An Empirical Study on Trading Rules of Taiwan Index Futures－Application of Week-Based Channels Breakout Strategies.
Date Issued
2016
Date
2016
Author(s)
Kao, Hao-Chan
Abstract
We designed a simple model belonging channel trading strategy of breakout concept and combined with trading strategy evaluation which can implement program trading using real-time data and process back-testing simulation by historical trading data. The daily trading data from 2007 to 2015 for strategy evaluation in this study is from TAIFEX Futures. We will verify the availability with the channel trading strategy through back-testing simulation and data analysis and compare it with other technical analysis indicator. The empirical result show that Week-Based channel model had outstanding behavior in profit factor and net profit while trend-following trading and had effective transaction numbers while counter-trend trading. Evidence from this study to establish the Week-Based channel model is usable in finical market, and the model’s achievement in trend-following trading is better than in counter-trend trading.
Subjects
channel strategy
TAIFEX
technical indicator
program trading
Type
thesis
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