Data-driven profitability: contrasting insights into TRB strategies in Taiwan and China stock markets
學年 114
學期 1
出版（發表）日期 2025-12-31
作品名稱 Data-driven profitability: contrasting insights into TRB strategies in Taiwan and China stock markets
作品名稱（其他語言）
著者 Min-Yuh Day; Yensen Ni; Hung-Ching Hu
單位
出版者
著錄名稱、卷期、頁數 Applied Economics
摘要 The growing interest in data-driven trading motivates the need to clarify whether technical rules consistently generate profitability across markets with different structural characteristics. This study aims to compare the effectiveness of Trading Range Breakout (TRB) strategies in Taiwan and China, addressing the research problem of whether long positions triggered by major price breakouts can deliver sustainable returns in both markets and whether their performance varies systematically. Using large datasets of extensive historical index data, the results show that long positions based on 240-day highs or lows produce significant returns in both markets, with momentum strategies proving more effective in China and contrarian strategies performing better in Taiwan. This study contributes to existing knowledge by revealing that TRB profitability depends on market-specific conditions rather than uniform principles, thereby offering a more nuanced theoretical understanding of technical rule performance and providing investors with evidence-based insights for navigating diverse financial environments.
關鍵字 Trading range breakout (TRB) trading rule; investment strategies; average holding period return (AHPR); subsequent performance
語言 en
ISSN
期刊性質 國外
收錄於 SSCI Scopus
產學合作
通訊作者 Yensen Ni
審稿制度 是
國別 GBR
公開徵稿
出版型式 ,電子版
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/128435 )