本研究之目的,在於回顧技術分析文獻及市場上對技術指標的分類方法。並提出一套挑選指標的方法,幫助學者能更有效率的挑選技術指標進行回測。 本篇從三個層面挑選指標:(1)調查該指標之文獻數目;(2)該指標之公式複雜度;(3)指標之間的關聯性。首先,我們蒐集學者對技術指標回測之文獻,並從學者回測的結果中,挑選表現較佳且容易運算的指標優先進行回測。將挑選出的指標回測後,從其結果挑選下一個與其關聯性強或弱之指標,若為顯著獲利,則下一個挑選與之關聯性高的指標,反之,挑選與之關聯性低的指標。 在本文挑選指標流程下,第一個挑選出的回測指標為移動平均,另外,我們亦繪製流程圖說明此分類挑選指標的流程,並使用樹狀圖展示回測指標的順序,提供學者在選擇指標進行回測時能更有效率的挑選出優先回測之指標。
The purpose of this study is to help scholars decide the priority of back-testing of technical indicators. This paper designs three criteria to decide the priority of back-testing: (1) the number of published papers which examine this indicator; (2) the complex of formulas of this indicator; (3) the relationship among different indicators. The first chosen indicator is the one which has more citation, better performance , and is easier to calculate. We subsequently use the relationship between different indicators to choose the next indicator. Following the above procedure, moving Average is the first chosen indicator. This study provides an efficient-method to decide the propriety of the back-testing of technical indicators.