Using Option and Stock Volume Ratio as Trading Strategies
Date Issued
2016
Date
2016
Author(s)
Hsu, Chia-Wei
Abstract
Using the OS concept of Johnson and So(2012),constructing OS Index, Delta OS Index, PS Index, Delta PS Index, CS Index and Delta CS Index as trading index. With the half year moving average of SP500, there are 12 kinds of trading strategies. Delta OS Index and half year moving average of SP500 is the most outstanding trading strategy. On the buy side, the return is significant large than zero. The wining rate is over 60%. Overall, it is a good trading strategy. The first trading signal of the change between long and short transition is a strong one. It can be the signal when SP500 is going up or going down. It is a very useful information for investors.
Subjects
OS Index
trading index
trading strategy
trading signal
long and short transition
Type
thesis
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ntu-105-R02723058-1.pdf
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