臺灣博碩士論文加值系統

本研究主要目的是探討投資績效與持有期間兩者間的關聯性，並以2007年1 月2 日至12 月31 日之台灣加權股價指數為研究對象，將技術指標與創新買賣策略相結合來探討在不同買賣時點尋找其最佳投資報酬率，抑或利用技術分析圖形來判斷整體大盤走勢。實證結果顯示，就傳統技術指標而言，以MACD指標所獲得的報酬率為最高，至於在MA 與RSI 指標方面，若將兩者時間間距拉長，即可提高其報酬獲利率。就創新買賣策略而言，若將青年法則與百米策略相結合，其所得到的報酬率為負值，表示該策略應搭配其他指標，以期達到積極投資目的；至於在老頭法則與馬拉松策略方面，該策略適合保守穩健型的投資者，且其平均獲利率高達9.00%，若針對指標時間間距進行調整，且拉長研究資料筆數，應可獲得較佳的結果。

This study explored the relationship between investment performance and holding periods. The study samples are Taiwan Stock Index from Jan, 2 to Dec, 31 2007. The study targets on the decision system concluded by the operation of technical analysis and the innovative trading strategy, and that is in order to earn excess returns in different transaction timing. Moreover, the study applies technical diagram to forecast market movement.
The results revealed that investors could earn the highest return which is according to the indicator of Moving Average Convergence and Divergence (MACD). In addition, the return will increase if the periods of measurement could be extended towards indicators of Moving average (MA) and Relative Strength Index (RSI). However, the returns in terms of innovative trading strategy are negative if we link up Youth rule with Hectometre strategy. It means that the combination strategy should link up other indicators, and that could achieve the objective of constructive investment. In respect to the researching of Old Man rule and Marathon strategy, the average return rate is up to 9% which means that both of the strategies agree with moderate investments. Furthermore, we could get better results if sample periods are extended and timing of indicators is adjusted.

目 錄
中文摘要 -----------------------------------------------i
英文摘要 -----------------------------------------------ii
致謝 -------------------------------------------------- iii
目錄 -------------------------------------------------- iv
表目錄 -------------------------------------------------v
圖目錄 ------------------------------------------------ vii
壹、緒論 ---------------------------------------------- 1
一、研究動機與目的 ------------------------------------ 1
二、研究方法與步驟 -------------------------------------2
貳、理論基礎與相關文獻 -------------------------------- 5
一、技術分析理論架構 ---------------------------------- 5
二、技術指標探討 ---------------------------------------9
三、相關文獻回顧 --------------------------------------12
參、研究方法 ----------------------------------------- 15
一、研究範圍與資料來源 ------------------------------- 15
二、技術指標分析 ------------------------------------- 17
(一) 移動平均線 -------------------------------------- 17
(二) 相對強弱指標 ------------------------------------ 20
(三) 指數平滑異同移動平均線 ---------------------------21
肆、實證結果與分析 ----------------------------------- 24
一、 移動平均線 ---------------------------------------24
二、 相對強弱指標 ------------------------------------ 31
三、 MACD、MA 及RSI 三者相互比較 --------------------- 35
伍、結論與建議 --------------------------------------- 38
參考文獻 --------------------------------------------- 40

表目錄
表3-1 青年法則進場時機判斷表 ------------------------- 18
表3-2 老頭法則進場時機判斷表 ------------------------- 19
表3-3 百米策略買賣點判斷表 --------------------------- 20
表3-4 馬拉松策略買賣點判斷表 ------------------------- 21
表3-5 第2 組策略建議買進時機表 ----------------------- 22
表3-6 第2 組策略建議出場時機表 ----------------------- 22
表3-7 第3 組策略建議買進時機表 ----------------------- 22
表3-8 第3 組策略建議出場時機表 ----------------------- 23
表4-1 MA 指標(6 日，12 日)之投資報酬分析表 ----------- 24
表4-2 MA 指標(6 日，12 日)之買賣時點與價格 ----------- 25
表4-3 MA 指標(12 日，24 日)之投資報酬分析表 ---------- 26
表4-4 MA 指標(12 日，24 日)之買賣時點與價格 ---------- 27
表4-5 MA 指標(24 日，48 日)之投資報酬分析表 ---------- 28
表4-6 MA 指標(24 日，48 日)之買賣時點與價格 ---------- 28
表4-7 青年法則之投資報酬分析表 ----------------------- 29
表4-8 青年法則之買賣時點與價格 ----------------------- 30
表4-9 老頭法則之投資報酬分析表 ----------------------- 30
表4-10 老頭法則之買賣時點與價格 ---------------------- 31
表4-11 MA 指標各項投資策略報酬率比較表 --------------- 31
表4-12 百米策略之投資報酬分析表 ---------------------- 32
表4-13 百米策略之買賣時點與價格 ---------------------- 32
表4-14 馬拉松策略之投資報酬分析表 -------------------- 33
表4-15 馬拉松策略之買賣時點與價格 -------------------- 34
表4-16 12、26 日DIF 與MACD 策略之投資報酬分析表 ------ 35
表4-17 12、26 日DIF 與MACD 策略之買進賣出時機與價格 -- 36
表4-18 MA 與RSI 指標各項投資策略報酬率比較表 --------- 37
表4-19 MACD、MA 與RSI 指標各項投資策略報酬排行 ------- 37

圖目錄
圖1-1 研究流程圖 -------------------------------------- 4
圖3-1 研究樣本期間選擇流程圖 ------------------------- 16
圖4-1 大盤走勢圖 ------------------------------------- 24
圖4-2 MA 指標(6 日，12 日)之走勢圖 ------------------- 26
圖4-3 MA 指標(12 日，24 日)之走勢圖 ------------------ 27
圖4-4 MA 指標(24 日，48 日)之走勢圖 ------------------ 29
圖4-5 百米策略之走勢圖百米策略之走勢圖 --------------- 33
圖4-6 馬拉松策略之 ----------------------------------- 34
圖4-7 DIF 與MACD 之走勢圖 ---------------------------- 36

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