The Performance Study of Adopting Profitability Index associated with Moving Average on Programming Trading - Evidence from Taiwan Listed Stocks
|關鍵字:||股東權益報酬率;每股盈餘;移動平均線;程式交易;Return on Equity(ROE);Earnings per share(EPS);Moving Average(MA);Programming Trading|
The purpose of this study is to find the appropriate and effective stock selection method and trading strategy. Typically there are two methods to do stock investment, one is fundamental analysis and the other is technical analysis. The essence of the fundamental analysis is the stock choosing. As Warren E. Buffett said, it’s far better to buy a wonderful company at a fair price than a fair company at a wonderful price. The essence of the technical analysis is the market timing. According to the trend of the historical stock prices as well as the volume relationship to predict the possible development of the stock prices and judge buying or selling strategy for the future. This research chose Taiwan listed stocks as the samples. Combining the respective superiority of financial analysis and technical analysis and using profitability index as ROE, EPS, gross margin as well as capital to choose stocks as a portfolio and using moving average as the trading indicator. Use the programming trading to review the performance of this research’s trading strategy. The empirical results showed that this research’s strategy gained positive return and on average acquired excessive profit than that of the stock market index. The results showed that stock choosing strategies which were from the previous year’s finance report before the trading starting date performed the best. And also find that the shorter of the trading period, the better the return it performed. If we randomly choose the starting trading date, we still can have the same conclusion that the strategy gained positive return and on average acquired excessive profit than that of the stock market index. When the stock market index was fallen more than 20%, this trading strategy still gained excessive 5% return than that of the stock market index. If we reduce the portfolio size as only top 3 EPS companies, we still can have the conclusion that the trading strategy still gained excessive 5% return than that of the stock market index. Therefore, this research can find the appropriate and effective stock selection method and trading strategy and can acquire excessive return than the stock market index.
|Appears in Collections:||Thesis|