| 摘要: | 近幾年，隨著加密貨幣生態系快速發展，加密貨幣之應用領域愈趨廣泛，且
有越來越多投資人加入到加密貨幣的市場中。在第一章，首先闡述本文之研究背景以及研究動機與目的。在第二章，本文詳細說明加密貨幣背後之區塊鏈技術、加密貨幣之應用，以及深入探討目前市場上之兩大幣種，分別是比特幣以及以太幣。在第三章，本文講解如何進行加密貨幣之交易，並介紹國內外知各大加密貨幣交易所。在第四章，本文從經濟學以及加密貨幣本身之特性切入，解釋為何要進行投資，以及為何要投資加密貨幣。在第五章，本文以比特幣和以太幣作為研究對象，探討其與其他資產之關係。透過迴歸分析，本文發現比特幣和以太幣與黃金、S&P 500 指數，以及 VIX 指數存在顯著同期同向變動關係。在第六章，本文透過自己設計之研究流程探討最適合比特幣和以太幣之操作方式。經過一系列回測以及分析，本文發現最適合比特幣之操作方式為使用 MACD 搭配 1 日 K 線或是 4 小時 K 線。而最適合以太幣之操作方式為使用 MACD 搭配 4 小時 K 線。;In recent years, with the rapid development of cryptocurrency ecosystem, the application fields of cryptocurrencies have become more extensive, and the number of investors that have participated in the market of cryptocurrency have increased significantly. In the first paper, the research background, research motivation and purpose of this paper are explained first. In the second chapter, this paper explains the infrastructure of cryptocurrencies in detail, which is blockchain technology. Moreover, this paper talks about the application of cryptocurrencies, and in-depth discussion of the two major cryptocurrencies in the market, namely Bitcoin and Ether. In the third chapter, this paper explains how to trade cryptocurrencies, and introduces several major cryptocurrency exchanges at home and abroad. In Chapter 4, this paper starts with economics and the features of cryptocurrencies, explaining the reason that people should invest and the reason that people should invest in cryptocurrencies. In Chapter 5, this paper takes Bitcoin and Ether as research objects and studies their relationship with other assets. Through regression analysis, this paper finds that Bitcoin and Ether have a significant contemporaneous relationship with gold, S&P 500 index, and VIX index. In Chapter 6, this paper studies the most suitable trading strategy for Bitcoin and Ether through a research process of my own design. After a series of back-testing and analysis, this paper finds that the most suitable trading strategy for Bitcoin is to use MACD with 1-day K-bar or 4-hour K-bar, and the most suitable trading strategy for Ethereum is to use MACD with 4-hour K-bar. |
