- 學位論文
三重濾網交易策略能提升技術指標獲利能力之探討
The Triple Screen Trading System Can Promote Return of Technical Analysis
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摘要
本文應用Elder(1986)三重濾網交易操作策略，除了原有的擺盪指標外，再納入趨勢指標作為交易策略，就期貨與股票市場皆可應用三重濾網策略提升交易之報酬，以此證明不同市場是否可利用此策略提升操作績效。本文使用台灣50指數成分股與台灣中型100指數成分股為樣本，總共222家公司，取樣期間為2005年1月1日至2011年6月30日止。在考慮交易成本下，檢視三重濾網交易策略的操作績效，本研究發現：(1)在做多策略上，擺盪指標與趨勢指標皆可提升交易報酬率。(2)在做空策略上只有擺盪指標可提升交易報酬率。(3)可減少交易筆數且提升獲利成功率。(4)應用於傳統產業的策略績效優於應用於電子產業的策略績效。然而，對投資人的建議為投資人並非得要追求複雜的交易策略，是使用週線濾網，搭配簡單的交易策略，即可減少投資訊號與錯判情勢所帶來的虧損及風險。
並列摘要
The present study employed the Triple Screen Trading System proposed by Elder (1986).This research not only use oscillators but also use trend-following indicators in Taiwan 50 Index constituents and Taiwan 100 Index constituents. We find that the Triple Screen Trading System by the statistical validation can be to raise the return of the trading strategy. We construct the portfolio using 222 companies during the period of 2005 to 2011 in the present study. The empirical results are as follows: (1) in long position, oscillators and trend-following indicators both can raise return. (2) In short position, oscillators indicators can raise return. (3) The Triple Screen Trading System could reduce number of trading and improve the profitability. (4)The profitability of applying the trading strategy in the traditional industries outperforms that in the electronics industries.
參考文獻
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