林筠臺灣大學：財務金融學研究所江淵舟Chiang, Yuan-ChouYuan-ChouChiang2007-11-282018-07-092007-11-282018-07-092005http://ntur.lib.ntu.edu.tw//handle/246246/60781論文摘要Abstract The purpose of this study is to construct portfolio of technical indicator model using quantum technical analysis method and portfolio concept. The trading decision of buying or selling signal is totally generated by computer program trading system. Using computer trading records and report to analysis and construct Combination Trading Strategy.This research use Taiwan Stock Exchange Capitalization Weighted Stock Index futures(TX) intraday data, begins from January 1, 2000 to December 31, 2003. Testing period is divided into two separate period, the simulating period begins from January 1, 2000 to Jun 30, 2003 and the checking period begins from July 1, 2003 to December 31, 2003. The evidence and analysis show following findings：1.There are excess profit using trading system on Taifex Futures.　2.The portfolio model trading system is much more stable signal indicator trading system. Keywords: Efficient Market Theory, Technical Analysis, Program Trading, Optimize, Back-Testing , Trading Strategy目 錄 第壹章 緒論..................................................................................................................1 第一節 研究動機與目的........................................................................................1 第二節 研究架構與步驟........................................................................................4 第貳章 文獻探討........................................................................................................6 第一節 效率市場假說........................................................................................6 第二節 國外文獻回顧........................................................................................8 第三節 國內文獻回顧......................................................................................10 第參章 研究方法......................................................................................................14 第一節 技術分析簡介......................................................................................14 第二節 策略組合交易模型設計......................................................................31 第三節 實證研究設計......................................................................................37 第肆章 實證分析......................................................................................................39 第一節 實證資料..............................................................................................39 第二節 樣本內資料期間最佳化推估結果......................................................44 第三節 樣本內資料期間策略組合 績效 .......................................................50 第四節 樣本外資料期間穩定性測試..............................................................52 第伍章 結論與建議..................................................................................................54 第一節 結論......................................................................................................54 第二節 建議......................................................................................................55 參考文獻......................................................................................................................56 附錄..............................................................................................................................60 圖目錄 圖 1.1 研究架構.........................................................................................................5 圖 3.1 移動平均線買進賣出時機釋意圖...............................................................17 圖 3.2 Keltner軌道線指標買進賣出時機釋意圖..................................................20 圖 3.3 趨向指標買進賣出時機釋意圖...................................................................23 圖 3.4 相對強弱指標買進賣出時機釋意圖...........................................................26 圖 3.5 隨機指標買進賣出時機釋意圖...................................................................28 圖 3.6 動能指標買進賣出時機釋意圖...................................................................30 圖 3.7 策略指標篩選流程圖...................................................................................31 圖 4.1 近三年台灣相關期貨商品日均量分析.......................................................40 圖 4.2 台股期指參照時間說明...............................................................................41 圖 4.3 2003/7/1-2004/12/31樣本外穩定測試期間加權期指走勢圖....................53en-US技術分析程式交易期貨FuturesTechnical AnalysisProgram Tradingthesis