臺灣股市技術分析實證：以隨機指標、相對強弱指標、指數平滑異同平均線指標及趨向指標為例

An Empirical Study of Technical Analysis in Taiwan Stock Market: Using KD, RSI, MACD, DMI as Technical Indexes

周照偉(Chao-Wei Chou) ； 鄭榮祿(Rong Jeng) ； 蔡賢亮(Hsien-Leing Tsai) ； 楊崇宏(Chorng-Horng Yang) ； 牟聖遠(Sheng-Yuan Mou)

《高雄應用科技大學人文與社會科學學刊》 1卷2期 (2015/12) Pp. 119-133

https://doi.org/10.6554/JKTUHS.2015.0102.09

摘要

本研究運用隨機指標（KD）、相對強弱指標（RSI）、指數平滑異同平均線（MACD）及趨向指標（DMI）四種技術指標組合成十五種不同的操作策略，以臺灣50成分股，長達七年的個股的週線資料為樣本，做實證研究。實證的結果如下：(1)技術分析十五種操作策略及買進持有策略，皆顯著高於銀行定存。(2)四種基礎指標，DMI和MACD績效最佳，其次是KD，最後才是RSI。(3)以合成指標數來說，二種指標與三種指標績效最佳。(4)操作績效與交易次數呈現高度負相關。(5)十五種操作策略操作績效皆未能顯著優於股票買入持有策略，操作績效最佳的傳產類股也不例外。(6)不同的產業類別操作績效：傳產類股＞全部不分類股＞電子類股＞金融類股。

關鍵字

隨機指標 ； 相對強弱指標 ； 指數平滑異同平均線 ； 趨向指標

並列摘要

In this paper, four technical indicators: Stochastic Oscillator (KD), Relative Strength Index (RSI), Moving Average Convergence and Divergence (MACD) and Directional Movement Index (DMI) were used as the basic indicators, fifteen different operating strategies were designed as the feasible judgments for making decisions when investing in the Taiwan stock market. This study, using Taiwan 50 ETF stocks as a sample, conducted empirical research based on seven years' weekly K line data of Taiwan 50 ETF stocks. Empirical results are as follows: (1) The operating performances of all the fifteen operating strategies of technical analysis and the buy and hold stock strategy can make more profit than purchasing a certificate of deposit. (2) Of the four basic technical indicators: DMI and MACD performed best, followed by KD, and finally RSI. (3) As for the number of composite indicators, composite indexes of two and three indicators performed best. (4) The number of operating performance was negatively correlated with the transaction. (5) The operating performances of the fifteen operating strategies of technical analysis are not significantly better than that of the buy and hold stock strategy. (6) The operating performances of different industry categories: Traditional industry stocks ＞ All unclassified stocks ＞ Electronics stocks ＞ Financial industry stocks. Traditional industry stocks are the best choice for investors

並列關鍵字

stochastic oscillator (KD) ； relative strength index (RSI) ； moving average convergence and divergence (MACD) ； directional movement index (DMI)

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