Are technical trading strategies still profitable? Evidence from the Taiwan Stock Index Futures Market
This study is the first to use stochastic dominance theory to compare the performance of passive and active trading strategies for the Taiwan Stock Index Futures. In total, we test nine common trading strategies, including buy-and-hold (passive) and eight technical trading strategies (active). The results show that the Relative Strength Index (RSI) oscillator and parabolic strategies outperform the other technical trading strategies, and all of the eight technical trading strategies beat the buy-and-hold strategy both before and after transaction costs. In addition, investing a portion of investors’ money in risky assets and a portion in risk-free assets can help distinguish performance among the trading strategies. This implies that the stochastic dominance theory can help investors determine an optimal asset allocation.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 22 (2012)
Issue (Month): 12 (June)
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAFE20 |
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAFE20|
When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:22:y:2012:i:12:p:955-965. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.