包寧傑帶狀搭配均線與KD指標之多層次股票篩選模式─以台灣股市為例

股票分析有基本分析和技術分析，基本分析的使用上散戶和大戶及公司大股東，對於資料的來源取得有相當大的落差，在資訊不對稱之下，散戶很難有大的勝算。但使用技術分析的投資人在股市操作績效仍然不彰，究其原因，除了操作心態不正確之外，就是對技術工具的選擇和用法的搭配錯誤所致。本研究以日線包寧傑帶狀為主要工具，配合週均線、及月KD指標的大波段行情。分別對台灣證券交易所所有上市櫃股票、台灣50成分股、以及摩台指數成分股，以買進後持有20個交易日，加以實證分析這些工具的多週期搭配策略是否有效。研究期間為2008年1月1日至2013年2月6日止，為期五年。本研究的實證結果如下： 1.日線包寧傑帶狀順勢交易法則，在個股的操作平均勝率比其他指標更具效率。 2.加入週均線的選股機制，可以有效的減少買進訊號發生次數。 3.大盤月KD向上代表大盤大波段方向向上，以順勢操作的原則適時選股做多，在選股效率上證明是非常有效。實際印證可以比原來的選股方式提高67.01％的選股成功率，和提升利潤總平均70.01％。 4.指數成分股在四個策略中摩台指數成分股的績效均優於台灣50成分股的表現。關鍵詞：包寧傑帶狀、MA、KD、多週期搭配策略、指數成分股

關鍵字

包寧傑帶狀； MA ； KD ；多週期搭配策略；指數成分股

並列摘要

Stock analysis can be divided into fundamental and technical analysis. There is a huge difference of material acquisition between retail investors, institutional investors and shareholders. Under this phenomenon of asymmetric information, the odds are hard on retail investors’ favor. On the other hand, investors are also unable to acquire return by adopting technical analysis. The reasons of failure lie not only in attitude, but also in a lack of alliance with the option and usage of technical analysis tools. This study adopts Bollinger Band as the principle technical tool, and combined with weekly moving average lines and stochastic oscillator to analyze all the stock of listed company, Taiwan ETF-50 Stock, and MSCI Taiwan Index Components. In order to get more insight of the effectiveness through multiple time frame strategies, we collect the entire sample from 2008.01.01 to 2013.02.06. The results of this study are as follows: 1. The Bollinger Band trading rules work more efficient than other indicators on acquiring return. 2. By adding with the stock selection mechanism of weekly moving average lines, it can effectively reduce the sign occurrences 3. The stochastic oscillator trend lines represent the direction of market index and the efficiency of selecting stock is proved to be positive by conducting trend following strategy. It confirms the success rate by 67.01% and can therefore increase the average profits by 70.01%. 4. Among four strategies, c of MSCI Taiwan Index Components are superior to Taiwan ETF-50 Stock. Keywords: Rational analysis, Bollinger Band, MA , KD, multiple time frame strategy