The effectiveness of technical analysis using different time frame on the intraday date

• Main Authors: YUAN-JIAN CHEN, 陳元鍵
• Other Authors: JIN-TANG CAI
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/44181106420904179154

碩士 === 國立臺北商業技術學院 === 財務金融研究所 === 101 === n this study, MultiCharts, a programming trading software, and Taiwan stock index futures, intraday data with different time span (1 minute, 5-minute, 10-minute, 15-minutes, 30-minutes) were used to test the profitability of traditional technical analysis with sample period from 2010/1/1 to 2012/3/31. To make the test more convincing, indicator parameters initially were used as familiar length, then after the sample period is divided into several sub-periods with 3-month period length after optimization, and then analyze the performance of the total sample period. instead of using the wave theory and Candlestick Charts, this study tried to test the profitability of some quantified indicators which can be specified into categories, momentum and contrarian The result shows that investor can earn profit by using a few quantified indicators with several stop-loss mechanism by ignoring the trading cost . However, by subtracting the trading cost, the profit may disappear. The results also showed that the winning percentages of these strategies are around 40% to 50 %, This implies these strategies earned more and lost fewer due to stop-loss mechanism. A certain discipline of operating during the loss time, the disciplinary more involved In the futures market, the investors may be affected by the margin system psychologically and emotionally. This means that they might doubt these strategies and didn’t follow the rule when they got loss. There, discipline is the most important thing in futures market.