| dc.description.abstract | When the stock market shows a bullish upward trend, hot money will flow between stocks
to form stock rotations. The stock rotation strategy is an active trading strategy that uses market
trends to profit, and uses the misalignment of the strong time of different investment industries
to carry out the industry. Replacement to maximize the return on investment. That is to say,
perform rotation allocation based on the difference in the performance of different stocks in the
interval, and strive to capture the better-performing stocks in the interval, remove the underperforming stocks, and reduce the equity position when judging the market is not good. , To
increase the ratio of bonds or currencies.
Currently, most research on Taiwan stocks focuses on Price Momentum Strategy. However,
in past experiments, although the direction of capital flow can be positively correlated with the
future return of individual stocks, it has not been included in the discussion of stock rotation
strategies. The general stock rotation research mostly focuses on investment in industry indexes.
In practice, it may be difficult to invest or find important stocks that can improve the industry
index due to too many stocks.
In response to this problem, this research combines the specific agency variables after
industry classification with the moving pane method to build a risk and profit assessment tool
for stock portfolios, so that investors can use this tool to customize stocks. , And set the factor
ranking method and transaction backtesting parameters. Through the moving pane method, the
momentum factors of the stocks and leading stocks are sorted in the sample pane to form a
strong investment target, and the investment is simulated in the out-of-sample pane and the
components are rebalanced. , And calculate its performance and visual presentation.
Four verification cases are set up in this study. The purpose of each verification case is to
be achieved through this research tool, and the investment portfolio parameters and pane size
settings of each verification case of investors are recommended. Through the verification results,
it can be known that the optimized parameters and transaction costs of each stock classification
will erode the short-term kinetic energy effect, the length of the formation period will be better
than the single formation period, and the performance of the transaction at the beginning of the
month will be better than the end of the month. | en_US |