- 學位論文
以技術分析W底型態建構台指期交易策略之實證研究
An Empirical Study of Double Bottom Pattern Strategy on Taiwan Futures Market
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摘要
期貨市場從民國86年開始至今已超過10年，市場上也充斥著各種投資方法與指標，目的就是要讓投資人可以打敗效率市場而獲得超額報酬。但報章雜誌中常常提及許多投資策略，看似能夠讓投資人獲得極大的報酬，但細看後卻無法由其中文字發現投資的方法。 本研究針對技術分析中的K線分析(CandleStick Analysis)來對W底型態加以定義，並在打出第二隻腳時進場作多，研究方法以絕對點數以及百分比為跌幅之設定對2007/01/01至2010/06/30之台灣期貨市場作實證研究，實證發現原始策略可獲得正向報酬並且績效優於買入持有策略。 之後再將原始策略〈打出第二隻腳〉應用於選擇權市場，發現在賣出價外一檔賣權策略之累計績效遠大於買進價外一檔買權策略。
並列摘要
Since 1997, the Taiwan futures market has been ran through for more than 10 years. There are been kinds of trading methods and analysis indexes which can be applied into the market by investors. Though the investment strategies seem to bring max returns to investors, but as we read those strategies on papers and magazines, we can’t really get benefits but confused at which variables should be chosen and how the strategies can be formed. In the research, The Double Bottom Strategy of Candlestick Analysis was chosen to form as a trading method. The variables and definition have been clearly made, when the condition is satisfied then go long. Applied this strategy to the empirical study on Taiwan Futures Market from 01/01/2007 to 06/30/2010, Evidence shows the Strategy brought more positive rewards than Buy-and-hold strategy did. When the strategy is investigated in the option market, we found that the positive reward was still existed, and the performance of sell-put strategy was much better than of the buy-call strategy.
參考文獻
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