Profitability of Chart Pattern in TAIEX with Computational Algorithm
Date Issued
2015
Date
2015
Author(s)
Hsu, Yang-Jie
Abstract
Technical analysis, especially “charting”, has been a part of financial practice for many decades, but this discipline didn’t receive the same level of academic scrutiny and acceptance. In this paper, we impose the pattern recognition algorithm of Lo, Mamaysky, and Wang (2000) with several modifications to determine whether ‘‘Double Top’’ (DTOP) price pattern has profitability for TAIEX returns. Which modification include the implementation of typical filters and treats which technical analyst considered as common sense. With data from TAIEX over the period 2005-2014, we find support for the profitability of our own revised DTOP strategy under some parameter settings. On the other hand, we also find there is obvious presence of equal amplitude after breaking the neck line under all parameter settings.
Subjects
kernel regression
charting pattern
technical analysis
pattern recognition algorithm
Type
thesis