技術面選股分析

The Analysis of Technical Trading Strategies

張丹(Ziak, Daniel)

指導教授 ： 劉助

國立交通大學/管理學院/企業管理碩士學程/碩士(2014年)

https://doi.org/10.6842/NCTU.2014.00322

摘要

Background: Interest in investing in the stock market has grown in recent years, with a greater number of non-specialists trying to balance risk and return. Although they are popular, most people at best only have a basic understanding of how stocks work, even though the risks involved require scientific knowledge. Any investor who has knowledge of the principles and analytical methods involved in portfolio management has a greater chance of success.
Objectives: This thesis focuses on the role of technical analysis in passive management of portfolio and in signaling the timing of the stock market entry. This thesis studies the profitability of applying technical analysis indicators Sharpe Ratio and MACD on the top of the fundamental based strategy called "Quality Based Investing Strategy".
Results: Using companies listed in S&P 500, the results indicates that especially one of the proposed technical strategies called Sharpe 130 can be used to generate significantly positive return and outperform strategy solely based on fundamental analysis and also buy and hold strategy of underlying S&P 500 index in most cases.
Conclusion: In conclusion it has been shown that investors can benefit by having investment strategies utilizing both fundamental and technical analysis

關鍵字

技術分析 ； 夏普比率

並列摘要

Background: Interest in investing in the stock market has grown in recent years, with a greater number of non-specialists trying to balance risk and return. Although they are popular, most people at best only have a basic understanding of how stocks work, even though the risks involved require scientific knowledge. Any investor who has knowledge of the principles and analytical methods involved in portfolio management has a greater chance of success.
Objectives: This thesis focuses on the role of technical analysis in passive management of portfolio and in signaling the timing of the stock market entry. This thesis studies the profitability of applying technical analysis indicators Sharpe Ratio and MACD on the top of the fundamental based strategy called "Quality Based Investing Strategy".
Results: Using companies listed in S&P 500, the results indicates that especially one of the proposed technical strategies called Sharpe 130 can be used to generate significantly positive return and outperform strategy solely based on fundamental analysis and also buy and hold strategy of underlying S&P 500 index in most cases.
Conclusion: In conclusion it has been shown that investors can benefit by having investment strategies utilizing both fundamental and technical analysis

並列關鍵字

Technical analysis ； Sharpe Ratio

參考文獻

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Fama, E. F. (1991). Efficient capital markets: II. The journal of finance, 46(5), 1575-1617.

Fama, E. F. (1998). Market efficiency, long-term returns, and behavioral finance. Journal of financial economics, 49(3), 283-306.

Fong, W. M., & Yong, L. H. (2005). Chasing trends: recursive moving average trading rules and internet stocks. Journal of Empirical Finance, 12(1), 43-76.