臺灣博碩士論文加值系統

現在投資方式的參考依據主要分成兩種：「基本面」(Fundamental)與「技術面」(Technical Analysis)、「技術面」，本研究將利用8種K線圖型作為反轉訊號並搭配技術指標發展交易策略，應用在台灣期貨市場，希望可以得到超額報酬。但結果發現台灣期貨市場已趨近於效率市場，大多數的圖型並未獲得超額報酬，而利用K線圖型所發展的交易策略有過度使用的現象，得到的統計結果大多數為負顯著。

Nowadays, people usually depend on fundamental and technical analysis to develop their investment methods. This study will adopt eight candlestick patterns as reversal signals and technical indexes to develop trading methods and applied to Taiwan futures market. We hope we can earn excess profit in the market, but the result show Taiwan market is close to efficiency market. Most of pattern can’t get significant statistical results and the strategies of candlestick are over used in Taiwan.

誌謝 II
摘要 III
Abstract IV
List of Tables VI
List of Figures VII
Chapter 1 1
1.1 Introduction 1
Chapter 2 4
2.1 Market Efficiency Hypothesis 4
2.1.1 Different Types of Efficiency Market 5
2.2 Technical Analysis 6
2.2.1 The study of Trend Pattern 6
2.2.2 The Study of usefulness Candlestick Chart 9
2.2.3 The Hypothesis of This Study 9
Chapter 3 11
3.1 Technical Analysis 11
3.1.1 Candlestick Chart 11
3.1.2 Candlestick Patterns 12
3.1.3. Bullish Pattern 13
3.1.4 Bearish Pattern 16
3.2 Definition of the Trend 20
3.3 Holding Strategies 21
3.4 Transaction Cost 23
3.5 Trading Rules 23
3.6 Data 24
Chapter 4 27
4.1 Choice of Results 27
4.2 Discussion of Results 27
4.3 The List of All Results 28
4.3.1 TAIEX Futures 28
4.3.2 Electronic Sector Index Futures 29
4.3.3 Finance Sector Index Futures 30
Chapter 5 50
References 51

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