應用三重濾網下之技術指標探討台灣股市交易策略

A study on Technical Indicators Application of Triple Screen Trading Strategy in Taiwan Stock Market

黃紹輔(Shao-Fu Huang)

指導教授 ： 李鴻璋

淡江大學/商管學院/資訊管理學系碩士班/碩士(2013年)

https://doi.org/10.6846/TKU.2013.00158

摘要

在台灣股市市場中，在對於效率市場假說存在截然不同的看法，本研究利用多層次的過濾篩選機制，將不同類型及不同種類的技術指標規則設定為篩選條件，在使用不同的買賣策略下，找出最佳適合的買賣點。研究使用不同的時間架構的技術指標，實證於台灣加權股價指數中，結果較單純的買進持有策略產生近十幾倍的絕對值倍數。本研究策略以大趨勢研判為第一層過濾，第二、第三層以較短期技術指標過濾後，進行買、賣、及放空策略。在2008年1月至2012年6月實證期間，本系統在研究期間最佳有114%的績效，而單純的買進持有策略只有-5%的績效。為進一步研究在本研究下其他技術指標的有效性，我們搭配不同的買賣策略來分析其所能產生的績效，並綜合討論在不同技術指標中做多及放空的準確率及績效，以期達到最佳組合。

關鍵字

技術指標 ； 台灣加權股價指數 ； 效率市場

並列摘要

Opposite ideas about the Efficient Market Hypothesis exist in Taiwan stock exchange market; this Study proposes a multi-level screening method to find the optimal trade points under specific trade strategy selected, using technical indexes and rules of different types. This Study has also verified the method in actual Taiwan Weighted Stock Index with technical indexes of different periods of time, and the result is an absolute value ten times higher than the strategy of simply building a position. This Study uses trend analysis as the first-level screening and shorter term technical indexes as the second- and third-level screening before buying, selling, or short selling strategy is decided. During the verification period from January 2008 to June 2012, this system has achieved a performance as high as 114%, while simple buy-and-wait strategy produces only a performance of -5%. To further study the effect of other technical indexes and the optimal portfolio, this Study adapts different trade strategy to assess the possible performance and then discusses in general the accuracy and performance of different technical strategies in selling long and short.

並列關鍵字

Technical index ； Taiwan Weighted Stock Index ； Efficient Market

參考文獻

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