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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. Keywords—Fibonacci sequence; Trading strategy; Shanghai Stock Market; Risk-taking

Constructing Trading Strategies According to Fibonacci Sequence in Shanghai Stock Market