在股市中,多年來投資人不斷找尋判斷市場趨勢和股價未來走勢的方法,作為擇時和擇股的參考指標。由於使用技術指標不需投入龐大的資源去取得資料,且使用的方法較基本分析容易。而本研究應用常見技術指標包含:移動平均線、濾嘴法則和區間突破法則,運用在股票市場上,測試其獲利性。為了提升操作績效和獲利的穩定性,本文使用聯合訊號交易策略,並且加入人工智慧領域中的證據理論來提升交易策略的獲利能力。 實證顯示,在區間突破法則下個股的最大獲利表現最佳,但在虧損部分,個股的最大損失明顯高於其他策略,表示單一技術指標不僅穩定度不足且彼此之間的買賣訊號也產生了矛盾。而在使用聯合訊號交易策略後,研究發現,聯合訊號交易策略不僅顯著提升單一技術指標的獲利性,並且擊敗買進持有策略。而在使用證據理論融合聯合訊號交易策略後,發現其能有效提升交易策略的獲利能力,且在不同產業下,提升的幅度也不同。
Investors constantly searched for some methods to determine market trends, stock price as a reference indicator of the timing and stock selection in the stock market over the past years. By using technical analysis, we do not need huge resources to get the information and it is easier than using fundamental analysis. This study employed common technical indicators, which test profitability in the stock market, include Moving Average, Filter Rule and Trading Range Breakout. We use Combined Signal Approach, plus Dempster-Shafer Theory in the Artificial Intelligence field in order to increase the investing performance and earnings stability. Form our result, we find that the individual share has the best profitability in the Trading Range Breakout. However, the greatest loss of individual share is obviously higher than other strategies. It shows that individual technical indicators do not have enough stability and there is also happening a lot of contradiction among them. The empirical result shows that using Combined Signal Approach not only improves the earnings of individual technical indicators but also wins the strategy of Buy and Hold strategy. In addition, after integrating Dempster-Shafer Theory and Combined Signal Approach, we find that Dempster-Shafer Theory increases the earnings of trading strategy and it also improves different ranges in different industries.