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- Title
The Investment Performance and Risk Controlling of Disciplined Investing on the Futures.
- Authors
Hai-Ching Liu; Ying-Fen Fu; Mei-Chun Chen
- Abstract
Little literature investigates the risk controlling ability of technical analysis. This study aims to examine the performance and risk controlling ability of moving average indicator on the stock index futures during the financial tsunami period. The result shows that almost all the MA indicators applied on the three index futures in Tawian can make abnormal returns. The profit of the MA indicators is higher when they are applied on the riskier index futures or in the tsunami period. Regarding the risk controlling ability of MA, the average profit and average holding period of every profitable transaction is much greater than that of the loss transaction. Moreover, there are few times of marking to market of MA strategy, which indicates that based on the MA indicators when the small loss comes, the stop loss signals. Meanwhile, the MA indicators can make investors keep holding the profitable positions. Futures investors can therefore avoid the disposition effect by the mechanism of stopping gains and l osses of MA. That is, the moving average indicators indeed can help investorscontrol risk and make good performance.
- Publication
Soochow Journal of Economics & Business, 2011, Issue 74, p1
- ISSN
0259-3769
- Publication type
Article