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研究生:詹沐德
研究生(外文):CHAN,MU-TE
論文名稱:技術分析的回顧與分類創新
論文名稱(外文):Review of Technical Analysis
指導教授:陳立文陳立文引用關係
指導教授(外文):CHEN,LI-WEN
口試委員:劉清標
口試委員(外文):Chinpiao Liu
口試日期:2014-07-01
學位類別:碩士
校院名稱:國立中正大學
系所名稱:財務金融研究所
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:2014
畢業學年度:101
語文別:中文
論文頁數:147
中文關鍵詞:技術分析
外文關鍵詞:Technical Analysis
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本研究之目的,在於回顧技術分析文獻及市場上對技術指標的分類方法。並提出一套挑選指標的方法,幫助學者能更有效率的挑選技術指標進行回測。
本篇從三個層面挑選指標:(1)調查該指標之文獻數目;(2)該指標之公式複雜度;(3)指標之間的關聯性。首先,我們蒐集學者對技術指標回測之文獻,並從學者回測的結果中,挑選表現較佳且容易運算的指標優先進行回測。將挑選出的指標回測後,從其結果挑選下一個與其關聯性強或弱之指標,若為顯著獲利,則下一個挑選與之關聯性高的指標,反之,挑選與之關聯性低的指標。
在本文挑選指標流程下,第一個挑選出的回測指標為移動平均,另外,我們亦繪製流程圖說明此分類挑選指標的流程,並使用樹狀圖展示回測指標的順序,提供學者在選擇指標進行回測時能更有效率的挑選出優先回測之指標。

The purpose of this study is to help scholars decide the priority of back-testing of technical indicators. This paper designs three criteria to decide the priority of back-testing: (1) the number of published papers which examine this indicator; (2) the complex of formulas of this indicator; (3) the relationship among different indicators. The first chosen indicator is the one which has more citation, better performance , and is easier to calculate. We subsequently use the relationship between different indicators to choose the next indicator.
Following the above procedure, moving Average is the first chosen indicator. This study provides an efficient-method to decide the propriety of the back-testing of technical indicators.

第一章 前言 1
第二章 文獻回顧 4
第一節 技術分析興起與重要技術指標 4
第二節 市場技術分析分類 27
第三章 研究方法 30
第一節 研究設計 30
第二節 分類方法 32
第四章 分類結果 35
第一節 挑選回測之指標 35
第三節 指標回測策略 41
第五章 結論 48
參考文獻 50


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