台股指數技術分析之探討–以當沖策略為例

在台灣股市投資策略中有基本分析、技術分析、心理分析、政治因素、國際情勢美元指數及美國股市等因素影響；而本文係以台指期貨當日沖銷為研究主題，所以僅以技術分析及其操作技巧來達到創造操作績效的目的。本研究是以 5 分鐘K 線的技術分析，分別以3K 法突破或3K 法跌破為買賣主要依據，另搭配MA21 移動平均線，及多根5 分鐘K 線所形成的趨勢方向來決定做多或做空；再進行模擬交易策略。本模擬交易的選擇，是以台灣加權股票小型指數期貨(MTX)自2022 年6 月16 日~2022 年9 月21 日交易資料為研究區間，以極短線且不留倉在日盤8:45~13:45 區間交易。若以至多單邊最多加碼 2 次共3 口，小台計算NT$55,000x3=NT$165,000，為原始投資本金三個契約月份共獲利NT$258,050 元，總報酬率為156.40%；而平均每月報酬率為52.14%。本研究的四種投資策略，若大盤屬盤跌走勢，則做空(先賣後買)的投資績效優於做多(先買後賣)，且策略D 的投資績效最佳，策略C次之，而當大盤屬盤整走勢則是策略C的投資績效最佳，策略D次之，所以四種策略應該以策略D及策略C為最主要操作策略，會有比較好的投資績效。

關鍵字

台指期貨；五分鐘k線；當日沖銷； 3k法；移動平均線

並列摘要

Taiwan stock market investment strategies, there are fundamental analysis, technical analysis, psychological analysis, political factors, the international situation of the US dollar index and the US stock market and other factors；This article uses Taiwan Index futures day trading as the research topic, so it only uses technical analysis and its operational skills to achieve the purpose of increating operational performance. This study is a technical analysis of the 5-minute K-line, the main basis for trading is based on the 3K method breakthrough or the 3K method fall below, respectively. In addition, with MA21 moving average, and the trend direction formed by multiple 5-minute K-lines to do a simulated trading strategy to decide going long or going short. The choice of this simulated transaction, using the Taiwan Weighted Stock Small Index Futures (MTX) trading data from June 16, 2022, to September 21, 2022, as the research range, and the daily trading range from 8:45 a.m. to 1:45 p.m. with a very short-term line and close position. If you add up to 2 times for a total of 3 ports on one side at most,and the small table calculates NT$55,000, times three equals NT$165,000,The total profit of the original investment principal for the three contract months was NT$258,050,and the total return was 156.40%; while the average monthly return was 52.14%. For the four investment strategies in this study, if the market is in a downtrend, the investment performance of short selling (sell first then buy) is better than long selling (buy first then sell). Thus, the investment performance of strategy D is the best, and strategy C is the second. But when the market is in correction, strategy C has the best investment performance, and followed by strategy D. Therefore, the four strategies should use strategy D and strategy C as the main operating strategies to achieve better investment performance.