跳到主要內容

臺灣博碩士論文加值系統

(18.205.192.201) 您好!臺灣時間:2021/08/05 10:45
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果 :::

詳目顯示

我願授權國圖
: 
twitterline
研究生:鄭達鴻
研究生(外文):Da-Hong Cheng
論文名稱:斜率趨勢指標在台灣期貨市場的應用
論文名稱(外文):Technical Trading Strategies with Slope Trend Indicator in Taiwan Futures Market
指導教授:唐代彪唐代彪引用關係
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:國家發展研究所
學門:社會及行為科學學門
學類:綜合社會及行為科學學類
論文種類:學術論文
論文出版年:2008
畢業學年度:97
語文別:英文
論文頁數:53
中文關鍵詞:技術分析斜率趨勢指標有效性持續性可預測性停損
外文關鍵詞:Technical analysisSlope Trend IndicatorEffectivenessPersistencePredictabilityStop loss
相關次數:
  • 被引用被引用:0
  • 點閱點閱:477
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:2
本研究應用蘇玄啟(2005) 碩士論文中所使用的股價技術指標-斜率趨勢技術指標,使用此指標並測試此指標的操作績效。

本研究以1999年1月5日至2008年5月6日的台指期貨日內價格資做為研究樣本,並將研究期間分為樣本期間與預測期間,採用「只做多」、「多空兼做」,「只做多配合停損」、「多空兼做配合停損」操作策略,並在不同的交易成本下,測試198種不同時間週期的斜率趨勢指標策略是否具備有效性(Effectiveness)、持續性(persistence)及可預測性(Predictability)。
  
我們使用t分配來檢定斜率趨勢技術指標的有效性;等級相關係數檢定來測試績效持續性,最後使用二次分配來測試此指標是否具有績效可預測性。

  實證研究結果如下:
  (1)斜率趨勢技術指標具有有效性,在測試期間的22組資料中,必存在一個指標可以可打敗買進持有策略。 (2)使用指標在只做多,或是多空兼做,其指標間績效的排序並沒什麼改變。 (3)沒有一種操作方式(只做多,多空兼做,只做多配合停損、多空兼做配合停損) 具有顯著的成功率可以持續打敗大盤。 (4)斜率趨勢技術指標的績效具有持續性,但如果結合停損策略,則會失去持續性。 (5) 我們建議投資人可以在期貨市場中使用 50 or 53 30-min 時間週期的斜率趨勢技術指標。而超過 83 30-min 的斜率趨勢技術指標績效並不顯著。 (6)在空頭市場中,斜率趨勢技術指標明顯有效打敗大盤,配合停損策略後則更加的明顯。
This study aims to apply the methods devised by Su (2005). By adopting the quantitative technical trading strategy Slope Trend Indicator (referred to herein as “STI”), we analyzed the performance of the Taiwan futures market.

The sample data consisted of 30-minute intraday data on the prices of Taiwan futures recorded from January 5, 1999 to May 6, 2008. To measure the performance of 198 STI strategies under different trading costs, we examined four kinds of trading decisions: long-only, long-and-short, long-only with stop-loss, and long-and-short with stop-loss.

Standard t-statistic analysis has been adopted to estimate STI’s effectiveness. Spearman Rank Correlation Test has been used to test the performance of persistence. Moreover, the Binomial Proportionality Test has been appointed to assess STI’s predictability.

The empirical results are as follows:
(1) STI was effective. In a test period comprising 22 groups, there existed at least one STI strategy to beat the buy-and-hold strategy in each group. (2) The return rank orders of the long-only and long-and-short STI strategies were roughly the same. (3) None of the four trading decisions yielded significant success rates. This test result differed from Su’s (2005). (4) STI strategies possessed significant persistence; however, when combined with stop-loss, they lost their persistence. (5) We recommended the 50 or 53 30 min STI strategies in the Taiwan futures market. In addition, the returns of STI strategies longer than 83 30-minute were insignificant. (6) STI strategies performed well in the bear market, especially when combined with the stop-loss strategy.
口試委員會審定書 i
謝辭 ii
摘要 iii
Abstract iv

Chapter 1. Introduction 1
1.1 Motivation for Research 1
1.2 Purpose of the Research 3

Chapter 2. Literature Review 4
2.1 Technical Analysis 6
2.2 The Basis of Technical Analysis – The Dow Theory 7
2.3 Technical Analysis Research in Taiwan Markets 10

Chapter 3. Method and Data Analysis 13
3.1 Slope Trend Indicator (STI) 13
(1) The Model of the Slope Trend Indicator (STI) 13
(2) Independent Variable: STI 14
(3) The Trading Process 15
3.2 Data Source 16
(1) Sample Data: Continuous Futures Prices 16
(2) Sample Layout 16
3.3 Trading Strategies and Evaluation of Performance 17
(1) The Research Assumption 17
(2) STI Strategies 17
3.4 Statistical Test 18
(1) Effectiveness: T-test 18
(2) Performance Persistence Test: Spearman Rank-Order Correlation Coefficient Test 20
(3) Predictability: Binomial Test 22

Chapter 4. Empirical Results Analysis 23
4.1 Long-only Strategies Analysis 23
(1) Comparison Analysis between the Best Long-only STI Strategies and the Buy-and-Hold Strategy 23
(2) Performance Persistence Test: Spearman Rank-Order Correlation Coefficient Test 26
(3) Binomial Test 27
4.2 Long-and-Short Strategies Analysis 31
(1) Comparison Analysis between the Best STI Strategies and the Buy-and-Hold Strategy 31
(2) Performance Persistence Test: Spearman Rank-Order Correlation Coefficient Test 34
(3) Binomial Test 35
4.3 Long-only Strategies with Stop-Loss Analysis 38
(1) Comparison of Long-only STI Strategies Performance before and after the Stop-Loss 38
(2) Performance Persistence Test 39
(3) Binomial Test 40
4.4 Long-and-Short Strategies with the Stop-Loss Analysis 41
(1) Comparison of Long-and-Short STI Strategies’ Performance Before and After the Stop-Loss 41
(2) Performance Persistence Test: Spearman Rank-Order Correlation Coefficient Test 42
(3) Binomial Test 43
4.5 Performance Analysis between the Test Period and the Prediction Period 44

Chapter 5. Conclusion 47

Reference 49
Alexander S. S. (1964). Price Movements in speculative markets: trends or random walks, No.2'', in P. H. Cootner (Ed.). The random character of stock prices, (MIT, Cambridge), 338-372.

Boik, J. (2004). Lessons from the Greatest Stock Traders of All Time. New York, McGraw-Hill.

Brock, William, Lakonishok J., and B LeBaron (1992). Simple Technical Trading
Rules and the Stochastic Properties of Stock Returns. Journal of Finance , 47, 1731-1764.

Carlson, R. S. (1970). Aggregate performance of mutual fund. Journal of Financial and Quantitative Analysis, 5, 1-31.

Charles E. Spearman (1904). The proof and measurement of association between two things. Amer. J. Psychol, 15,72–101.

Chande and Kroll (1994), The New Technical Trader: Boost Your Profit by Plugging into the Latest Indicators, 1st edition, John Wiley and Sons, N.Y., N.Y.

Fama E. F. and M. Blume, (1966). Filter rules and stock market trading profits. Journal of Business, 39, 226-241.

Graham, B. (1985). The intelligent investor: a book of practical counsel. New York, N.Y., Harper & Row.

Grinblatt Mark, Sheridan Titman, (1992). The persistence of mutual fund performance. Journal of Finance, 47, 1977-1984.

Higgins, R. C. (1998). Analysis for financial management. Boston, Mass., Irwin/McGraw-Hill.

Hudson R., Dempsey M. and K. Keasey (1996). A note on the weak form efficiency of capital markets: The application of simple technical trading rules to UK stock prices – 1935 to 1994. Journal of Banking and Finance, 20, 1121-1132.

Jensen, Michael (1968). The performance of mutual funds in the period 1945-1964. Journal of Finance, 23, 389-416.

Kho B.-C. (1996). Time-varying risk premia, volatility, and technical trading rule profits: Evidence from foreign currency futures markets. Journal of Financial Economics, 41, 249-290.

Kroll, S. (1987). Kroll on Futures Trading Strategy Irwin Professional Pub

Lefevre, E. (1994). Reminiscences of a stock operator. New York, J. Wiley.

Levich R. M. and L. R. Thomas (1993). The significance of technical trading rules. Profits in foreign exchange markets: A bootstrap approach. Journal of International Money and Finance, 12, 451-474

Malkiel, B. (1998). Still on a random walk. Bloomberg Personal Finance, 1998, July-August.

Malkiel, B. G. (2003). A random walk down Wall Street : the time-tested strategy for successful investing. New York, W.W. Norton.

Murphy, J. J. (1986). Technical analysis of the futures markets : a comprehensive guide to trading methods and applications. New York, New York Institute of Finance.

Paulos, J. A. ( 2003). All Investors Are Liars. WALL STREET JOURNAL: 2003, September 2nd.

Paulos, J. A. (1990). Innumeracy: mathematical illiteracy and its consequences. New York, Vintage Books.

Pruitt, S.W. and R.E White (1998). The CRISMA Trading System: Who Says
Technical Analysis Can’t Beat the Market?. Journal of Portfolio Management, 1988, 55-58.

Plummer, T. (1991). Forecasting Financial Markets: Technical Analysis and the Dynamics of Price. New York, Wiley.

Richard C. Sprinthall. (1993). Basic statistical analysis. Massachuseets, Allyn and Bacon.

Schwager, J. D. (1995). Fundamental analysis. New York, Wiley.

Schwager , J. D. (1995). Schwager on Futures : Technical Analysis. New York, Wiley.

Schwager, J. D. (2001). Stock market wizards : interviews with America''s top stock traders. New York, HarperBusiness.

Szakmary A., Davidson III W.N., and Schwarz T. V. (1999). Filter Rests in Nasdaq
Stocks. Financial Review, vol.34, 45-70.

Sharpe, W. F. (1991). The Arithmetic of Active Management. Financial analysts journal, 47, 7-9..

Sharpe, William F. (1966). Mutual fund performance. Journal of Business,1996, 119-138.

Su, Xuan-Qi (2005). Technical Trading Strategy with Slope Trend Indicator in
Taiwan Stock Market. Master Thesis, Feng Chia University.

Treynor, J. (1981). What Does It Take to Win the Trading Game?. Financial Analysts Journal: January-February.

Levich, R. M. and Thomas, L. R. (1991). The Significance of Technical Trading-Rule
Profits in the Foreign Exchange Market: A Bootstrap Approach. National Bureau of Economic Research Working Paper Series, Working paper no. 3818.

Weinstein, S. (1988). Stan Weinstein''s Secrets for profiting in bull and bear markets. Homewood, Ill., Dow Jones-Irwin.

Williamson, J. P. (1972) Measurement and forecasting of mutual fund performance: Choosing an investment strategy. Financial Analysis Journal, 28, 78-84.

陳景堂(2004) 統計分析SPSS for Windows 入門與應用(第五版). 台北市, 儒林圖書公司 格致圖書公司。

林新富 (2005) 移動平均價與量雙指標盈虧之研究。國立高雄應用科技大學商務經營研究所碩士論文。

洪美慧 (1987) 技術分析應用於台灣股市之研究-移動平均線,乖離率指標與相對強弱指標。東海大學管理研究所碩士論文。

梁勝斐 (2004) 以移動平均線及突破比率為指標在不同交易策略下之報酬。國立逢甲大學財務金融學所碩士論文。

彭亮銓 (2004) 台灣股票市場股票報酬之研究。國立高雄應用科技大學工業工程與管理所碩士論文。

蔣晉維 (2004) 修正移動平均法於台灣股市之報酬率研究。國立交通大學工業工程與管理系所碩士論文。

魯秉鈞 (2001) 技術分析於台灣股票市場的運用─移動平均線與均量指標。東海大學管理在職進修專班碩士論文。

賴漢楨 (2004) 技術指標在台灣股市之實證研究─相對期間價量分析法。大葉大學國際企業管理學系碩士論文。

謝政遠 (2004) 以移動平均線、相對強弱指標與成交量檢驗台灣股票市場的效率性。國立逢甲大學財務金融學所碩士論文。

蘇明南 (2001) 移動平均線法則應用於台灣股市之實證研究。淡江大學財務金融學所碩士論文。

蘇玄起 (2005) 以斜率趨勢指標為技術分析交易策略在台灣股票市場之應用。逢甲大學財務金融學所碩士論文。
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
無相關期刊