Constructing Trading Strategies According to Fibonacci Sequence in Shanghai Stock Market
- 10.2991/icesem-18.2018.288How to use a DOI?
- Fibonacci sequence; Trading strategy; Shanghai Stock Market; Risk-taking
The goal of this paper is to investigate the performance of Fibonacci sequence investment strategies in Shanghai stock market. The Fibonacci numbers are the numbers following the integer sequence, which is referred to as the Fibonacci sequence, and characterized by the fact that every number is the sum of two numbers preceding it. We construct buy and hold portfolios based on holding periods and market conditions. The results suggest Fibonacci’s strategy still has excess return in a short-run, but there is no strong evidence that investment performance outperforms the market in a long-run. We suggest that the Fibonacci strategy can be regarded as a trading strategy, depending on the level of risk-taking for a holding portfolio.
- © 2018, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - Yi-Chang Chen AU - Chao-Chung Ho AU - Linna Deng AU - Yanzhang Qiu AU - Cong Huang PY - 2018/08 DA - 2018/08 TI - Constructing Trading Strategies According to Fibonacci Sequence in Shanghai Stock Market BT - Proceedings of the 2018 2nd International Conference on Education Science and Economic Management (ICESEM 2018) PB - Atlantis Press SP - 1235 EP - 1237 SN - 2352-5398 UR - https://doi.org/10.2991/icesem-18.2018.288 DO - 10.2991/icesem-18.2018.288 ID - Chen2018/08 ER -