| Summary: | 碩士 === 亞洲大學 === 財務金融學系碩士在職專班 === 104 === The aim of this thesis is to investigate investors lacking of stopping loss, taking profit and having effective technical indicators and performance measures on trading index futures in Taiwan because of over-confidence and loss-aversion based on behavioral finance views. Thus, we propose how to apply technical indicator tools such as moving average, parabolic reversing indicator and Fibonacci units with different time frequencies and parameters to construct investment strategic modules. We have 50 groups of strategic modules and run back-testing to find out the optimal investment strategic module.We consider 3 performance measures: maximum profit, maximum loss, and average profit multiplier. The result shows that 60K 34MA, this optimal strategic module, has the attributes of simple logic, rigorous conditions and clear signals. If investors apply this module to trade Taiwan stock index futures, they can get over investors’ psychological biases such as risk taking when losing and over confidence in gains.
Keyword： Futures, Behavioral Finance, Technical Analysis, Indicators
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