透過分析興櫃股票的買賣日報表打敗買進持有策略的交易策略

Abstract

本篇論文提出的交易策略，透過分析2007年1月1日至2016年8月31日這段實驗期間，台灣興櫃股票市場的買賣日報表，定義出各檔在實驗期間才上興櫃的股票的關鍵券商，接著透過觀察各檔興櫃股票的關鍵券商當日的合計買(賣)超數量，當合計買(賣)超數量達到門檻值，即從次一交易日起，以這些關鍵券商的合計買進(賣出)均價掛出限價單。 本篇論文的實驗使用內部報酬率與時間加權報酬率，來呈現各種不同參數下的策略績效，並提供策略獲利金額、帳戶淨值最大回檔金額的數據給讀者參考。由於台灣的興櫃股票市場並沒有興櫃加權指數，所以本論文也實作了「興櫃股票買進持有策略」，該策略在實驗期間的年化內部報酬率為2.45%，年化時間加權報酬率為5.76%，而在實驗期間將除權、除息考量進來後，台灣加權股票指數的報酬率為8.16%，櫃買指數的報酬率為1.01%。 實驗的結果顯示：在門檻值為零時，交易策略對於關鍵券商的買賣行為的敏感度最佳，策略風險相較其他門檻值的策略低，策略績效皆明顯優於「興櫃股票買進持有策略」及櫃買指數，且絕大多數的策略績效優於台灣加權股票指數，代表分析興櫃股票買賣日報表的交易策略的確能在興櫃市場獲取優異的報酬。

This thesis proposes trading strategies that analyzed the daily trading reports of the emerging stocks traded on the Taipei Exchange from January 1st, 2007 to August 31st, 2016. Trading strategies determine the 'important brokerage firms' for each emerging stock issued during the above experiment interval. Then calculate the difference between the total units they bought and the total units thy sold. If the absolute value of the difference reaches certain threshold, trading strategies will file a buying or selling trading signal on that stock depends on the sign of the difference. Whenever a trading signal comes, trading strategies will set a buy/sell limit order at those important brokerage firms' average buying/selling price from the next day on until the order is filled or the reverse trading signal comes before the order is filled. This thesis uses the internal rate of return, IRR, and the time-weighted rate of return, TWR, to represent trading strategies' performances and lists the total profit amounts and the maximum drawdowns of all trading strategies. Because the Taipei Exchange does not create any index relevant to the emerging stock market, this thesis implements a 'buy and hold' strategy for the emerging stock market. The annualized IRR and the annualized TWR of this buy and hold strategy are 2.45% and 5.76% respectively during the experiment interval. Besides, the indices for the top two stock market in terms of scale in Taiwan are TAIEX and TPEx indices. The annualized returns of these two indices during the experiment interval are 8.16% and 1.01% respectively. The experiment results show that trading strategies with threshold equal to zero outperform the buy and hold strategy, TPEx index, and most of them outperform TAIEX index as well. Besides, they have better performances and lower risks compared with trading strategies with other thresholds. It turns out that trading strategies based on analyzing the daily trading reports of the emerging stocks, traded on the Taipei Exchange, can really be an effective and attractive choice for investors.