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| Title: | 以技術指標建構投資策略之實證研究—以台灣個股為例
Empirical Study on Constructing Investment Strategies based on Technical Indicators – Taking Stocks in Taiwan for Example |
| Authors: | 楊尚儒
Yang, Shang-Ju |
| Contributors: | 黃泓智
Huang, Hong-Zhi
楊尚儒
Yang, Shang-Ju |
| Keywords: | 技術指標結合
個股股價回測
績效分析
Combination of technical indicators
Backtesting of Stock price
Performance analysis
MA
KD
RSI
MACD |
| Date: | 2023 |
| Issue Date: | 2023-03-09 18:49:08 (UTC+8) |
| Abstract: | 本研究欲將常見的技術指標，如：移動平均線（MA）、隨機指標（KD）、相對強弱指標（RSI）、平滑異同移動平均線指標（MACD）等等，兩兩結合使用，並針對表現相對優異的MACD以及RSI技術指標做調整，以期較技術指標單獨使用時更佳的投資報酬，藉由個股股價回測以及績效分析，尋找相對適合台灣股市投資的技術指標方法。實證結果顯示，部分技術指標兩兩結合使用就可以帶來較單一技術指標更高的報酬，而針對個股RSI指數做簡單平均平滑、指數平均平滑或是進出場門檻的調整，再與其他技術指標結合使用，可以進一步提升投資績效，唯需注意部分技術指標方法存在投資標的之流動性風險，以及在空頭市場中表現欠佳的問題。
The purpose of this study is trying to combine common technical indicators, such as: Moving Average (MA), Stochastic Oscillator (KD), Relative Strength Index (RSI), Moving Average Convergence Divergence (MACD), etc. Indicators are combined or adjusted in order to achieve better investment returns than they were used alone. Stock price backtesting and performance analysis of individual stocks are conducting to find technical indicators that are relatively suitable for Taiwan stock market investment. The empirical results show that the combination of two technical indicators can bring higher returns than a single technical indicator, and smoothing RSI or adjusting the entry and exit thresholds can further improve performance. However, it is necessary to pay attention to the liquidity risk of investment targets in some technical indicator methods and the problem of poor performance in the bear market. |
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13. Gold, S. (2015). The Viability of Six Popular Technical Analysis Trading Rules in Determining Effective Buy and Sell Signals: MACD, AROON, RSI, SO, OBV, and ADL. Journal of Applied Financial Research, Gulfport Vol.2:8-29. |
| Description: | 碩士
國立政治大學
風險管理與保險學系
109358026 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0109358026 |
| Data Type: | thesis |
| Appears in Collections: | [風險管理與保險學系] 學位論文
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