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

NCUIR > School of Management at National Central University > Executive Master of Industrial Economics > Electronic Thesis & Dissertation > Item 987654321/63685

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/63685

Title:	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
Authors:	陳國俊;Chen,Kuo-Chun
Contributors:	產業經濟研究所碩士在職專班
Keywords:	技術分析;效率市場;機率策略;Efficient market;Strategy of probability;Technical analysis
Date:	2009-07-23
Issue Date:	2014-05-08 15:16:08 (UTC+8)
Publisher:	國立中央大學
Abstract:	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。 ;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.
Appears in Collections:	[Executive Master of Industrial Economics] Electronic Thesis & Dissertation

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