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    题名: 比特幣日內技術分析交易策略:以交易區間突破為例
    Intraday Technical Analysis Trading Strategies in Bitcoin: A Focus on Trading Range Breakouts
    作者: 陳冠華
    Chen, Guan-Hua
    贡献者: 岳夢蘭
    Yueh, Meng-Lan
    陳冠華
    Chen, Guan-Hua
    关键词: 比特幣
    加密貨幣
    日內交易
    高頻交易
    技術分析
    交易區間突破
    Bitcoin
    Cryptocurrency
    Intraday trading
    High-frequency trading
    Technical analysis
    Trading range breakouts
    日期: 2024
    上传时间: 2024-08-05 13:43:50 (UTC+8)
    摘要: 近年來，加密貨幣市場引起了許多投資者的關注，許多學者也投入研究其中。然而，目前只有少數文章探討了日內技術分析策略在比特幣市場的預測能力與獲利能力。本文使用1分鐘高頻資料，對比特幣的日內交易區間突破策略進行了全面研究。我發現，當出現向上突破與向下突破訊號時，通常會產生顯著的正報酬。此外，研究顯示，當持有期間小於支撐阻力窗口長度的一半時，報酬率更傾向顯著異於無條件均值。自2017年以來，比特幣的日內交易區間突破策略的預測能力下降。我還檢驗了不同資料頻率的影響，發現隨著資料頻率降低，策略組合的報酬率顯著性也隨之降低，這表明比特幣市場的效率性隨著時間和資料頻率的降低而提高。最後，考慮到交易成本後，發現交易區間突破策略在比特幣日內市場中無法超越買進持有策略。
    In recent years, the cryptocurrency market has attracted much attention from investors and scholars. However, only a handful of studies have looked at the predictive power and profitability of intraday technical analysis strategies in the Bitcoin market. This study examines intraday trading range breakout strategies using 1-minute high-frequency data. The results show that significant positive returns often occur after breakout signals. Shorter holding periods, less than half the support-resistance window, tend to produce returns that are different from the unconditional mean return. Since 2017, the strategy’s effectiveness has decreased. As data frequency decreases, the returns from trading range breakout strategy become insignificant. Finally, after accounting for transaction costs, the trading range breakout strategies do not outperform the buy-and-hold strategy.
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    描述: 碩士
    國立政治大學
    財務管理學系
    111357028
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0111357028
    数据类型: thesis
    显示于类别:[財務管理學系] 學位論文

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