├── Backtesting-a-KD-RSI-MACD-trading-strategy-using-Python.ipynb └── README.md /README.md: -------------------------------------------------------------------------------- 1 | # Backtesting-a-KD-RSI-MACD-trading-strategy-using-Python 2 | 3 | ## Basic Setup(基本設置) 4 | 1. Target Selection: From the component stocks of Taiwan 50 index, select the following 15 industry's stocks with the highest percentage of shares. 5 | 6 | * Semiconductor Industry: Taiwan Semiconductor Manufacturing Co., Ltd. 2330 7 | * Electronics Industry: Hon Hai Precision Industry Co., Ltd. 2317 8 | * Communication Network Industry: MediaTek Inc. 2409 9 | * Plastic Industry: Formosa Plastics Corporation 1301 10 | * Financial Insurance Industry: Cathay Financial Holding Co., Ltd. 2883 11 | * Iron and Steel Industry: China Steel Corporation 2002 12 | * Optoelectronics Industry: Chi Mei Optoelectronics Corporation 2337 13 | * Electronic Components Industry: Delta Electronics, Inc. 2308 14 | * Computer and Peripheral Equipment Industry: Acer Inc. 2353 15 | * Oil, Electric, Gas Industry: Formosa Petrochemical Corporation 1314 16 | * Food Industry: Uni-President Enterprises Corp. 1216 17 | * Textile and Fiber Industry: Far Eastern New Century Corporation 1326 18 | * Cement Industry: Taiwan Cement Corporation 1101 19 | * Electronics Retail Industry: Largan Precision Co., Ltd. 2337 20 | * Trading and Department Stores: Uni-President Enterprises Corp. 1229 21 | 2. Data Frequency and Period: Daily Data, from January 1st, 2013 to January 1st, 2023. 22 | 23 | 3. Data Source: Yahoo Finance, retrieved through the yfinance package. 24 | 25 | 4. Transaction Costs: 0.1425% of the transaction amount will be charged as transaction fees when buying or selling stocks. 26 | 27 | 5. Operating Strategy- KD, RSI, MACD 28 | 29 | * KD value can be used to not only determine buy and sell signals, but also objectively indicate market overbought or oversold conditions. When using KD data, D value should be used. 30 | * When D value < 20, it represents bearish strength and market oversold conditions, indicating possible rebound or rise in the near future => buy signal 31 | * When D value > 80, it represents bullish strength and market overbought conditions, indicating possible pullback or decline in the near future => sell signal 32 | * If RSI > 50, we assume that the price is rising => buy signal 33 | * If RSI < 50, we assume that the price is falling => sell signal. 34 | * MACD is a trend-following momentum indicator that is calculated by subtracting the 26-day exponential moving average (EMA) from the 12-day EMA. It is typically displayed as a histogram and a signal line. 35 | * When the MACD line (the blue line) crosses above the signal line (the red line), it is a bullish signal, indicating that it is a good time to buy. 36 | * When the MACD line crosses below the signal line, it is a bearish signal, indicating that it is a good time to sell. 37 | 38 | 6. In summary, the basic setup for this strategy includes selecting 15 stocks from the Taiwan 50 index, using daily data from January 1st, 2013 to January 1st, 2023, and sourcing data from Yahoo Finance through the yfinance package. The strategy also includes using KD, RSI, and MACD indicators to determine buy and sell signals, as well as taking into account transaction costs of 0.1425% of the transaction amount. 39 | ### 中文說明 40 | 1. 標的選擇：從台灣50指數當中的成分股，挑選出以下15個產業中，各個持股比例最大的上市股票標的。 41 | 42 | * 半導體業：台積電 2330 43 | * 電子業：鴻海 2317 44 | * 通信網路業：宏達電 2409 45 | * 塑膠工業：台塑 1301 46 | * 金融保險業：國泰金 2883 47 | * 鋼鐵工業：中鋼 2002 48 | * 光電業：奇美電子 2337 49 | * 電子零組件業：台達電 2308 50 | * 電腦及週邊設備業：宏碁 2353 51 | * 油電燃氣業：台塑石化 1314 52 | * 食品工業：統一 1216 53 | * 紡織纖維：遠東新 1326 54 | * 水泥工業：台泥 1101 55 | * 電子通路業：聯強國際 2337 56 | * 貿易百貨：統一超 1229 57 | 2. 資料頻率與期間：日資料，自2013年01月01日 至2023年01月01日。 58 | 3. 資料來源：Yahoo Finance，透過yfinance套件抓取。 59 | 4. 手續費成本：買賣股票時，手續費依成交金額的0.1425％計收。 60 | 61 | 5. 操作策略- KD, RSI, MACD 62 | * KD 值除了可以判斷買賣訊號，還可以客觀的表現市場過熱或過冷，判斷市場行情時要使用 D 值的數據。 63 | * 當 D 值 < 20，代表空頭強勢，市場過冷，隨時可能反彈或回升 => 為買入信號 64 | * 當 D 值 > 80，代表多頭強勢，市場過熱，隨時可能回檔或下跌回升 => 為賣出信號 65 | * 如果 RSI > 50 ，我們就假設價格正在上升 => 為買入信號 66 | * 如果 RSI < 50，我們就假設價格正在下降 => 為賣出信號 67 | * MACD指標(柱狀圖、DIF-MACD) > 0 => 為買入信號 68 | * MACD指標(柱狀圖、DIF-MACD) < 0 =>為賣出信號 69 | --------------------------------------------------------------------------------