臺灣博碩士論文加值系統

本研究使用技術指標之移動平均線 MA、隨機指標 KD 及指數平滑移動平均線 MACD 並採用不同的參數設定，將其用於台灣半導體產業來評估那些技術指標和其參數設定的組合最為適合且能得到較好的投資績效。本研究將使用 2010年 1 月至 2019 年 12 月的每日價格數據進行分析與實證，本研究的實證結果發現，若採用單一指標並進行參數設定，MA 指標的參數設定為 35 或 50，KD 指標的參數設定為 5，MACD 指標的參數設定為(12,26,9)是能在半導體產業內獲得較好投資績效的參數設定。而若採用多重指標並進行參數設定，則 MA+KD 的參數設定為 MA(10)+KD 或 MA(15)+KD ； MA+MACD 的 參 數 設 定 為MA(35)+MACD 或 MA(50)+MACD 則是能在半導體產業內獲得較好投資績效的參數設定。

This paper applies MA, KD, and MACD indicators with different parameter to assess the profitability of trading rules in the semiconductor industry. Using daily price data from January 2010 to December 2019. The empirical results show that the most suitable parameter for MA strategy is 35 or 50, KD strategy is 5, and MACD strategy is (12,26,9) if single technical indicator is used. If one considers dual technical indicator is used, the most suitable parameter for MA and KD strategy is MA (10) + KD or MA (15) + KD. Moreover, the most suitable parameter for MA and MACD strategy is MA (35) + MACD or MA (50) + MACD.

摘要 i
Abstract ii
Contents iii
List of Table v
List of Figure vi
1. Introduction 1
2. Literature Review 2
2.1 The literature on parameter optimization in Moving Average (MA) Strategy 2
2.2 The literature on parameter optimization in Moving Average Convergence Divergence (MACD) Strategy 3
2.3 The literature on parameter optimization in Stochastic Oscillator (KD) Strategy 4
3. Methodology 6
3.1 Analytics procedure 6
3.2 Capture and filter datasets 7
3.3 Distinguish trends of companies 8
3.4 Range of parameters setting 10
3.5 Trading rules 10
4. Empirical Results 12
4.1 Results of Single Moving Average Strategy (MA) 12
4.1.1 Upward trend 12
4.1.2 Downward trend 16
4.1.3 Consolidation trend 16
4.2 Results of Single Stochastic Oscillator Strategy (KD) 18
4.2.1 Upward trend 18
4.2.2 Downward trend 22
4.2.3 Consolidation trend 22
4.3 Results of Single Moving Average Convergence Divergence Strategy (MACD) 25
4.3.1 Upward trend 25
4.3.2 Downward trend 27
4.3.3 Consolidation trend 27
4.4 Results of combination of Moving Average strategy (MA) with Stochastic Oscillator strategy (KD) 29
4.4.1 Upward trend 29
4.4.2 Downward trend 32
4.4.3 Consolidation trend 32
4.5 Results of combination of Moving Average strategy (MA) with Moving Average Convergence Divergence strategy (MACD) 34
4.5.1 Upward trend 34
4.5.2 Downward trend 38
4.5.3 Consolidation trend 38
5. Discussion and Conclusion 40
6. Reference 43

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