台灣股票市場日內價量資訊與交易策略之研究

Research of Taiwan Stock Market Intra-day Price and Quantity Trading Strategy

莊遵嚴(Juang,Tzuen-Yan)

指導教授 ： 李存修

國立臺灣大學/管理學院/財務金融學研究所/碩士(2008年)

https://doi.org/10.6342/NTU.2008.02101

摘要

本論文研究主要以交易當日的價量策略作為選股的交易策略，希望利用當日的價量變化，發掘可投資之標的，且讓無太多資源的一般投資人皆可利用作為投資參考，且在無需太多的資訊設備情況下，可以戰勝大盤。
本研究設計了三種交易策略，每一策略均有其買點與賣點，簡述如下：
1.交易策略一：
當日成交量大於5日均量的200％以上，且當日價格大於前一日收盤價6％以上
出場機制：○1持有至月底 ○2當價格低於10日均線3％以上停利（損）出場
2.交易策略二：
增加7％的停損點，出場機制與交易策略一同
3.交易策略三：
增加7％的停損點，並當加權指數在MA60之上始買進；出場機制與交易策略一同
本研究主要實證結果如下：
一、個股勝負比例：
交易策略一及交易策略二個股優於大盤的次數為1520次（51.63％），負於大盤的次數為1424次（48.87％）。交易策略三個股優於大盤的次數為1120次（52.39％），負於大盤的次數為1018次（47.61％），三個交易策略均優於大盤。
二、月份投資表現：
交易策略一以28個月份表現優於大盤，20個月份負於大盤；交易策略二共31個月份優於大盤，17個月份負於大盤；交易策略三共21個月份優於大盤，9個月份負於大盤。同樣的，三個交易策略的表現也優於大盤。
三、年度平均月化報酬：
交易策略一以3.43％優於大盤的1.2％；交易策略二以3.45%優於大盤的2.93％；交易策略三以4.8％優於大盤的2.8％。

從上三個構面來看，不論是在個股勝負比例，月份投資表現，抑或年度總投資報酬等來看，本研究主題之價量策略皆能戰勝超越大盤，且在年度投資報酬率方面階為正數。以兩個年度，三種交易策略而言，平均年度月化報酬為3.89％（加計算交易成本為3.31%）。

關鍵字

價量策略 ； 出場機制 ； 個股勝負比例 ； 月份投資表現 ； 年度平均月化報酬

並列摘要

A new trading strategy is studied and introduced to target the potential investment underlying, and further outperforming the market. The correlation between daily price and quantity will be revaluated and analyzed in this theory in hope to allow retailers who have insufficient resources or IT supports to develop unique investment, achieving wealth.

Three trading tactics with specified Buy/Sell Points are described as following:
1. Trading tactic 1:
The daily turnover is greater than 200% of 5-day turnover, and the underlying price closed 6% or higher than it was in T-1 day.
Exit Mechanism: ○1 Hold to the end of the month ○2 Take profit (stop loss) if the price lower than 3% of its 10-day moving average (MA10)
2. Trading tactic 2:
Add a Stop Loss Point at 7%. The Exit mechanism is the same as Trading tactic 1
3. Trading tactic 3:
Add a Stop Loss Point at 7% and add a Buy Point when Taiwan benchmark Index is over its 60-day moving average (MA60). The Exit mechanism is the same as Trading tactic 1

The trading result is as below:
一、Share win/lose ratio:
Trading tactic 1 and Trading tactic 2 result in outperforming market 1520 times (or 51.63%), underperforming market 1424 times (or 48.87%). Trading tactic 3 results in outperforming market 1120 times (or 52.39%), underperforming market 1018 times (or 47.61%). All three trading tactics outperform the market.
二、Monthly performance:
Trading tactic 1 has 28 months outperformed the market and 20 months underperformed. Trading tactic 2 has 31 months outperformed the market and 17 months underperformed. Tading tactic 3, on the other hand, has 21 months outperformed and 9 months underperformed. Again, all three trading tactics outperform the market.
三、Average monthly return:
Trading tactic 1 average monthly return is 3.43%, better than market’s 1.2%; Trading tactic 2 is 3.45%, better than market’s 2.93%; Trading tactic 3 is 4.8%, better than market’s 2.8%.

The trading results demonstrate the correlation between daily price and quantity does provide positive and better returns in Share win/lose ratio, Monthly performance and Average monthly return by compared to the market. The 2-year back testing shows the 3 trading tactics generate a significant of 3.89% of the average monthly return (3.3% after the deduction of transaction cost).

並列關鍵字

Strategy of Price and Ruantity ； Exit Mechanism ； Share win/lose ratio ； Monthly performance ； Average monthly return

參考文獻

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