透過技術指標建構程式交易系統驗證是否能夠打敗標竿指數績效-以富邦科技成分股為例

本研究以富邦科技成分股為樣本，來檢定技術分析策略之有效性，期間為2015年至2019年共五年，具體而言，本研究擷取以指數移動平均線(EMA)為主要的技術分析策略，並搭配其他五種著名的技術指標，組成四種交易策略，分別為策略一(EMA+KD+VOL)、策略二(EMA+RSI)、策略三(EMA+MTM+VOL)、策略四(EMA+BBAND+VOL)，並運用XQ軟體來進行程式交易之績效的回測。由買進持有策略進行比較，來驗證此策略是否成打敗標竿指數。研究結果指出，在四個策略之中，指數移動平均線搭配布林通道和成交量指標組成而成的交易策略報酬率較多呈現顯著反應，為四個策略中績效表現最佳之策略，最後，本文依據上述研究發現提出實證結果，並對學術界及實務界提出建議，做為未來研究之參考。關鍵詞：技術分析、指數移動平均線、布林通道、成交量指標、

關鍵字

技術分析；指數移動平均線；成交量指標；布林通道

並列摘要

This study uses Fubon Technology ETFs component stocks as a sample to verify the effectiveness of technical analysis strategies. The sample’s period is from 2015 to 2019 for a total of five years. Technical analysis strategies, combined with five well-known technical indicators, creating four trading strategies, namely strategy one (EMA + KD + VOL), strategy two (EMA + RSI), strategy three (EMA + MTM + VOL), strategy fore (EMA + BBAND + VOL), and use XQ software to back-test the performance of program trading. The buy-and-hold strategy is compared to verify whether this strategy is a benchmark for defeat. The research results indicate that among the four strategies, the return rate of the trading strategy composed of the exponential moving average with the Bollinger Bands and volume indicators showed a significant return, which was the best performing strategy among the four strategies. This article proposes empirical results based on the above research findings, and puts forward suggestions for academia and practice to serve as a reference for future research. Keywords：Technical analysis; Exponential moving average; Bollinger Bands; volume