Constructing Trading Strategies According to Fibonacci Sequence in Shanghai Stock Market

DOI

10.2991/icesem-18.2018.288How to use a DOI?

Keywords

Fibonacci sequence; Trading strategy; Shanghai Stock Market; Risk-taking

Abstract

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.

Copyright

© 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/).

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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  -