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政大機構典藏 > 商學院 > 風險管理與保險學系 > 期刊論文 > Item 140.119/61657

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题名:	Pinpoint and Synergistic Trading Strategies of Candlesticks
作者:	許永明 Shiu, Yung-Ming;Lu, Tsung-Hsun
贡献者:	風管系
关键词:	Candlestick;Reversal pattern;The QR model;Technical analysis
日期:	2011.02
上传时间:	2013-11-12 17:52:42 (UTC+8)
摘要:	The candlestick trading strategy is a very popular technical method to convey the growth and decline of the demand and supply in the financial market. In this paper, we aim to investigate the predictive power of the candlestick two-day patterns, and to determine the key factors to improve performance. The data set of this study includes daily opening, high, low, and closing prices, and daily volumes of all electronic securities in the Taiwan Stock Exchange between 1998 and 2007. The result of this paper indicates that the harami pattern can obtain information about short-term price movements derived from the demand and supply in Taiwan stock market, because the performances from the harami signals are significantly positive overwhelmingly. The main contribution of this study is that it improves these trading strategies with three confirmation factors, that is, the open of the day after a reversal pattern, the changes of real bodies between two days, and the changes in volume. In addition, this is the first time that candlesticks research has employed the Quantile Regression Model.
關聯:	International Journal of Economics and Finance, 3(1), 234-244
数据类型:	article
显示于类别:	[風險管理與保險學系] 期刊論文

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