy over the Hang Seng Index, Nikkei 225 Index and Taiwan Capitalization Weighted Stock Index during 1970 to 2010. Buy signals and sell signals are set by variables, and fixed x% filter rule and time-delay filter rule are applied to avoid false signals.
We demonstrate that, although some technical trading analysis generates a higher total return or mean daily return, no strategies can dominate and outperform the buy-and-hold strategy in our sample period.
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