| Summary: | 碩士 === 輔仁大學 === 金融與國際企業學系金融碩士在職專班 === 104 === This paper is to modified Granville’s moving average by using moving average high line and moving average low line which calculated by daily highest prices and lowest prices. When price break though the moving average high line from below, it is taken as a buying signal. Conversely, when prices fall below the moving average low line is taken as a selling signal. The sample is FTSE TWSE Taiwan Mid-Cap 100 Index from 2013 to 2015. We find that the modified indicator can bring better performance than Granville’s moving average. Furthermore, combining this indicator with average line trend produces higher return than this indicator itself. In addition to rate of return, we also analyze long strategy, short strategy, winning odds ratio and gain-loss ratio
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