This research is based on the fundamental technical indexes of price, volume, moving average and MACD to judge the buy point and sell point; with the installation of turtle rule and filter rule to add portfolios, and construct separately the trend trading strategy, such as the strategies of filter-bull trading, filter-short trading, filter-combination trading, turtle-bull trading, turtle-short trading and turtle-combination trading, besides, based on the fund investment rule and construct the recycle trading strategy.
The trading strategy of this research is written by HTS (Home Trading System), according to the transaction data of Taiwan50 (EFT0050) from June 30, 2003 to May 31, 2010 as the analytical material, back test and verify the effect of the above mentioned transaction strategies, as the reference for the investors, the results are as following:
1. The performances of filter-bull trading strategy and turtle-bull trading strategy are
comparative effective, investors are gaining profit from the bull market.
2. The performances of filter-short trading strategy and turtle-short trading strategy are comparative less effective, it proves that the price is changed rapidly in the bear market, short trading is indeed difficult, only if the investors at the right time to buy or sell the stock, increase the chance to gain profit.
3. It is verified that filter-combination trading strategy is comparative more effective than turtle-combination trading strategy, no matter on bull phase or bear phase, it is profitable, and it is indeed the transaction strategy on the bull and short trend
4. According to recycle trading strategy, if the stop profit is higher the performance is better, but the period of achievement is longer, the investors with sufficient fund, no matter when to invest, as long as the investors with patience, long term investment will be profitable.