技術分析投資績效之實證分析—以台灣50 ETF為例

Abstract

本研究利用移動平均線(moving average)、隨機指標(KD)及布林通道(BOL) 3種常用的技術分析指標，搭配不同指標參數及策略方法，組成47種交易策略來回測由元大發行的股票指數型基金「台灣50 ETF 的日交易資料。研究期間為2010年1月1日至2015年12月31日，共6年。交易資料為日資料，總計1486筆交易記錄。本研究主要探討技術分析能否可以打敗單純買入持有的策略，而獲取更高的投資報酬。 根據實證結果，可歸納得出以下六點結論： 一、僅單一一種技術指標的操作策略並無法擊敗買入持有的操作策略。二、單一技術指標搭配停損點的設定可以擊敗買入持有的操作策略。三、單一指標技術分析中，移動均線以參數20-120表現最好；布林通道以20-2-2表現最好、隨機指標以20日KD表現最好。四、KD指標搭配停損設定績效最好，高過移動均線及布林通道的搭配組合。五、在KD指標的鈍化改進操作策略上，以20日KD回測績效表現最好，但績效表現不如單一KD指標。六、布林通道的加碼策略上以10-2-2參數表現較好，但是績效表現不如單一使用布林通道之投資績效。

This paper uses TTT daily data from 2010 to 2015 to examine the profitability of technical trading rules by evaluating their ability to outperform the buy-and-hold trading strategy. Three technical analysis indicators with different parameters and strategies were used in this paper. According to the result of this paper, we conclude these following results： First, the performance of using single technical analysis indicator can not outperform the buy-and-hold strategy. Second, technical trading rules combined with the stop-loss strategy can outperform the buy-and-hold strategy. Third, in the performance of single technical analysis indicator, the moving-average rules with 20-120 parameter, bollinger band with 20-2-2 parameter, and stochastic oscillator with 20-3-3 parameters have the greatest return among the all parameters. Fourth, KD indictor combined with the stop-loss strategy performs better than the rest of the technical analysis indicators. Fifth, the performance of KD passivation strategy can not surpass the single technical analysis. Sixth, Bollinger band with the overweight strategy do not outperform the single technical analysis.