This study proposes a program trading system and applied to Taiwan Stock Market , the trading rules refer to Curtis(2007) -¡yWay of the turtle¡z. In this research , we follow the trend following rule to invest in Taiwan Stock Market and not predict the future price of the market. To see if this system is good enough , we use average earn/loss ratio and average return to measure. Finally , we take trend following strategy compare with four different strategies.
This research choose 16 stocks of Taiwan Stock Market , research period is from 1998/1/3 to 2007/12/31. The result show that trend following strategy gain positive return in different states and periods , its performance better than other strategies. We find the¡§Loss Stop¡¨is the key of trend following strategy in this research.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0827108-103101 |
| Date | 27 August 2008 |
| Creators | Huang, Shin-wei |
| Contributors | Bing-Chiang Jeng, Yuh-Jiuan Tsai, Stephen Yang, Chia-Mei Chen, Yuh-Jiuan Tsai |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0827108-103101 |
| Rights | withheld, Copyright information available at source archive |
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