- 學位論文
移動平均線應用於外匯市場上交易策略之研究
The trading strategy of moving average rules in the foreign exchange market
摘要
本文從技術分析的觀點，利用一次移動平均線與二次移動平均線作為技術分析的工具，研究期間為2002年至2010年，研究對象為歐元兌美元與美元兌新臺幣之匯率日資料，以傳統移動平均線交易法則可能會產生之盲點來訂定新的買賣訊號，再依訊號出現後10日內的報酬率做分析，決定哪幾組為較佳之技術指標。並以歐元兌美元匯率(美元兌新臺幣匯率)中較佳買賣訊號的出現，檢視另一種匯價的10日內報酬率做探討。實證研究分析發現：1. 一次移動平均線與二次移動平均線的交易訊號出現後，通常是二次移動平均線的交易訊號較早產生有效報酬率。2. 有3組的一次移動平均線的技術指標顯示歐元兌美元匯率上漲領先於美元兌新臺幣下跌；3組的二次移動平均線的技術指標顯示歐元兌美元匯率上漲領先於美元兌新臺幣下跌；2組的一次移動平均線的技術指標顯示美元兌新臺幣上漲領先於歐元兌美元匯率下跌。3. 可以依據實證結果訂定較佳的交易策略。
並列摘要
This study is based on the technique analysis view and the technique analysis indicators are choose to use simple moving average and double moving average. The period of the study spans from 2002 to 2011. The exchange rate data of the study are the European Dollar to US dollar and US dollar to New Taiwan Dollar. The study reset a new moving average trading signal which is different from the traditional moving average trading rule because the traditional moving average trading rule has the shortage. The study analyses the buy and hold return within 10 days after the trading signal appears and then decides the better indicators. The study also examines whether there is some relationship between 2 exchange rates and uses the empirical result to make some trading strategies. The empirical result of the study show that: 1. the return (higher than trading cost and significantly greater than zero) by the trading signal of double moving average can be gained earlier than the trading signal of simple moving average. 2. 3 simple moving average indicators show that Euro dollar to US dollar exchange rate would increase significantly and then US dollar to New Taiwan Dollar exchange rate decrease significantly； 3 double moving average indicators show that Euro dollar to US dollar exchange rate would increase significantly and then US dollar to New Taiwan Dollar exchange rate decrease significantly； 2 simple moving average indicators show that US dollar to New Taiwan Dollar exchange rate would increase significantly and then Euro dollar to US dollar exchange rate decrease significantly. 3. the empirical result of the study can provide the investors some better trading strategies.