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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/118245
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/118245

    Title: 技術指標交叉策略之探究——以香港恆生指數期貨為例
    The Cross-Strategy of Technical Analysis: Evidence from Hong Kong Hang Seng Index Futures
    Authors: 蔡綿綿
    Cai, Mian-Mian
    Contributors: 廖四郎
    Liao, Szu-Lang
    Cai, Mian-Mian
    Keywords: 技術指標
    Technical indicator
    Trading frequency
    Time points of buying and selling
    Date: 2018
    Issue Date: 2018-07-03 17:27:22 (UTC+8)
    Abstract: 技術指標分析方法因其易於理解且操作簡單,在證券投資市場中扮演著重要角色。技術指標主要利用數據的波動來捕捉趨勢轉折點,但過多的短暫波動往往會誤導技術指標,釋放出錯誤的買賣信號,造成交易策略的損失。本文基於短暫性波動影響的考慮,探究改變交易頻率與買賣時間點,是否能夠減小波動的負面影響,使技術指標交叉策略獲得更好的報酬表現。
    The technical indicator plays an important role in the stock market because of its easy understanding and simple operation. Technical indicators mainly use the fluctuations of data to capture the turning points of trends, but many short-term fluctuations often mislead technical indicators, releasing the wrong trading signals and resulting in the loss of trading strategies. Therefore, this paper studies whether changing the trading frequency and the time points of buying and selling can reduce the negative effects of fluctuations, and enhance the performance of the cross-strategy of technical indicators.
    This paper takes the Hang Seng Index futures as the research object. When studying the trading frequency, it adopts the common “golden cross” strategy, which uses the intersection of the indicator’s own fast and slow lines as the buying and selling signals. Daily data, weekly data and monthly data are used for empirical research to observe whether lowering of trading frequency can reduce the negative impact of transient fluctuations and help the technical indicators capture accurate trading signals. From the results, we can see that the technical indicators with different lengths of memory have different optimal trading frequencies. For the golden cross strategy of short-memory indicators (KD, RSI), it performs best using monthly data. For the long-memory indicators (MACD, DMI), the gold cross strategy performs best using weekly data.
    When studying the time points of buying and selling, we construct a “mixed cross” strategy because the long-memory and short-memory indicators have different sensitivity to fluctuations. The golden cross of the short-memory indicator is used as a buying point and the death cross of the long-memory indicator is used as a selling point, to avoid releasing sell signal early because of the short-term fluctuations, and losing large-band gains. The empirical results show that the performance of the “mixed cross” strategy is better than that of the indicator’s respective cross strategy under the daily transaction frequency, which means that changing the time points of buying and selling by mixing the long and short memory indicators, can reduce the impact of transient fluctuations and improve the performance of the returns.
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    Description: 碩士
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G1053520421
    Data Type: thesis
    DOI: 10.6814/THE.NCCU.MB.002.2018.F06
    Appears in Collections:[金融學系] 學位論文

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