本研究的目的為以主要技術指標建構交易策略,進行模擬交易,並比較各交易策略績效,歸納實證發現提出較可行之交易策略。模擬交易選擇台灣加權股票指數期貨2009年1月5日至2011年12月30日,運用移動平均線、KD、RSI、威廉%R、MACD建立交易策略,實證期間除單一指標模擬外,亦測試在不同週期,週期分成日線與週線,均線測試以單均線、雙均線、三均線等條件進行,並測試以均線為主體搭配績效好的技術指標KD與RSI,進行模擬交易後之結果資料進行分析。 實證結果發現在均線測試中,單MA的測試則偏向以長參數較能獲利,雙均線訊號落後的程度雖然超過單均線,但比較不容易出現反覆進出訊號,三均線則可確定趨勢的走勢。單純以技術指標KD、RSI、%R、MACD的交易測試,在日線與週線報酬報酬不如預期之外還虧損原有資產,不建議只用單一技術指標KD、RSI、%R、MACD作為進出唯一原則。若在短均線參數操作下,建議採用單均線搭配技術指標如KD、RSI。 本文同時利用10MA+KD及10MA+RSI測試農業股票如卜蜂、興農與台肥,結果顯示10MA+KD獲利大幅優於10MA+RSI。顯示大盤交易策略可適度運用於個股交易。
This paper aims to utilize technical indicators to construct trading strategies. Through trading simulations and comparisons, Some feasible trading strategies has proposed according to the results Moving average (single, two, three MA), KD, RSI,% R, and MACD are chosen indicators. The data studied is Taiwan Stock Index Futures between 2009/1/5-2011/12/30. The empirical results show single MA test with long parameters is more profitable. In addition, two MA have less repeatedly signals, and three MA can determine the trend. Through trading test, we do not recommend to use only one single technical indicators like KD, RSI,% R, MACD, as the only one principle. Finally, 10MA+KD and 10MA+RSI are used to analyze agricultural stocks, Charoen Pokphand, Sinon, Taiwan Fertilizer. The result of 10MA + KD profit better than the result of10MA + RSI. Investors should use MA with KD indicator in a short time period of stock trading.