技術分析可否提升基本面策略之績效

Can Technical Analysis Improve the Performance of Fundamental Strategies?

王毅(Yi Wang)

指導教授 ： 呂育道

國立臺灣大學/電機資訊學院/資訊網路與多媒體研究所/碩士(2020年)

https://doi.org/10.6342/NTU202002347

摘要

本研究主要是使用基本面的量化指標選股策略，並且探討利用技術分析輔助是否能提升此策略的績效，作為個人投資證券的參考依據。在本篇研究中，基本面的策略使用常續性本益比作為選股策略，回測每一年重新選擇投資組合一次的績效。之後使用技術分析的均線加入此策略藉此研究技術分析是否能有效提升基本面策略績效，此外，為了模擬真實的投資情況，此論文還考量了買進之後下市下櫃的股票進行回測，將會使回測結果更貼近實際情況。

關鍵字

基本面分析 ； 常續性本益比 ； 技術分析 ； 均線 ； 回測

並列摘要

This study mainly uses quantitative stock selection strategy based on the fundamentals, and explores whether the help of technical indicators can improve the performance of this strategy. In this study, the fundamentals strategy uses a continuous P/E ratio as the stock selection strategy, and backtests the performance of reselecting the portfolio every year. After that, the moving average of technical analysis is added to this strategy to see whether the indicator of moving average can effectively improve the performance of the above fundamental strategy. In addition, in order to reflect the real investment situation, this thesis also considers the delisting of stocks after purchase, which will make the backtesting results closer to the reality.

並列關鍵字

fundamental analysis ； price-earnings ratio ； technical analysis ； moving average ； backtesting

參考文獻

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Ratner, M. and R. P. C. Leal. (1999) “Tests of Technical Trading Strategies in the Emerging Equity Markets of Latin America and Asia.” Journal of Banking and Finance 23(12): 1887–1905.

Scott H. Fullman. (2012). “The Basics of Technical Analysis” Available at: https://doi.org/10.1002/9781118531785.ch2.

杜佩玲(2009)，「常續性本益比、市淨率與投資報酬關係之研究」，國立臺灣大學會計與管理決策組碩士論文。