Examination and Adjustment On Granville’s Trading Rules
碩士 === 國立政治大學 === 國際經營與貿易學系 === 107 === As Pring (2002) said, the essence of technical analysis is to identify a trend reversal at a relatively early stage and ride on that trend. Motivated by the interest in the art of technical analysis, this thesis intends to find somehow to beat the market wheth...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2019
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/y7pu68 |
| Summary: | 碩士 === 國立政治大學 === 國際經營與貿易學系 === 107 === As Pring (2002) said, the essence of technical analysis is to identify a trend reversal at a relatively early stage and ride on that trend. Motivated by the interest in the art of technical analysis, this thesis intends to find somehow to beat the market whether the market is a Bull market or a Bear market. The technical analysis I applied in this paper is Joseph Granville Rules (Granville Rules). The Granville Rules are derived from simple calculations between the price and the moving average. This thesis investigates the profitability of the Granville Rules. And in the pursuit of better profitability, I add some restrictions under the spirit of the original rules. The dataset comes at the daily frequency and consists of the closing price and opening price on three stock indexes: Taiwan Capitalization Weighted Stock Index (TAIEX), Dow Jones Industrial Average Stock Index (DJI) and Shanghai Securities Composite Stock Index (SSE). The empirical test shows that the Granville Rules are increasingly profitable and rewards investors with notable returns in the stock markets.
|
|---|