台灣期貨市場投資技術之績效研究

林世強(Shih-chiang Lin)

指導教授 ： 陳忠榮

國立中央大學/管理學院/產業經濟研究所/碩士(2015年)

摘要

隨著科技的進步與傳遞資訊的改變，現今股市的交易模式已跟往年大不相同，也因傳播媒體的快速發展，股票市場的反應也不可同日而語，造成『基本面分析』的長期投資方式不再是股民投資的唯一選擇，因此『技術分析』與操作技巧成了現代大部分投資人的買賣方式，而在《海龜投資法則》一書中也提到，不論是何種分析方式都可以為股民帶來報酬，但最重要的是個人的投資心態才是影響獲利的關鍵。

本研究的回測期間以1995/09 至 2015/04 的日線台指期貨與1987/05 至 2015/04的週線台指期貨為樣本，運用指標為相對強弱指標(RSI)、指數平滑異同平均線(MACD)、隨機指標(KD)來測試『技術分析』的績效性，並以個別指標與雙重指標下的操作方式來跟絕對停損下的個別指標與雙重指標來比較設立停損下的投資績效是否有較高的報酬。

研究結果證實，任一策略的投資方式在加上絕對停損機制下的報酬皆高於無設立停損下的投資策略。

雖然本研究的回測結果為正報酬，但不代表『技術分析』為投資大眾的最佳策略，投資者仍需以個人的財務狀況與風險程度來建立個人最佳的投資方式才是最佳的投資策略。

關鍵字

相對強弱指標 ； 隨機指標 ； 指數平滑異同平均線 ； 技術分析

並列摘要

Followed With the improvement of technology and transformation of transmitting information. The transaction mode in stock markets have a lots of difference compare to those days. Given the Rapid growth of public media, the reaction of stock market no longer goes as it used to be, and long-term investment of basic analysis is not the only option to investor anymore. As the result, the technique analysis and stock operation technique become major method for investor to invest in the stock market.
The book ”way of the turtle”, mentioned that” any analysis method could bring the return for investor, however, the most important factor is the attitude of investor.
In this research, we uses indicators, RSI, MACD and KD to test the result of technique analysis. Meanwhile, compare return in the strategy, operation of one indicator and two indicator, which sets absolute-stop point and which doesn’t.
According to the research, the return in any investment strategy combine with absolute-stop mechanism always exceed the return which not set the stop point.
Although the experiment outcome come up with positive return, it’s not means that the technique analysis is the best strategy for public investor. The best way for investor to invest depend on personal financial situation and individual risk attitude to investment

並列關鍵字

RSI ； KD ； MACD

參考文獻

5. 林天運（2007），「大盤未來走勢預測-KD指標的實證分析」，成功大學國際企業研究所碩士論文。

1. Bohan, J.1981, “Relative Strength ： Further Positive Evidence ” , Journal of Portfolio Management , Fall Ⅶ 1981 , pp 36 ~ 39.

2. Jensen, M.C., and G.Bennington, 1970” Random walks and technical Theories: Some Additional Evidences,” Journal of finance, vol.25, pp.469-482.

3. John J. Murphy (1986), “Technical Analysis of the Futures Markets: A Comprehensive Guide to Trading Methods and Applications”, Prentice Hall Press.

中文文獻