臺灣博碩士論文加值系統

日本陰陽線在台灣為一種非常受歡迎且廣泛使用之技術分析方法，其乃利用開盤價、最高價、最低價以及收盤價間的關係來預測未來價格之趨勢。本研究之研究目的在於探討哪些陰陽線型態能夠真正被投資者所採用來預測未來價格的走勢，以及是否不同的陰陽線型態是否需要有不同的持有期間來做搭配。此外，本研究並利用其它一般投資人常用的交易策略來試圖改善陰陽線投資的績效。
本研究將陰陽線分為四個部分: 多頭單線訊號、空頭單線訊號、多頭反轉組合訊號以及空頭反轉組合訊號，並計算持有1到10天其每天的投資報酬率。本研究採用t檢定來檢定陰陽線之獲利能力，並利用一般線性模式來探討報酬率、陰陽線型態以及持有期間之關係。而後，我們使用變異數分析以及鄧肯多重範圍檢定來探討陰陽線在各個持有期間以及持有期間對於各個陰陽線獲利能力之差異。同時，本研究亦試圖利用「停損策略」來改善陰陽線的獲利性。實證結果顯示: 陰陽線交易策略對於投資者來說確有其價值，而不同的陰陽線型態亦需要有不同的持有期間才能有最佳之獲利。除此之外，在加入了停損策略後，絕大部分陰陽線的獲利能力也獲得改善。也因此，本研究之發現也進一步提供了否定「效率市場假說」的證據。

The Japanese candlestick is one of the most popular technical methods used to predict future price trends based on the relationships among opening, high, low, and closing prices. By using the daily data of 25 component stocks in the Taiwan Top 50 Tracker Fund and Taiwan Mid-Cap 100 Tracker Fund from 1997 to 2006, this study tries to discuss which candlestick can be used by investors. The study divides candlesticks into four parts: the bullish single line, the bearish single line, the bullish reversal pattern and the bearish reversal pattern, and accounts for the mean rates of return day by day (for up to ten days). In addition, t-tests are applied to test the profitability of the candlesticks and we adopt General Linear Model to discuss the relationship among rate of return, candlesticks and holding days. Then, ANOVA and Duncan’s Multiple Range Test are used to discuss and compare the profitability of candlesticks on each holding day and the profitability of holding days for each candlestick. Meanwhile, this study also tries to implement a stop loss strategy to improve the performance of candlesticks. The research findings provide strong evidence that some of the candlestick trading strategies do have value for investors and that different candlestick needs have different holding periods. Besides, the performance of the most candlesticks has been improved with stop loss strategy. Finally, this study is also further evidence to reject the efficient markets hypothesis (EMH).

Acknowledgement.....................................................I
Chinese Abstract...................................................II
English Abstract..................................................III
Contents...........................................................IV
Figures............................................................VI
Tables............................................................VII
Chapter One: Introduction...........................................1
1.1 Research Background.........................................1
1.2 Research Motivation.............................................3
1.3 Research Purpose............................................5
1.4 The Organization of this Study..............................6
Chapter Two: Literature Review......................................7
2.1 Technical Analysis..............................................7
2.2 The History of Japanese Candlesticks............................9
2.3 Candlestick Charting...........................................10
2.4 Former Studies about on Candlestick Techniques.................13
Chapter Three: Data and Methodology................................15
3.1 Data Resources.................................................15
3.2 Candlestick Definition.........................................17
3.3 Measures of Candlestick Profitability..........................20
3.4 Stop Loss Strategy.............................................27
Chapter Four: Empirical Results....................................31
4.1 t-Tests of the Mean Rates of Return............................31
4.2 General Linear Model (GLM).....................................35
4.3 Duncan’s Multiple Range Test of Candlesticks on Each Holding Day................................................................37
4.4 Duncan’s Multiple Range Test of Holding Days for Each Candlestick........................................................39
4.5 t-Tests of Mean Rates of Return with Stop Loss Strategy........41
Chapter Five: Summary and Conclusions..............................45
References.........................................................48
Appendix A.........................................................50
Appendix B.........................................................51
Appendix C.........................................................55
Appendix D.........................................................59

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