K線聯合技術訊號於短期股價預測之研究：以台股電子股為例;Study of Short-term Price Prediction with K-line and SMA for Electrical Stocks in Taiwan

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题名:	K線聯合技術訊號於短期股價預測之研究：以台股電子股為例;Study of Short-term Price Prediction with K-line and SMA for Electrical Stocks in Taiwan
作者:	陳柏文;Chen, Po-Wen
贡献者:	資訊管理學系在職專班
关键词:	K線技術分析;簡單移動平均線技術分析;聯合訊號
日期:	2023-06-19
上传时间:	2024-09-19 16:41:29 (UTC+8)
出版者:	國立中央大學
摘要:	過去二十年國內有不少學術研究專注於探討股市技術分析對於股價漲跌預測以及交易策略之影響，其中多以價格指標之分析為主，僅少數以圖形類別的技術指標進行股價預測；此外，雖有不少研究採用聯合訊號(同時採用兩種以上交易規則所組成的聯合訊號技術指標)作為股價預測指標，但多數也是以價格指標為主之聯合訊號。有鑑於目前以圖形分析為主的聯合訊號研究尚未充足，本研究將以圖形分析中的K線技術指標為主，搭配價格指標中的簡單移動平均線(SMA)組成之聯合訊號進行股價漲跌預測之研究，期望探討當特定訊號出現時買進股票，幫助投資人在未來一個月內創造有效獲利(1.56%以上)的投資機會。本研究採用台灣證券交易所個股每日交易資訊，資料區間採近十年(2012年至2021年)，產業類別選擇電子工業(台灣證券交易所股票群組編號13)之個股共計420檔個股。所需要之資訊欄位包含成交金額、開盤價、最高價、最低價、收盤價、漲跌及漲跌價差等資訊。研究結果證實，使用關鍵K線搭配簡單移動平均線(SMA)組成之聯合訊號進場，並依本研究定義之持有及退場策略操作，其報酬率優於單一訊號報酬率且可作為投資人進場之訊號依據，繼而創造有效獲利。;In the past two decades, many domestic studies devoted to investigate the impact of technical analysis on stock price predictions and on stock trading strategies. Most of these studies focused on the analysis of price indicators, and only a few on stock chart indicators. In addition, although quite a few studies also adopted joint signals (using two or more technical analysis indicators at the same time) as stock price prediction indicators, price indicators still play the most part in their research. Due to the lack of combined signal research that focuses on stock chart analysis, this study will adopt the combined signal approach that center on K-line technical indicator (a type of stock chart analysis), and supplemented by Simple Moving Average (SMA, a type of price indicator) to predict the rising and falling of stock price in the hope of helping investors find opportunities to gain more than 1.56% net profit within a month. This study collected and examined daily trading data of individual stocks from the Taiwan Stock Exchange (TWSE) ranging from 2012 to 2021 and targeted at the Electrical Industry (TWSE Stock Group No. 13) with a total of 420 stocks. The research results show that the combined signal approach composed of the key K-line and the Simple Moving Average (SMA) yields a higher return rate than single signal approaches, and can be used to signal investors to enter the market creating true profit for themselves.
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