一目均衡指標於資本市場之應用－以外匯市場為依據

Abstract

運用交易策略在資本市場上取得最大化的超額報酬，一直都是學界和業界所追求的理想目標，希望能找出各種市場裡對於未來走勢有相當程度預測力的指標因子，並藉此擬定合宜的交易策略從中獲利。大體而言市場分析思維可區分為基本面與技術面兩類，前者係透過研究總體經濟、公司財報、新聞消息等公開資訊，衡量一項標的之真實價值，辨識出相對被市價高估或低估之標的；後者則是經由量化方式分析歷史價格數據，推斷未來之潛在趨勢，並以技術指標提示適當的進出時機點。儘管實務上應用廣泛，技術指標的有效性仍然備受爭論。而在外匯市場是否也一樣存在有效的技術面交易策略，則是本研究欲探討之重點。 本研究以美元、歐元、英鎊、澳幣、日圓、人民幣、台幣7種幣別所組成共21對匯兌組合作為研究標的，根據一目均衡指標(Ichimoku Indicators)為進出場信號，當價格線上穿雲帶做多，下穿雲帶做空，一旦轉換線和基準線交叉即平倉。並且利用MultiCharts軟體模擬歷史回測，研究該策略的績效統計數據，驗證其相較於對照組(雙均線策略)，能在外匯市場獲得超額報酬和降低回撤風險。

Applying trading strategies to retrieve maximum excess return on capital markets has been an ideal goal to pursue in both academy and industry, which hopes to find out some factors with predictability of future trends in all sorts of markets and to profit from planning suitable trading strategies according to these factors. Generally speaking, Market analysis mindset can be divided into two categories: fundamental and technical. The former refers to research on macro economy, corporate financial reporting, news and other public information, in order to evaluate an underlying’s authentic value, and distinguish those which are relatively overvalued or undervalued by market prices. The latter refers to analyze historical price data with quantitative approach to deduct future potential trend, and using technical indicators to signal appropriate timing to enter or exit the market. Despite their widely application in practice, technical indicators are still being argued in their effectiveness. Furthermore, whether technical trading strategies with same effectiveness exist in foreign exchange market, is being the main focus in our research. In this paper, we will use USD, EUR, GBP, AUD, JPY, CNY, TWD to compose 21 foreign exchange pairs as subjects. Based on Ichimoku Indicators as entry or exit signal, long the underlying when price curve surpasses “the cloud”, while short when price curve falls over “the cloud”, and exit either position once the conversion line crosses with the standard line. Besides, by running historical backtesting with simulation software MultiCharts, we can gather the performance statistics and verify if Ichimoku gain excess return and decrease drawdown risk, relative to the benchmark (Double Moving Average Strategy).