K線組合投資策略之效益分析－以TAIEX與現金殖利率的實徵資料為例

本研究的目的係以1999至2014共16年臺灣集中市場的交易資訊為樣本，從技術面、整體市場面及基本面三方面探討出簡易的交易策略，協助投資人決定買賣時機及投資好的標的，以降低風險及提高獲利。技術面：本策略是以日、週、月K線指標混合成六類買賣類別，每種類別以K線上漲或下跌次數連續達1次-4次，或上漲累積%或下跌累積%達10%-20%為參數條件，共達660種不同的組合，得到以下結論，以月K線買進且月K線賣出的類別，有最佳的投資報酬率。整體市場面：以最佳投資報酬率的策略組合，做大盤加權指數分析，發現於加權股價指數愈低時進場，投資報酬率愈高。基本面：以最佳投資報酬率的策略組合，做現金殖利率分析，發現選擇高現金殖利率股票，有助於提高投資報酬率，但不表示選擇現金殖利率愈高的股票，投資報酬率就會愈高。投資人除參考本研究的交易策略外，應考量自己的投資性格及承受風險，增加其它的判斷條件，建立一套長期有效投資策略。

關鍵字

K線；發行量加權股價指數；現金殖利率

並列摘要

The purpose of this study is to develop investment models which consider technical analysis, stock market index and fundamental analysis factors by using a sample of the trading data of Centralized Securities Trading Market from 1999 to 2014 in Taiwan to investigate the applicability of some simple trading strategies. To reduce risk and increase profitability, the stock trading strategy of this research can help investors determine buy/sell timing and make decisions on stock selection. Technical analysis: The trading strategies can be classified into six categories based on monthly, weekly and daily CandleStick indicators. Each category has the parameters of consecutively up/down times from 1 to 4 or cumulative up/down percent from 10% to 20%. Totally there are 660 combinations. The result shows that the trading category of monthly CandleStick indicator has the best profitability. Market index analysis:Based on the best portfolio strategy we found, the result indicates that if we invest stocks at the lower level of TAIEX, the higher profitability we can obtain. Fundamental analysis: Based on the best portfolio strategy we found, we find that investment on high cash divided yield stocks can increase the profitablility, but it does not significantly show a positive linear relationship between cash dividend yield and stock return. The findings can be used for investment decision making, however, investors could adjust their strategies by considering their own investment character and risk tendency to develop a long-term and effective investment strategy.