應用布林線帶狀操作於台灣ETF50指數與未來股價走勢預測之研究

The Applying an Bollinger Brands on Taiwan ETF-50 to forecast Future Stock Price

曾志誠(Chih-Cheng Tseng)

指導教授 ： 陳安斌

國立交通大學/管理學院/管理學院資訊管理學程/碩士(2012年)

摘要

本研究以台灣ETF50指數成分股，應用布林線帶狀指標進行買賣點選擇和預測股價未來走勢，輔以停損、停利策略進行波段操作，尋求超額利潤的投資績效。運用布林線的價格帶狀區間配合常見於市場的技術指標，選擇兩者建構複合式投資策略，以台灣ETF50指數股票做為樣本基礎下，探討其買賣點的投資績效。另外再加上其他指數做為參考依據，以提供投資人在投資策略上與停損/ 停利的參考依據。傳統上使用技術指標來確認股價的買賣點相對高低點以建立投資操作策略與停損/ 停利的操作。證券投資包含四個部份：選股、擇時、交易策略和資金配置。本研究以波段獲利為目標，透過布林線帶區間進行「價格分群」，結合多種技術指標進行反轉點的分析判斷，針對異常訊號做二階段的驗證，採取交易策略。研究方法，分為價格區間與成交量兩部份。在價格區間判斷價格帶是否出現擠壓現象，尋找壓力與支撐價格，透過成交量變化相關技術指標尋找超買/超賣現象，藉由兩者的相關性，作為投資標的買賣點的參考依據。另外，買賣點的判斷，是以價格作為縱軸，超買/超賣作為橫軸。研究設計分成兩部分，一是選出區間波段的高低點，進行突破或反轉的判斷，低價區時買入、高價區賣出(低買高賣)進行放空或做多操作，分析比較兩者投資報酬率的比較關係。

關鍵字

技術分析 ； 技術指標 ； 包寧傑線 ； 交易策略

並列摘要

Taiwan ETF50 index constituent stocks, the application of Bollinger Bands ribbon indicators for the sale of point selection and predict stock price movements, combined with stop-loss stop interest policy band operation, the search for excess profits investment performance.

The use of Bollinger Bands, price ribbon range with the common market technical indicators to choose between the two to construct a composite investment strategy, Taiwan ETF50 index stock as a sample basis, and to investigate the investment performance of its trading point. Plus on the other indices as a reference, to provide a reference for investment in the investment strategy with the stop loss / stop Lee. The traditional use of technical indicators to confirm the relatively high and low points of the stock's trading point to establish investment operations strategies and stop loss / stop the operation of interest. Securities investment includes four parts: stock picking, market timing, trading strategies and the allocation of funds. In this study, the band profit "price clustering" through the Bollinger band range, combined with a variety of technical indicators for analysis and judgment of reversal points, two stages of verification, to take for abnormal signal trading strategy. Research methods, divided into two parts of the price range and volume. Price band in the price range to determine whether or not to squeeze phenomenon appears, find the pressure and support prices, looking for overbought / oversold technical indicators through the volume change by the correlation between the subject of trading as an investment point of reference. In addition, the judgment of the bid based on price as the vertical axis, overbought / oversold as the horizontal axis. Research design is divided into two parts, one elected by the high and low points of the interval band, breakthrough or a reversal of the judgment, low-cost areas to buy, sell high-priced areas (buy low and sell high) short or long operating; another experiment to take a buy and hold strategy, analysis of the comparison between the two ROI comparison relationship.

並列關鍵字

Technical analysis ； Technical Indicators ； Bollinger band ； Trading straregy

參考文獻

中文參考文獻

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