臺灣博碩士論文加值系統

本文探討技術分析應用於外匯期貨市場是否具超額報酬。我們使用前行測試分析(Walk Forward Analysis)與白氏真實性檢定(White’s Reality Check)，挑選九種常見的交易系統，在日圓期貨(JY)、瑞士法郎期貨(SF)、英鎊期貨(BP)、歐元期貨(EU)、加幣期貨(CD)及澳幣期貨(AD)等六種外匯期貨市場中檢驗它們的績效，這些交易系統包括移動平均穿越(MA)、移動平均收斂發散(MACD)、價格通道突破(PCB)、相對強弱指標(RSI)、隨機指標(KD)、包寧傑通道(BB)、移動平均成交量(AV)、能量潮(OBV)及心理線(PSY)。研究中將手續費與滑價等交易成本考慮在內以貼近真實交易環境；結果發現最佳交易系統在日頻率資料下的樣本外績效不存在顯著的獲利性，但其在週頻率資料下具有十分顯著的獲利性。

This paper discusses whether the use of technical analysis in the foreign exchange futures markets generates excess return. Based on walk forward analysis and White's reality check, we select 9 kinds of common trading systems to test their performance in 6 FX futures markets. They include Japanese Yen futures (JY), Swiss Franc futures (SF), British Pounds futures (BP), Euro dollar futures (EU), Canadian dollar futures (CD) and Australian dollar futures (AD). And the trading systems are Moving Aver-age Crossover (MA), Moving Average Convergence Divergence (MACD), Price Channel Breakout (PCB), Relative Strength Index (RSI), Stochastic line (KD), Bollinger Band (BB), Average Volume (AV), On Balance Volume (OBV) and Psychological line (PSY). The transaction costs including commissions and slippage are taken into account for a practical manner. The empirical results indicate that the out-of-sample performances of the best trading systems are generally poor under daily data with insignificant profitability. However, the performances are better on average under weekly data with significant profitability.

中文摘要...................................................i
ABSTRACT..................................................ii
圖目錄....................................................iv
表目錄.....................................................v
第一章 緒論.............................................1
1.1 研究背景與動機......................................1
1.2 研究目的與架構......................................2
第二章 相關理論與文獻回顧...............................5
2.1 效率市場假說........................................5
2.2 行為財務學派........................................5
2.3 系統性價格走勢與市場效率的共存......................6
2.4 技術分析文獻回顧....................................7
第三章 資料............................................13
3.1 資料型態與規格.....................................13
3.2 貨幣特性與歷史走勢.................................14
第四章 研究方法........................................17
4.1 交易費用設定.......................................17
4.2 交易系統(規則與參數設定)介紹.......................17
4.3 前行測試分析(Walk Forward Analysis)................23
4.4 真實性檢定(White’s Reality Check).................28
第五章 研究結果........................................31
5.1 日頻率資料.........................................31
5.2 週頻率資料.........................................41
第六章 結論與未來研究建議..............................51
6.1 結論................................................51
6.2 建議與改進..........................................52
參考文獻..................................................53

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