隨著電腦資訊蓬勃發展,加上學術及實務界的努力,各種複雜數學計量分析、策略模型運用而生,技術指標及技術分析透過電腦的運算,各種組合策略日益精進更加複雜,大家共同目的:如何賺取超額利潤打敗效率市場證明自已的方法是有效,但是複雜難懂的方法就會有效嗎?簡單方式是否也能達到投資績效?本研究嚐試用簡單易操作方式來驗證,並以台股指數期貨為驗證市場,以單一技術隨機指標(Stochastic KD Line, KD)設計相關投資策略,採即時觀察方式,紀錄當時市場狀況及投資決策結果,並分析其投資策略績效優劣,其研究方法有別於其他學者以過往歷史資料為樣本推論其策略投資績效;而實證結果顯示,以KD單一技術指標在了解其特性擬訂投資策略及交易訊號下,透過良好投資紀律執行,其統計結果投資績效顯著且能獲得超額利潤,證明用簡單技術指標為參考投資策略也能幫助投資人打敗市場。
By the development of computer technology and empirical research, people employed different kinds of methodology and model to prove their ability of beat the market. However, the most directly question is, does more complicate methodology means better performance? Does the simple technical method can achieve a good investment performance? This study use Stochastic KD Line to construct trading strategies as a single technical method to test this hypothesis in Taiwan Future Market. By observe the real-time trading data, this study shows that, with good invest discipline, the KD index can beat the market significantly and can have an abnormal return as well.