Applying technical analysis of stock trends to trading strategy of dynamic portfolio insurance

Jung Bin Li, Sheng Hsiu Wu, Mu Yen Chen, An Pin Chen

研究成果: Conference contribution

摘要

In the trading operation of dynamic portfolio insurance, TIPP (Time Invariant Portfolio Protection), when adjusting active assets, only considers the scale of asset of that time regardless of how market trend proceeds. In other words, TIPP is clumsy in evading loss and pursuing profits. This study makes use of the predictability of artificial neural network, via market trend analysis and the learning of historical data, to find out the most optimized Multiplier of TIPP in various situations so as to optimize dynamic portfolio insurance. This study utilizes two kinds of artificial neural networks. One is to employ the price, quantity, and tendency technical index as the input item to predict the future rise or drop as the output item. The other is to employ the various technical indexes when MACD crossed on that day to serve as the input item, and the output items are the future range and days of rise and drop. The statistics show that the profitability of the prediction module of crossed MACD is better than the artificial neural networks; both are better than the traditional strategy operation of TIPP.

原文English
主出版物標題Proceedings of the 9th Joint Conference on Information Sciences, JCIS 2006
DOIs
出版狀態Published - 2006
事件9th Joint Conference on Information Sciences, JCIS 2006 - Taiwan, ROC, Taiwan
持續時間: 2006 十月 82006 十月 11

出版系列

名字Proceedings of the 9th Joint Conference on Information Sciences, JCIS 2006
2006

Other

Other9th Joint Conference on Information Sciences, JCIS 2006
國家Taiwan
城市Taiwan, ROC
期間06-10-0806-10-11

All Science Journal Classification (ASJC) codes

  • Engineering(all)

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