Study on Using Popular Technical Indicator for Evaluating Profitability, Risk and Return

• Main Authors: Wei-Ming Huang, 黃偉銘
• Other Authors: En-Te Hsu
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/93878649402770704678

碩士 === 東海大學 === 高階經營管理碩士在職專班 === 103 === Using technical indicator in trading system is common nowadays. It leads to the development in a variety of combined indicators in the hope to increase profit. This study is to describe in stock market widely used indicators, Stochastic Oscillator (KD), Moving Average Convergence/Divergence (MACD), Relative Strength Index (RSI), Williams Overbought/Oversold Index (WMS), and introduce profitability of combined indicators as well the relationship between their risk and return. Further to analyze causes of profitability, risk and return in swing trading indicator and trend trading indicator. Under software SniperIDE, designed buy and sell signals for each indicator, objecting one hundred stocks in ETF Fifty and Non-ETF Fifty, two different time period from December 2002 to same month 2014, another is prior to Lehman Brothers Holdings crash from December 2007 to same month 2014, to prove that each technical indicator shared its own risk and return relationship which will not be affected by the investing object or the market. On the contrary, it is more significant when trading frequency increased. In addition, at same testing condition, combined indicators contributed to the increasing percent profitable and resulted in obviously trend following trading models. Therefore, an indicator represents to a unique outcome of risk and return in the investment, at same profitability, combined indicators with lower trading cost is preferred.