機率策略模型獲利性之研究－以台灣證券交易所發行量加權股價指數為例

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姓名

陳國俊(Kuo-Chun Chen) 查詢紙本館藏

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產業經濟研究所在職專班

論文名稱

機率策略模型獲利性之研究－以台灣證券交易所發行量加權股價指數為例
(The profitability of probability strategy model with Taiwan Stocks Index)

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摘要(中)

本研究以機率的角度出發，試圖擷取台股波動的高低峰，藉由選擇台股的低峰進行買進與高峰進行放空做為切入點，本研究稱為「勝率」，制定出9種機率策略，將其實際模擬，回測過去11年加權股價指數，將回測結果與大盤指數、公會評比基金以及Brock等三人的技術分析方法共同作一對照，以比較本研究的績效是否高於其他三者的報酬，作為投資人未來可參考的交易策略。
　　
實證結果顯示，本研究的9種策略中，皆展現良好的績效報酬。此外，若將9種策略中最差績效的策略與大盤指數、公會評比基金以及Brock等三人的技術分析方法做比較，最差績效策略明顯優於其他三種，因此，本研究策略可以作為投資人未來決策的考量。

摘要(英)

This study attempted to capture the peak and bottom of Taiwan Stocks Index from the prospect of probability. It was aimed at buying the shares when the index slumped badly and then selling them back to the market when the index was in its peak as a breakthrough point. Moreover, the study was referred to as the “victory probability,” which developed 9 strategies of probability and implemented practical simulation of back testing on history weighted stock indexes over the past 11 years. The results of back testing were then compared with Taiwan Stocks Index, Association Rating Fund and technical analysis of BLL to learn if the performance of the study was better than the other three so as to serve as a trading strategy for investors’ reference in the future.
Empirical evidence proved all 9 strategies proposed in the study showed great performance. In addition, if compared the strategy with the worst performance with Taiwan Stocks Index, Association Rating Fund and the technical analysis of BLL, even the strategy with the worst performance was the best of all. As a consequence, strategies proposed in this study can be seen as guidance for investors to make decisions in the future.

關鍵字(中)

★ 效率市場
★ 機率策略
★ 技術分析

關鍵字(英)

★ Strategy of probability
★ Technical analysis
★ Efficient market

論文目次

第一章　緒論................................................................................................................1
第一節　研究背景與動機....................................................................................1
第二節　研究目的………………………………………………………………3
第三節　研究流程………………………………………………………………5
第二章　文獻探討........................................................................................................6
第一節　效率市場假說…………………………………………………………6
第二節　技術分析相關文獻…………………………………………………....8
第三節　績效衡量方法………………………………………………………..16
第三章　研究方法 …………………………………………………………………17
第一節　研究資料..............................................................................................17
第二節　策略模型..............................................................................................18
第三節　績效的衡量..........................................................................................21
第四節　績效的比較..........................................................................................22
第四章　資料分析 ………………………………………………………………… 24
第一節　機率分配及選擇..................................................................................24
第二節　操作績效分析......................................................................................27
第五章　結論與建議………………………………………………………………..45
第一節　研究結論..............................................................................................45
第二節　研究建議..............................................................................................47
參考文獻......................................................................................................................48

參考文獻

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指導教授

陳禮潭、劉錦龍
(Lii-Tarn Chen、Jin-Long Liu)

審核日期

2009-7-23

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