二次移動平均線應用於臺灣股價指數期貨交易策略之研究

The study of Strategy of Taiwan Stock Exchange Capitalization Weighted Stock Index Futures by using Double Moving Average

林建宇(Chien-Yu Lin)

指導教授 ： 王傳慶

國立臺北大學/商學院/合作經濟學系/碩士(2010年)

摘要

近年來，由於電腦使用普及的因素，許多技術分析工具被專業投資人大量且廣泛的使用，其中最被廣為應用的技術分析工具，即為移動平均線。惟過去對於移動平均線之研究，大多著重在移動平均線（或修正後的移動平均線）策略是否的確為ㄧ種好的分析工具，並利用移動平均線所產生的買賣訊號進行投資行為，並對其所產生之相對報酬進行實證研究，較少針對不同天期之移動平均線間的價格差異，與股價指數期貨價格之相關性進行研究。因此，本研究採用二次移動平均線作為一個新的技術分析交易模型之參考，透過衡量短、中長期二次移動平均線之差額與股價指數期貨價格所產生之相關數據，做為新的投資決策指標，進而建構一種最適當的技術分析交易模式，提供投資人在做投資決策時之參考。

本研究以臺灣加權股價指數期貨作為研究對象，研究期間自2001年1月2日至2010年6月20日止，約9.5年，共2345個交易日。以二次移動平均線作為依據，運用傳統上的移動平均交易法則，透過短天期二次移動平均線與長天期二次移動平均線差額，探討該差額與臺灣加權股價指數期貨價格間之關聯性，並找出其規律性，擬定出交易策略，以提供投資人作為買賣臺指期貨之參考依據。

實證結果發現，（一）將簡單移動平均線與二次移動平均線比較，使用二次移動平均線較能提供投資人交易資訊。（二）使用DMA(3,3)可以作為短期技術分析之參考指標，而使用DMA(5,3)及DMA(10,3)則可以作為中長期技術分析之參考指標。

關鍵字

台指期貨 ； 技術分析 ； 二次移動平均線

並列摘要

Recently, professional investors widely use many of the technical analysis tools to be making strategy of investment. Of the most widely technical analysis tools to be used is moving average. However, most of prior studies of the moving average (or revised moving average) emphasis if the moving average is indeed a good technical analysis tool. Therefore, we use the double moving average to be a new model of technical analysis tool.
In this study, we use the Taiwan Weighted Stock Index Futures to be the object. The period of this study is from January 2, 2001 to June 20, 2010, about 9.5 years, including 2345 trading days. By measuring the linkage between short, medium and long term double moving average and the price of the Taiwan Stock Exchange Capitalization Weighted Stock Index Futures to find regularity of the price, make strategy of investment.
By empirically testing data, the results are as follows. First, compared with the simple moving average and the double moving average, using the double moving average to be technical analysis tool can provide investors much trading information. Second, DMA(3,3) can be a index of making strategy of short-term investment, and DMA(5,3) as well as DMA(10,3) can be a index of making strategy of medium and long-term investment.

並列關鍵字

Taiwan Stock Exchange Capitalization Weighted Stock Index Futures ； technical analysis ； double moving average

參考文獻

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