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研究生:王俊傑
研究生(外文):Chun-Chieh Wang
論文名稱:以預測力優劣檢定法及真實性檢驗探討期貨市場技術分析的有效性
論文名稱(外文):Using SPA test and Reality Check to Examine the Performance of Technical Analyses in the Futures Markets
指導教授:許英麟許英麟引用關係顏盟峯顏盟峯引用關係
指導教授(外文):Ying-Lin HsuMeng-Feng Yen
學位類別:碩士
校院名稱:朝陽科技大學
系所名稱:財務金融系碩士班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2007
畢業學年度:95
語文別:中文
論文頁數:121
中文關鍵詞:技術分析交易規則預測力優劣檢定法修正後模擬交易法資料探勘
外文關鍵詞:SPA testtrading rulemodified simulation tradedata-snoopingtechnical analysis
相關次數:
  • 被引用被引用:5
  • 點閱點閱:300
  • 評分評分:
  • 下載下載:5
  • 收藏至我的研究室書目清單書目收藏:2
本文在探討技術分析的有效性,這個問題在過去20年間不斷的被爭論著。而對於這個議題,本研究主要分析期貨市場資料探勘的問題。我們使用Hansen’s SPA test和我們修正的模擬交易法,從過去文獻中挑選4,794條技術分析交易規則,在倫敦金融時報指數期貨、道瓊歐洲50指數期貨及台指期貨指數中檢驗它們的績效。這些交易規則為5種普遍的技術指標,即濾嘴法則(FR)、移動平均線(MA)、量能潮(OBV)、成交量動能策略(MSV)及資金流量指標混合相對強弱指標(MFI&RSI)。在SPA test的結果中,我們發現最佳交易規則大多數不能擊敗基準模型策略。僅有倫敦金融時報指數期貨例外,在這市場中最佳交易規則顯著的擊敗賣出持有策略。我們也發現,在倫敦金融時報指數期貨市場中,樣本內的最佳交易規則是MSV,而且此規則在樣本外依然可以擊敗賣出持有策略。相反的在修正後模擬交易法的結果中,我們發現每個市場在樣本內都可以找到擊敗基準模型的最佳交易規則,但這些交易規則在樣本外不一定能擊敗買進持有策略。不過我們發現這些最佳交易規則,在樣本外都可以擊敗賣出持有策略。
This paper discusses the usefulness of the technical analysis, an issue of dispute over the past two decades. This study thus focuses on this issue and endeavors to provide an insight into the problems of data-snooping bias in the futures markets. Based on Hansen’s SPA test (test for superior predictive ability) and we modify the Simulation Trade , we examine the profitability of a universe of 4,794 technical trading rules, which are selected from previous studies, in three index futures markets: FTSE 100, DJ Euro Stoxx 50 and TAIEX. These rules involve 5 types of popular technical indicators, i.e. filter rule (FR), moving average (MA), on balance volume (OBV), momentum strategy of volume (MSV) and a combination of the money flow index and the relative strength index (MFI&RSI). The result is obtained based on Hansen’s SPA test, We find that the best trading rule of such universe generally cannot beat either benchmark strategy. The only exception appears in the case of the FTSE 100 index futures, in which the best trading rule of our universe significantly beats the sell-and-hold strategy. We also find that the best trading rule of the realized in-sample data for the FTSE 100 index futures is ‘MSV’ with a certain set of parameters, which also beats the sell-and-hold benchmark strategy in the out-of-sample period. The result is obtained from Modify Simulation Trade, we find that best trading rule of such universe generally can beat either benchmark strategy in all futures markets. On the contrary, the results based on the modified simulation trade suggest that the best trading rule of such universe generally outperforms both benchmark strategies in all futures markets. Regarding the out-of-sample performance, the best rules do not always outperform the buy-and-hold strategy in the out-of-sample period, while they do beat the sell-and-hold strategy in the out-of-sample period.
中文摘要 I
英文摘要 II
謝誌 III
目次 IV
表目錄 VI
圖目錄 VII
第一章 緒論 1
第二章 文獻探討 6
第三章 研究方法 18
第一節 懷特的真實性檢定法 19
第二節 預測力優劣檢定法 20
第三節 修正後模擬交易法 25
第四節 基準模型 30
第五節 交易規則 31
第六節 交易時間的誤差 41
第四章 資料 43
第一節 資料來源 43
第二節 交易成本 45
第三節 報酬率計算 47
第五章 研究結果 52
第一節 SPA test所產生的最佳交易規則之結果 52
第二節 q值對SPA test檢驗結果的影響 56
第三節 交易規則數對SPA test檢驗結果的影響 59
第四節 修正後模擬交易法檢驗的結果 60
第五節 最佳交易規則樣本外之績效 62
第六節 拔靴模擬次數對SPA test檢驗結果的影響 63
第六章 結論與未來研究建議 69
第一節 結論 69
第二節 未來研究建議 72
附錄A SPA test的結果 75
附錄B 修正後模擬交易法的結果 81
附錄C SPA test樣本外報酬率 117
參考文獻 118
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