技術分析之隨機指標分析-以台灣指數期貨為例;Technical Analysis: The Analysis of Stochastic Indication Based On a TAIFEX

NCUIR > School of Management at National Central University > Executive Master of Finance Management > Electronic Thesis & Dissertation > Item 987654321/89554

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/89554

Title:	技術分析之隨機指標分析-以台灣指數期貨為例;Technical Analysis: The Analysis of Stochastic Indication Based On a TAIFEX
Authors:	王中杰;Wang, Chung-Chieh
Contributors:	財務金融學系在職專班
Keywords:	交易策略;技術分析;隨機指標;成交量;Trading strategies;technical analysis;stochastics;volume
Date:	2022-07-25
Issue Date:	2022-10-04 11:45:20 (UTC+8)
Publisher:	國立中央大學
Abstract:	投資市場隨著時代演進，投資金融產品從股票市場、期貨及選擇權到虛擬貨幣，對於金融產品估價分析方式也發展出許多方法，然而技術分析一直是重要的分析方式，因為投資人主要以短期波段操作，並且以波段價差進行獲利交易。本研究主要以隨機指標進行波段交易的分析，並且加入成交量變化作為參考指標，加入成交量變化作為出場訊號，優化隨機指標因為長期趨勢而使指標鈍化，以致投資人提早出場。本研究以multichart交易軟體，期間設定為2000年至2020年的台灣指數期貨依據台灣加權指數的日k資料變化進行回測，回測資料發現隨機指標交易策略加入成交量變化其績效優於原隨機指標交易策略，並且針對大盤整體趨勢(牛市以及熊市)行交易策略的分析，研究發現於熊市執行空單交易策略其績效無法產生正報酬，然而執行交易策略多單明顯改善交易策略之績效。;The investment market has evolved with the times, and investment products have changed from the stock market, futures and options to virtual currency today, many trading strategies have also been developed。 Technical analysis has been an important method for investors mainly operate in short-term swings and profit from swing spreads trade. This study mainly uses the stochastic indicator to analyze the swing trading, and adds the average volume change as a reference index. The volume change as the signal of exit ,and optimizing the stochastic indicator due to the long-term trend and the passivation of the indicator show up too early. This study uses multichart trading software and Taiwan index futures for the period 2000 to 2020 back-testing is carried out based on the daily k data changes of the Taiwan Weighted Index. The back-testing data finds that the stochastic indicator trading strategy increases its performance is better than the original stochastic indicator trading strategy。 It is carried out according to the trend of the trending bull and bear market of the trading strategy, the research found that the short-order trading strategy was executed in the bear market, and it was found that the short-order trading strategy was generate significant losses, however, executing the trading strategy with more orders significantly improves the performance of the trading strategy.
Appears in Collections:	[Executive Master of Finance Management] Electronic Thesis & Dissertation

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