移動平均線技術分析交易策略之實證研究-以台灣五十成分股為例

The study of Strategy of Taiwan Stock Exchange Capitalization Weighted Stock Index Futures by using Moving Average-The case of Underlying Stocks of Taiwan 50 Index

魏廷安(Ting-An Wei)

指導教授 ： 王傳慶

國立臺北大學/商學院/金融與合作經營學系/碩士(2011年)

摘要

投資者經常使用各種的技術分析作為投資策略的參考，而移動平均線是最常被投資人使用的技
術分析方法，所以本研究技術分析方法採移動平均線。本研究發現一些技術指標可以作為投資者買
賣臺灣50 指數成分股之參考。
本研究以台灣股價指數期貨做為研究對象，研究期間約8 年，共1965 個交易日，從2002 年10
月29 日至2010 年9 月20 日，透過2 日、3 日、4 日、5 日、6 日、7 日、10 日、20 日、40 日，以
及65 日的移動平均線彼此之間最小差距當作交易訊號，從中找尋具有規律性的技術指標以訂定投資
策略。
實證結果顯示1. 這種技術分析方法可以提供投資者更多的交易資訊。2. 因為傳產、金融和電
子這3 種的股票具有不同的特性，因此對於不同的產業別有不同的資策略，電子類股相對於金融與
傳產類股投資的訊號較多。

關鍵字

臺灣股價指數期貨 ； 臺灣50指數的權值股 ； 技術分析 ； 移動平均線

並列摘要

Recently, professional investors widely use many of the technical analysis tools
to be making strategy of investment. Average moving is one of the most popular
technical analysis tools in the world, so the technical analysis tool we use is the
moving average and we find some useful sign to help and give investors some
references when they invest in Underlying Stocks of Taiwan 50 Index.
In this study, we use the TAIFEX Futures(Taiwan Stock Exchange Capitalization
Weighted Stock Index Futures) to be the object. The period of this study is from
October 29, 2002 to September 20, 2010, about 8 years, including 1965 trading days.
By select the smallest linkage between 2DMA、3DMA、4DMA、5DMA、6DMA、
7DMA、10DMA、20DMA、40DMA、65DMA in every day date to find regularity and
make strategy of investment.
By empirically testing date, the result are follows. First, this kind of technical
analysis methods using moving average can provide investors much trading
information. Second, because the three kinds of stocks including biography, finance
and electronics are different property, there are different strategies of investment
between them. The changes of investing in biography and finance are less than
electronics.

並列關鍵字

Taiwan Stock Exchange Capitalization Weighted Stock Index Futures ； Taiwan Top 50 Market Value stocks ； technical analysis ； moving average.

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