短中期技術面整合策略之研究

Abstract

自有股市以來，投資人不斷嘗試透過各個策略及面向，來評估股票價值及研判其未來走勢。然而，面對股票市場的劇烈波動，在大跌階段，投資人往往損失慘重並回吐多年累計獲利。 筆者沈浸股票市場20餘年，經歷多次重大事件洗禮，觀察過無數投資人進出股市。雖然，多數人在股市鎩羽而歸，然而，部分投資人採用有效的技術面操作策略，即使面對重大利空，仍可在市場屹立不搖，維持長期獲利。此外，筆者對照本身投資的實務經驗，發現搭配不同級別（時間架構）的技術指標，對操作績效提昇具有相當程度幫助。 因此，筆者將實務與理論整合，採用市場最熟悉的移動平均線（MA）、隨機指標（KD），額外考慮以週KD及週MA指標為篩選機制的中期正向趨勢「期間」篩選，以「短中期」技術指標互相搭配，制定新的交易策略。 新的交易策略，以週KD指標、周MA為基準，剔除中期趨勢股價表現弱勢階段後，篩選出的中期正向趨勢「期間」，再分別應用於日線技術指標的一般交易策略，形成「跨級別」的技術面策略。 而經本文研究設計、實證分析後，其結果顯示：採單純日MA突破、日KD突破訊號為交易策略的投資績效，與一般坊間文獻結果相同，並無法在本文樣本的投資組合下獲取超額報酬。不過，本文所發展的「跨級別」新交易策略，其投資組合報酬率，統計檢定均「顯著」優於單純持有策略，也分別優於採單純日MA突破交易策略及採單純日KD突破交易策略的投資報酬率。 此外，新交易策略的統計資料亦顯示，其交易成功率、每筆平均獲利、成功交易平均獲利及成功次數/失敗次數比率，均大幅超越僅考慮單一期別的單純日MA突破交易策略及單純日KD突破交易策略。顯示技術面的「跨級別」交易策略運用，不僅可獲取超額報酬，其各項交易結果的優異性，也證明其為投資人可考慮採用的有效可行投資策略。

For a long time, investors have tried to evaluate stocks and figured out the right trends in stocks’ prices by using different stock- picking or trading strategies. However, because of the nature of volatile stock market, the investors tend to have a huge loss especially during a stock market downtrend. I, a veteran in financial industry for over 20 years, having encountered several financial and economy crises and seen varied trading behaviors of investors, realize that most of investors become losers while few of them could always be winners. By my observation, the winners, who always apply efficient technical analysis for stock trading, keep wining and accumulate their long-term profit even in the bearish markets. Also, based of my personal experience in stock-picking, investment performance can be improved when different time span of technical indicators have been concerned into investors trading strategies. To form a new trading strategy, I implement not only academic theories but also empirical evidence. Besides applying the most well-known technical indicators, short time spans-- daily Moving Average (MA) and daily Stochastic Indicator (KD)--, I use middle time span indicators-- weekly MA and weekly KD--for prior stock screening. Initially, the new trading strategy is to use stock screener (weekly MA and weekly KD indicators) to distinguish two groups, outperformed or underperformed groups. And only the outperformed group goes to the further step. Moreover, the new strategy is to follow the basic technical analysis rules, making a trading position as stock price cross up or cross down of its daily indicators. This paper includes empirical study and statistical test of the basic and new trading strategies. Like other researchers’ study, I found the basic trading strategy can not beat the market and the efficient market hypothesis is held. However, instead of just using basic technical analysis, the investors can generate a better or excess return when they apply the new trading strategy, using weekly technical indicators as a stock screener and then employing the basic technical analysis to make a trading decision. Likewise, the statistical test shows that results are “significant.” The study also indicates that new trading strategy provides higher probability of having positive return trading, average return of these positive return trading, average return of each trading, and the ratio of (times of gain)/(times of loss) than the basic trading strategy does. Hence, the result of this study may suggest that investors can take advantages of the new trading strategy to have a better performance.