Inverse V Price Pattern And Program Trading

• Main Authors: Li-Hsuan Lin, 林立軒
• Other Authors: Chao-Hsien Lin
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/15820417636041448712

碩士 === 國立高雄第一科技大學 === 財務管理研究所 === 104 === This paper is based on disposition effect of behavioral finance theory, which tries to simulate a program of trading strategy of the Taiwan stock market. In this article we try to combine the technical analysis and the disposition effect (refer to the price patterns for the inverse V) in simulate trade program then calculate the performance of this portfolio''s risk-adjusted investment strategy is superior to traditional values. Disposition effect of shares in technical analysis will show Λ shape, which means economic refers to the movement in price links with volume, so we short shares when the stock continued to fall, and offset in the volume reversal point. Through the program we have established a set of portfolios, first in t-time point short shares hit 20-day lows on and the volume is less than the average daily volume for the past 5 the average daily volume of nearly 20,offset in the stock trading volume was significantly enlarged. The results show that under the 5% restrict we give the profit can be positive. However, if the restrict increase so do the variance even more the profit will turn negative.