Research of Taiwan Stock Market Intra-day Price nd Quantity Trading Strategy
Date Issued
2008
Date
2008
Author(s)
Juang,Tzuen-Yan
Abstract
A new trading strategy is studied and introduced to target the potential investment underlying, and further outperforming the market. The correlation between daily price and quantity will be revaluated and analyzed in this theory in hope to allow retailers who have insufficient resources or IT supports to develop unique investment, achieving wealth. Three trading tactics with specified Buy/Sell Points are described as following: 1. Trading tactic 1: The daily turnover is greater than 200% of 5-day turnover, and the underlying price closed 6% or higher than it was in T-1 day. xit Mechanism: ○1 Hold to the end of the month ○2 Take profit (stop loss) if the price lower than 3% of its 10-day moving average (MA10) 2. Trading tactic 2:Add a Stop Loss Point at 7%. The Exit mechanism is the same as Trading tactic 1 3. Trading tactic 3: Add a Stop Loss Point at 7% and add a Buy Point when Taiwan benchmark Index is over its 60-day moving average (MA60). The Exit mechanism is the same as Trading tactic 1he trading result is as below:、Share win/lose ratio: Trading tactic 1 and Trading tactic 2 result in outperforming market 1520 times (or 51.63%), underperforming market 1424 times (or 48.87%). Trading tactic 3 results in outperforming market 1120 times (or 52.39%), underperforming market 1018 times (or 47.61%). All three trading tactics outperform the market.、Monthly performance:rading tactic 1 has 28 months outperformed the market and 20 months underperformed. Trading tactic 2 has 31 months outperformed the market and 17 months underperformed. Tading tactic 3, on the other hand, has 21 months outperformed and 9 months underperformed. Again, all three trading tactics outperform the market. 、Average monthly return: Trading tactic 1 average monthly return is 3.43%, better than market’s 1.2%; Trading tactic 2 is 3.45%, better than market’s 2.93%; Trading tactic 3 is 4.8%, better than market’s 2.8%. The trading results demonstrate the correlation between daily price and quantity does provide positive and better returns in Share win/lose ratio, Monthly performance and Average monthly return by compared to the market. The 2-year back testing shows the 3 trading tactics generate a significant of 3.89% of the average monthly return (3.3% after the deduction of transaction cost).
Subjects
Strategy of Price and Ruantity
Exit Mechanism
Share win/lose ratio
Monthly performance
Average monthly return
Type
thesis
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