Lento & Gradojevic(2007)利用聯合訊號(Combined Signal Approach , CSA)交易策略探討在股票市場的獲利性,研究發現CSA的策略可以提高僅使用單獨技術指標的獲利且能擊敗買進持有策略。又Lento(2008)對CSA的獲利能力做進一步之穩健性驗證,其結果發現亦同。因此本研究試圖以CSA交易策略運用於台灣股票市場上探討其獲利性。 本論文之樣本期間為1989年至2009年,且在考慮了選樣上的偏誤、研究期間的選定問題、存活偏誤問題、交易成本後分別以上市公司、下市公司以及臺灣50指數成分股作為樣本;實證上發現絕大部份的CSA交易策略高於僅使用單獨技術指標(移動平均線、濾嘴法則、區間突破)的報酬率,且能擊敗大盤的買進持有的報酬率。此研究結果對學術、機構法人與一般投資人在技術指標的運用上提供了重大的意義。
Lento & Gradojevic (2007) and Lento (2008) evidence that the Combined Signal Approach (CSA) is more profitable than both the individual signals alone and naïve buy and hold trading rules do. In the present paper, we examine the profitability of the CSA on the Taiwan stock market over the period 1989 to 2009. After considering the impact of period, sample selection bias, survivorship bias, liquidity, transaction costs on CSA profitability, we investigate its profitability over three sub-samples to determine if it persists across samples. The results demonstrate that the CSA improves the profitability of individual trading rules and outperforms the buy and hold strategy even considering transaction costs.