利用多指標策略提昇移動平均價獲利率之研究

Using The Multi-criteria Strategy to Improve The Profit ratio of The Moving average price

林宜德(Yi-Te Lin)

指導教授 ： 池福灶

長榮大學/管理學院/國際企業學系(所)/碩士(2012年)

https://doi.org/10.6833/CJCU.2012.00197

摘要

一般投資股票以傳統移動平均價指標理論之黃金交叉與死亡交叉作為買賣依據，本研究則進一步結合其他兩種技術分析，形成雙指標策略及多指標策略，並將雙指標策略及多指標策略發展為買賣依據之交易條件，其主要目的欲探討雙指標策略及多指標策略能否提升原有的獲利率，以及哪一種類型的指標策略其每次平均獲利率較高。本研究以台灣證券交易所編制的上市公司股價八年交易資料為樣本，並採用EXCEL及SPSS進行研究與統計。利用三種不同日數之移動平均價交叉進行研究，三種不同日數的移動平均價交叉分別為：(1)五日與十日移動平均線交叉、(2)五日與二十日移動平均線交叉、(3)十日與二十日移動平均線交叉。結果顯示，無論是哪一種類型的移動平均線交叉，多指標策略之每次平均獲利率明顯高於雙指標策略及傳統移動平均價交叉策略。而無論是何種類型的指標策略，十日與二十日移動平均線交叉每次平均獲利率優於五日與二十日及五日與十日之每次平均獲利率。上述結論有助於投資人降低投資風險，進而得到更穩定的獲利。

關鍵字

移動平均價 ； 獲利率 ； 支撐點 ； 壓力點

並列摘要

Investing in stocks is based on moving average price theory of the golden cross and death cross. In this study, combined with the other two technical analysis form two-index strategy and the multi-criteria strategy as investing in stocks trading conditions. The main purpose of this study to investigate whether new strategies to enhance the original profitability and what kind of the strategies for each of its average profitability of the highest. This study collected the preparation of the Taiwan Stock Exchange listed companies for eight years trading data for the sample and using EXCEL and SPSS to conduct research and statistics. Three different days of the moving average price crossover study, the moving average price cross of three different days, respectively :(1)Five days and ten days moving average cross,(2)Five days and Twenty days moving average cross,(3)ten days and twenty days moving average cross. The results showed that regardless of what kind of moving average cross, The average profit margin of the multi-criteria strategy is significantly highest than two-index strategy and moving average price. No matter what kind of strategies, the average profit margin of ten days and twenty days moving average cross is significantly highest than Five days and ten days moving average cross and Five days and Twenty days moving average cross. The above conclusions will help investors to reduce investment risk and get more stable profit.

並列關鍵字

Moving average price ； Profitability ； Pressure points ； Support points

參考文獻

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