運用衝力技術指標預測台股牛市起漲點之實證研究

Empirical Research on Predicting Bull Market Starting Point of Taiwan Stock Market Index through MTM Technical Indicators

吳至硯(Chih-Yen Wu)

指導教授 ： 洪茂蔚

國立臺灣大學/管理學院/國際企業學研究所/碩士(2019年)

https://doi.org/10.6342/NTU202100897

摘要

本研究以臺灣加權指數為研究對象，研究期間為2003年2月21日至2019年4月30日，運用三種能夠預測重要牛市起漲點的動量技術指標，進行近20年臺灣加權指數實證研究，並比較三種不同動量技術指標之可能起漲點勝率以及績效。所謂動量技術指標（Momentum，簡稱MTM）係指一種測量大盤漲跌速率的技術指標，本研究所指三種動量技術指標包含寬度突破指標、90%超跌日(90%超漲日)、以及漲跌比率指標。實證結果發現運用此三種動量技術指標預測台股牛市起漲點的勝率非常高，勝率均在68.75%以上，1年內漲幅都超過13%，此外，此三種動量技術指標預測的牛市起漲點性質截然不同，寬度突破指標近10年沒再出現訊號，90%超跌日(90%超漲日) 偵測的起漲點最全面，漲跌比率指標偵測到的起漲點則最少，但都是大牛市起漲點。

關鍵字

動量技術指標 ； 寬度突破指標 ； 90%超跌日 ； 漲跌比率指標

並列摘要

MTM is a technical indicator that measures the pace at which a trend is accelerating or decelerating. Some MTM technical indicators have been examined by previous researchers that they are able to find bull market starting points. By applying three of these MTM technical indicators including Breadth Thrust Index (BTI), Ninety Percent Downside Days (NPDD), and Advance Decline Ratio (ADR), into TAIEX Index, this empirical research aims to track down each MTM technical indicator’s success rate and financial performance. The empirical research is carried out over a period of nearly 20 years, from February 21st 2003 to April 30th 2019. The empirical research result shows that among these three MTM technical indicators, the success rate of finding the exact possible bull market starting points are all above 68.75% and all their average financial performance achieves more than 13%. Besides, the result also shows that possible bull market starting points generated from these each MTM technical indicator represent different meaning. For BTI, it hasn’t been effective in recent decades. For NPDD, it is the most comprehensive one because it captures almost every market bottom. As for ADR, although it finds less points, they turn out to the best financial performance.

並列關鍵字

MTM ； The Breadth Thrust Index ； Ninety Percent Downside Days ； Advance Decline Ratio

參考文獻

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