臺灣博碩士論文加值系統

本文應用Elder(1986)三重濾網交易操作策略，除了原有的擺盪指標外，再納入趨勢指標作為交易策略，就期貨與股票市場皆可應用三重濾網策略提升交易之報酬，以此證明不同市場是否可利用此策略提升操作績效。本文使用台灣50指數成分股與台灣中型100指數成分股為樣本，總共222家公司，取樣期間為2005年1月1日至2011年6月30日止。在考慮交易成本下，檢視三重濾網交易策略的操作績效，本研究發現：(1)在做多策略上，擺盪指標與趨勢指標皆可提升交易報酬率。(2)在做空策略上只有擺盪指標可提升交易報酬率。(3)可減少交易筆數且提升獲利成功率。(4)應用於傳統產業的策略績效優於應用於電子產業的策略績效。然而，對投資人的建議為投資人並非得要追求複雜的交易策略，是使用週線濾網，搭配簡單的交易策略，即可減少投資訊號與錯判情勢所帶來的虧損及風險。

The present study employed the Triple Screen Trading System proposed by Elder (1986).This research not only use oscillators but also use trend-following indicators in Taiwan 50 Index constituents and Taiwan 100 Index constituents. We find that the Triple Screen Trading System by the statistical validation can be to raise the return of the trading strategy. We construct the portfolio using 222 companies during the period of 2005 to 2011 in the present study.
The empirical results are as follows: (1) in long position, oscillators and trend-following indicators both can raise return. (2) In short position, oscillators indicators can raise return. (3) The Triple Screen Trading System could reduce number of trading and improve the profitability. (4)The profitability of applying the trading strategy in the traditional industries outperforms that in the electronics industries.

目錄
摘要 I
Abstract II
謝辭 III
目錄 V
表目錄 VII
圖目錄 VIII
第一章 緒論 1
第一節 研究背景 1
第二節 研究動機 1
第三節 研究目的 2
第四節 研究流程與架構 4
第二章 文獻回顧 5
研究假設之建立 8
第三章 研究方法 9
第一節 研究設計 9
第二節 技術指標定義與應用 10
第三節 三重濾網交易系統 16
第四節 建構交易策略 17
第五節 報酬率的定義 17
第六節 K比率的定義 18
第四章 實證結果分析 20
第一節 敘述性統計 20
第二節 技術策略實證結果 24
第五章 結論與建議 55
第一節 研究結論 55
參考文獻 57


表目錄
表4.1上市上櫃樣本公司有無週線濾網之趨勢指標的敘述性統計 22
表4.2上市上櫃樣本公司有無週線濾網之趨勢指標的敘述性統計 23
表4.3所選取之台灣上市上櫃之濾網策略與無濾網策略之績效 26
表4.4所選取之台灣上市上櫃之濾網策略與無濾網策略之績效 29
表4.5所選取之台灣上市上櫃之濾網策略與無濾網策略之績效 33
表4.6所選取之台灣上市上櫃之濾網策略與無濾網策略之績效 34
表4.7所選取之台灣上市上櫃之濾網策略與無濾網策略之績效 38
表4.8所選取之台灣上市上櫃之濾網策略與無濾網策略之績效 39
表4.9所選取之台灣上市上櫃之濾網策略與無濾網策略之績效 42
表4.10所選取之台灣上市上櫃之濾網策略與無濾網策略之績效 45
表4.11所選取之台灣上市上櫃之濾網策略與無濾網策略之績效 48
表4.12所選取之台灣上市上櫃之濾網策略與無濾網策略之績效 49
表4.13所選取之台灣上市上櫃之濾網策略與無濾網策略之績效 53
表4.14所選取之台灣上市上櫃之濾網策略與無濾網策略之績效 54


圖目錄
圖1-1 流程架構圖 4

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