四種技術指標與市場超額報酬之關聯性

本研究是使用隨機指標、布林通道、威廉指標與商品通道指標為主，利用4個指標加權分配，組合成144種加權策略，研究標的為台灣加權股價指數，研究期間為2015年5月1日至2021年6月11日，探討使用加權策略報酬是否較使用單一技術指標高，並兩者最佳績效相比其差異性，研究期間分成作多與作空，再使用單一樣本T檢定、Sharpe績效指標與Jensen績效指標檢定其差異。研究顯示，單一策略與多種指標策略中，最佳策略為作多使用加權配比隨機指標參數(9.3.3)布林通道40%、其餘3個指標各20%為最佳，單一技術指標以布林通道為最佳，但其總排名為第3，且相較來說使用最佳多種指標策略優於單一使用布林通道策略2435點，顯示使用多種技術指標優於使用單一技術指標。

關鍵字

技術分析；隨機指標；布林通道；商品通道；威廉指標；單一樣本T檢定； Sharpe績效指標； Jensen績效指標

並列摘要

This research mainly uses stochastic indicators, Bollinger Bands, Williams indicators and commodity channel indicators, and uses 4 indicators to weight distribution to form 144 weighted strategies. The research subject is Taiwan Weighted Stock Price Index, and the research period is May 1, 2015 From June 11, 2021, to explore whether the use of the weighted strategy has higher returns than the use of a single technical indicator, and to compare the differences between the best performances of the two. During the research period, it is divided into long and short positions. The Sharpe Performance Metrics and the Jensen Performance Metrics examine their differences. Research shows that among single strategy and multiple indicator strategies, the best strategy is to use weighted ratio random indicator parameters (9.3.3) 40% of Bollinger Bands and 20% of the other three indicators are the best. Bollinger Band is the best, but its overall ranking is 3rd, and in comparison, using the best multiple indicators strategy is better than using a single Bollinger Band strategy by 2435 points, showing that using multiple technical indicators is better than using a single technical indicator.

並列關鍵字

Technical Analysis ； Stochastic Oscillator ； Bollinger Bands ； Commodity Channels Indicator ； Williams Indicator ； One-Sample T-Test ； Sharpe Performance Index ； Jensen Performance Index