Predicting the FTSE China A50 Index Movements Using Sample Entropy

• 발행기관: 한국유통과학회
• 저자명: Hatem AKEEL
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 9 No.3, 1~10쪽, 전체 10쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2022.03.30

영문 초록

This research proposes a novel trading method based on sample entropy for the FTSE China A50 Index. The approach is used to determine the points at which the index should be bought and sold for various holding durations. The findings are then compared to three other trading strategies: buying and holding the index for the entire time period, using the Relative Strength Index (RSI), and using the Moving Average Convergence Divergence (MACD) as buying/selling signaling tools. The unique entropy trading method, which used 90-day holding periods and was called StEn(90), produced the highest cumulative return: 25.66 percent. Regular buy and hold, RSI, and MACD were all outperformed by this strategy. In fact, when applied to the same time periods, RSI and MACD had negative returns for the FTSE China A50 Index. Regular purchase and hold yielded a 6% positive return, whereas RSI yielded a 28.56 percent negative return and MACD yielded a 33.33 percent negative return.

목차

1. Introduction

2. Literature Review

3. Research Methods

4. Results and Discussion

5. Conclusion and Recommendations

References

키워드

Sample Entropy Portfolio Choice Stock Market Trading FTSE China A50 Index MACD RSI