| Summary: | 碩士 === 國立臺灣科技大學 === 財務金融研究所 === 107 === The main purpose of this study is to explore the effectiveness of several commonly used technical analysis indicators, such as moving average, MACD, and KD. And try to combine them to build a composite indicator investment strategy. This study selects the daily CSI 300 Index and its constituent stocks from June 25, 2008 to January 2, 2019 as the target, and conducts a backtest to see if the performance of the combined indicators can bring excess returns to investors.
Through empirical tests, the conclusions are as follows:
1. In the short-term frequency, every five trading days, using the two-fold combination of the MA indicator, the KD indicator, and the MACD indicator can achieve better performance than the buy-and-hold strategy.
2. In the medium-term frequency, every twenty trading days, the combination of the MA indicator, the KD indicator, the MACD indicator, and the combination of the MA indicator and the MACD indicator can achieve better performance than the buy-and-hold strategy.
3. From the sensitivity analysis results, the frequency of buy and sell will have a greater impact on the performance of using a single indicator.
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