| Summary: | 碩士 === 國立虎尾科技大學 === 財務金融研究所 === 101 === In this study, I use the information-gap uncertainty model to predict the turning points of the price series in the TAIEX Futures market and try to apply these turning points to the speculative trade. The data spans from January 2001 to December 2011. Under the framework of a fixed window rolling approach, a backtesting is applied to investigate the in-sample optimal parameters, which would be treated as the out-of-sample parameters for trading in the next period. After considering the transaction costs, the empirical results show that, this approach provides an average annual rate of return of 60.11%.
As the information gap model is an Oscillator index, it is not suitable for a trend trade. To avoid a great loss when I use the information gap model in the trend market, I try to add another trading strategy, a price stop-loss trading strategy, I use this strategy to stop loss and increase the average rate of return, after backtesting, the performance of this strategy indeed provides an average annual rate of return of 67.68%.
In comparison with the two groups of the performances, the group one is compare to the strategy of information gap model and the strategy of buy and hold of the TAIEX Futures market, and the other group is compare to the strategy of information gap model and price stop-loss strategy of the TAIEX Futures market, the t-test shows that these two groups of the annual rates of return are significant different.
|
|---|
