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| Abstract |
One of the most well known technical analysis of stock market is to use the short-term moving average and the mid-term moving average. This paper reports a simulation of operating incomes gained by al...l possible combination of short-term and mid-term between 1 day and 70 days. For each company, from 1538 companies listed in Tokyo Stock Market, the maximum pair of short-term and mid-term are obtained by simulating buys and sells according to moving averages for 204 days. It turned out that there are many short-terms around 20 days which gain the most profit if the short-term is paired with a mid-term with a few days longer than the short-term.
株価のテクニカル解析の一つとして短期と中期移動平均線を用いた売買手法が知られている。東証一部の1538社ごとの204日間の実データに対し、短期移動平均と中期移動平均として1日〜70日の全ての組み合わせに対する売買シミュレーションを行ない、その中で利益率が最大となる組み合わせを求めた。短期20日、中期70日のような組み合わせが経験則として知られているが、シミュレーション結果として、短期と中期の差が短くかつ短期が20日以上のものが多数あることが分かった。show more
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