臺灣博碩士論文加值系統

本研究利用投資人常用的技術指標(MA、BBANDS、KD及MACD)再加上籌碼資料，對台灣50和中型100指數的成分股建構出15種交易策略，並在出現買進訊號的隔天，以買進訊號出現當天的收盤價買進。實證結果發現，在不同的樣本期間，雖然技術指標建構的策略不一定能打敗買進後持有的策略，但能夠減少波動，有較高的夏普比率。另外在這15種交易策略中，由均線指標建構而成交易策略相對其他交易策略能有較好的績效。

In this paper, I constructed the 15 trading strategies by the technical and chip indicators. I chose all component stocks in the Taiwan 50 index making up the largest 1-50 firms in Taiwan and the Taiwan mid-cap 100 index making up the largest 51-150 firms in Taiwan from 2003 to 2015. Although the strategies constructed by technical indicators cannot always beat the buy and hold strategy, it can reduce the return volatility. I also find that the strategy based on the MA indicator can generate higher return than other strategies.

Title page i
Abstract in Chinese ii
Abstract iii
Acknowledgement iv
Contents v
Contents of table vi
Figure vii
1. Introduction 1
2. Literature review 3
2.1. Technical trading rule 3
2.2. Data snooping bias 5
3. Data and methodology 6
3.1 Data 6
3.2 Technical indicator 6
3.2.1 Simple moving average 6
3.2.2 Bollinger Bands 7
3.2.3 MACD indicator 8
3.2.4 ADX indicator 8
3.2.5 Stochastic Oscillator 9
3.2.6 OBV indicator 10
3.3 Chip indicator 10
3.4 Trading strategy 11
4. Empirical result 14
5. Conclusion 18
References 19
 

References
Bajgrowicz, P., & Scaillet, O. (2012). Technical trading revisited: False discoveries, persistence tests, and transaction costs. Journal of Financial Economics, 106(3), 473-491.
Brock, W., Lakonishok, J., & LeBaron, B. (1992). Simple technical trading rules and the stochastic properties of stock returns. The Journal of Finance, 47(5), 1731-1764.
Caginalp, G., & Laurent, H. (1998). The predictive power of price patterns. Applied Mathematical Finance, 5(3-4), 181-205.
Fama, E. F., & Blume, M. E. (1966). Filter rules and stock-market trading. The Journal of Business, 39(1), 226-241.
Fang, J., Jacobsen, B., & Qin, Y. (2014). Predictability of the simple technical trading rules: An out-of-sample test. Review of Financial Economics, 23(1), 30-45.
Goo, Y.-J., Chen, D.-H., & Chang, Y.-W. (2007). The application of Japanese candlestick trading strategies in Taiwan. Investment Management & Financial Innovations, 4(4), 49.
Lo, A. W., Mamaysky, H., & Wang, J. (2000). Foundations of technical analysis: Computational algorithms, statistical inference, and empirical implementation. The Journal of Finance, 55(4), 1705-1770.
Lu, T.-H., Shiu, Y.-M., & Liu, T.-C. (2012). Profitable candlestick trading strategies—The evidence from a new perspective. Review of Financial Economics, 21(2), 63-68.
Marshall, B. R., Young, M. R., & Rose, L. C. (2006). Candlestick technical trading strategies: Can they create value for investors? Journal of Banking & Finance, 30(8), 2303-2323.
Pruitt, S. W., & White, R. E. (1988). The CRISMA trading system: who says technical analysis can't beat the market? The Journal of Portfolio Management, 14(3), 55-58.
Ratner, M., & Leal, R. P. (1999). Tests of technical trading strategies in the emerging equity markets of Latin America and Asia. Journal of Banking & Finance, 23(12), 1887-1905.
Savin, G., Weller, P., & Zvingelis, J. (2007). The predictive power of “head-and-shoulders” price patterns in the US stock market. Journal of Financial Econometrics, 5(2), 243-265.
Sullivan, R., Timmermann, A., & White, H. (1999). Data‐snooping, technical trading rule performance, and the bootstrap. The Journal of Finance, 54(5), 1647-1691.