程式交易策略實證研究- 以Bollinger Band為例

An Empirical Study of Program Trading Strategies for Bollinger Band

陳建宇(Jian-Yu Chen)

指導教授 ： 古思明

元智大學/管理學院/商學碩士班(財務金融學程)/碩士(2012年)

摘要

摘要
我們衡量Bollinger Band 技術指標在全世界金融市場是否預測股票價格的波動以獲取超額報酬。文章中我們使用三種資金控管方式「不設停損、一倍本金及百分之三金額停損、一倍本金及百分之三金額停損」，此外我們試圖將Bollinger Band策略更為完善，因此我們分為反向策略以及突破策略，結果指出不管有無考慮交易成本Bollinger Band在成熟型市場如美國的DJIA, S&P500, NASDAQ,歐洲的 FTSE100, CAC40, DAX, 以及香港HIS都無法獲得超額報酬，在上述市場中，Bollinger Band無法預測走勢。反向策略在台股期貨及台灣加權指數得到負的超額報酬，但是反向策略中的A-1以及A-2策略卻可以在台灣電子期貨以及金融期貨可以獲取超額報酬。突破策略中除了B-5策略外，其於突破策略都可以在日本以及台灣市場獲得超額報酬，我們發現突破策略是可以成功地運用在日本以及台灣市場，也證明Bollinger Band指標可以在台灣以及日本運用。
關鍵字：Bollinger Band

關鍵字

布林通道 ； 技術分析

並列摘要

ABSTRACT
We measure whether simple forms of Bollinger Band can predict stock price movement in world markets to generate abnormal returns. We use three money managements such as non-stoploss, a time to leverage of contract value and stop loss amount of three percent, and two times to leverage of contract value and stop loss amount of three percent. Besides, Bollinger Band strategies are divided into reversal strategy and crossover strategy in order to improve the Bollinger Band strategies. We find the abnormal returns in mature markets and Hong Kong are almost negative by Bollinger Band strategy. The technical rules have less explanatory power in the mature markets of DJIA, S&P500, NASDAQ, FTSE100, CAC40, DAX, and HSI. The abnormal returns of reversal strategy are negative in TX (Taiwan Stock Exchange Capitalization Weighted Stock Index) and TAIEX (The Taiwan Stock Exchange Capitalization Weighted Stock Index). The abnormal returns of reversal strategy such as A-1, A-2 strategies are positive in Japan, TE (Taiwan Stock Exchange Electronic Sector Index) and TF (Taiwan Stock Exchange Finance Sector Index) The crossover strategy except B-5strategy can get positive abnormal returns in Japan and Taiwan markets. We find the crossover rules to be successful in the markets of Nikkei and futures in Taiwan. The results support Japan and Taiwan markets can capture profits by Bollinger Band.

並列關鍵字

Bollinger Band ； technical analysis

參考文獻

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