本研究主要使用Faber (2007)的方法探討移動平均線策略在ETF的獲利能力並結合景氣指標並試圖改善移動平均線策略的報酬。本文以元大台灣卓越50基金作為研究標的，並使用其20年之日資料驗證Faber (2007)之方法以及結合移動平均線與景氣對策指標之策略的有效性。最終發現本文提出之MMA策略不僅能改善移動平均線策略的報酬，還能在累積報酬率、年化報酬率、標準差以及夏普比率皆領先買入持有策略。以年化報酬率來看；本文提出之MMA策略分別能在20日, 60日 100日 120日200日分別領先買入持有策略 (0.64%, 1.87%, 1.65%, 1.30%, 0.59%) 其中以 MMA60 的表現尤為出色；若以夏普值來看MMA20的夏普值高達0.55比起買入持有策略之0.30提升了近一倍。另外本文也在第四章以相同的研究方法檢驗此策略若應用於S&P500 ETF是否也能帶來可觀的報酬，結果顯示MMA策略若是應用於S&P500 ETF也能帶來相同超越買入持有的報酬。

This research uses the method from Faber (2007) to test the strategy of moving average on Taiwan top 50 ETF. The results came out classic moving average strategy could not perform better then the buy and hold strategy. These results induced our team to came up with another strategy which is the monitoring indicator moving average strategy (MMA)this strategy combines the moving average strategy and the monitoring indicator. The results came out that the MMA strategy can not only perform better than the classic moving average strategy, but also perform better than the buy & hold strategy； the results shows out the annual return of MMA strategy can outperform the B&H strategy by(MMA20:0.64%,MMA60:1.87%,MMA100:1.65%,MMA120:1.30%,MMA200:0.59%) In section four we also did robustness check using S&P500 as research sample； the results came out the MMA strategy still perform better than the B&H strategy proving the results of this research is robustness.

摘要 i
Abstract ii
誌謝 iii
目錄 iv
圖目錄 vi
表目錄 vii
第一章 、緒論 1
第一節、研究動機 1
第二節、研究目的 3
第二章 、文獻回顧 6
第一節、移動平均線策略 6
第二節、總體經濟指標與市場報酬 7
第三節、移動平均線策略與其他指標之結合 7
第三章 、研究方法和設計 9
第一節、研究架構 9
第二節、研究樣本與資料來源 11
第三節、研究操作 11
第四節、策略報酬率計算 14
第四章 、實證結果分析 16
第一節、移動平均線策略獲利能力(MA) 16
第二節、景氣對策信號的獲利能力 (MI) 21
第三節、景氣指標結合移動平均線策略的獲利能力(MMA) 21
第四節、總結 24
第五章 、穩健性檢驗(美國市場為例) 27
第一節、綜合領先指標(CLI) 27
第二節、穩健性檢驗方法 28
第三節、實證分析 30
第四節、總結 31
第六章 、結論與建議 35
第一節、結論 35
第二節、建議 35
參考文獻 37

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