價量雙指標交易策略之績效研究

A Performance Study of Trading Strategies with Price-Based and Volume-Based Technical Indicators

汪映廷(Ying-Ting Wang)

指導教授 ： 王言 ； 張阜民

朝陽科技大學/管理學院/財務金融系/碩士(2012年)

摘要

價量關係對於投資股市是不可或缺的重要考量，但在眾多的價量技術指標中，如何搭配才能產生較大的效益性，尚有研討之空間。在本文中，我們挑選移動平均線(MA)、隨機指標(KD)、能量潮(OBV)和調量移動平均線(VAMA)形成價量雙指標策略，加上價量指標(CRISMA)共五種技術指標，再配合10×20、10×30、10×60、20×30、20×60、30×60(前面數字代表短天期，後面數字代表長天期)六種不同長短天期之交叉，總共發展出三十種交易策略，來探討何種指標組合及交易策略優於單一技術指標之報酬率以及是否能打敗大盤買進持有策略的報酬率。
　　本文取2003年6月30日至2011年6月30日之台灣50指數成分股日資料，實證結果顯示：雙指標交易策略的報酬率優於單指標交易策略總交易次數降低且年化報酬率具有提高的效果；且【MA×OBVMA(20×60)】交易策略報酬率能打敗大盤買進持有報酬率。因為2003年到2009年樣本之股價多處於區間擺盪或是下跌的行情，例如：2201裕隆、2204中華...等，這些股票占台灣50成分股近一半，可得知MA×OBVMA交易策略中，以短天期20日搭配長天期60日(20×60)最適用於台灣股市上，表示該策略應用於區間震盪甚至是下跌的行情也能使一般投資人在台灣股市上投資獲利。此外，在實際模擬策略的操作下，雙指標交易策略確實能降低損失，所以本研究的交易策略是具有可行性的。

關鍵字

隨機指標 ； 能量潮 ； 調量移動平均線 ； CRISMA ； 移動平均線

並列摘要

In combining with price-based and volume-based technical indicators, this study examines the profitability of the 30 technical trading strategies in Taiwan stock market from June 30, 2003 through June 30, 2011. 30 technical trading strategies compose of MA, OBV, KD, VAMA, and CRISMA, and then with 10×20, 10×30, 10×60, 20×30, 20×60, 30×60 (short-term × long-term), six different lengths of time period to cross. We examine whether or not their technical trading strategies’ outperformance are over the singal technical trading strategies and the naive buy-and-hold trading strategy in Taiwan stock market.
　　Our results present that their technical trading strategies’ performance are over the singal technical trading strategies and only one trading strategy 【MA×OBVMA(20×60)】outperform the naive buy-and-hold trading strategy in Taiwan stock market. The sample stock price fell into the swing-upward, swing-downward and situations of decline between 2003 and 2009, so we can understand that performance of the trading strategy【MA×OBVMA(20×60)】is the best strategy for Taiwan stock market, implying that the strategy used in the swing-upward, swing-downward and situations of decline in Taiwan stock market also make the investors to obtain profits .

並列關鍵字

MA ； OBV ； KD ； VAMA ； CRISMA

參考文獻

9. T. T. L. Chong, E. H. T. Li & K. T. K. Kong, (2011). Are Trading Rules Profitable in Exchange-Traded Funds. Technology and Investment, 2, 129-133.

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