The Apply of Wavelet Analysis to Improve the Return by the Simple Moving Average of Technical Analysis - Based on Taiwan’s Security Market

• Main Authors: YEN-CHIANG CHANG, 張彥強
• Other Authors: AN-LIN CHEN
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/v587s4

碩士 === 國立中山大學 === 企業管理學系研究所 === 102 === In this study, The author choose Taiwan stock market as the research market, mainly discuss about whether can use the function of well denoising of wavelet analysis in investment securities. Due to the problem of fake trading signal by using technical analysis, therefore, the investor who use technical analysis can easily make a wrong diagnosis about the deal timing of long strategy and short strategy and also loss. By using the function of denoising of wavelet analysis, that will eliminate the high frequency signal (white noise) which is a fake signal. To improve the accuracy of the deal timing of long strategy and short strategy by investors who are using technical analysis. In this study, the research is based on long strategy and short strategy by simple moving average. After having confirmed that use wavelet analysis can significantly improve investment performance, further use taguchi method to find out the number of days of optimal short-term or medium-term’s simple moving average which is under Taiwan''s stock market, to make the maximize of return in practice. （1）Use wavelet analysis can significantly improve investment performance which is based on long strategy and short strategy by simple moving average. （2）Use taguchi method to find out the number of days of optimal short-term or medium-term’s simple moving average. （3）Use statistics can find the interval of Taiwan weighted index that can achieve the most return on investment. （4）In the framework of this study into investment methods, ETF’s （Exchange Traded Funds）overall investment performance is better than other individual stocks.