研究結果顯示，CCI(30)結合MA(27)與ATR(10)之完整策略，在累積報酬、風險控制與報酬風險比均優於單獨使用CCI、僅搭配MA濾網以及布林通道與其他常見技術指標策略，顯示多指標互補可有效提升ETF程式交易績效，對投資實務與後續量化策略設計具參考價值。;This study investigates a multi-indicator program trading strategy on the Fubon Technology ETF (0052) and examines whether it can outperform single-indicator and buy-and-hold approaches. The strategy uses the Commodity Channel Index (CCI) as the core entry signal， combines it with moving average filters (MA15， MA27， MA60) to align trades with the prevailing trend， and further incorporates the Average True Range (ATR) as a volatility-based exit rule. Using daily data from July 9， 2007 to December 2025， the study evaluates performance through cumulative return， maximum drawdown， and Sharpe ratio， across multiple market cycles. It also compares Bollinger Bands strategies with different window lengths and band multipliers against CCI-， RSI-based， and other indicator strategies under the same sample. The empirical results indicate that the combined CCI(30)–MA(27)–ATR(10) strategy delivers superior risk-adjusted returns and better drawdown control than CCI alone， CCI with MA only， Bollinger Bands， and other common technical indicator strategies， highlighting the effectiveness of a multi-indicator framework for ETF program trading.
