技術分析投資績效之實證分析—以台灣50 ETF為例

Abstract

This paper uses TTT daily data from 2010 to 2015 to examine the profitability of technical trading rules by evaluating their ability to outperform the buy-and-hold trading strategy. Three technical analysis indicators with different parameters and strategies were used in this paper. According to the result of this paper, we conclude these following results： First, the performance of using single technical analysis indicator can not outperform the buy-and-hold strategy. Second, technical trading rules combined with the stop-loss strategy can outperform the buy-and-hold strategy. Third, in the performance of single technical analysis indicator, the moving-average rules with 20-120 parameter, bollinger band with 20-2-2 parameter, and stochastic oscillatornwith 20-3-3 parameters have the greatest return among the all parameters. Fourth, KD indictor combined with the stop-loss strategy performs better than the rest of the technical analysis indicators. Fifth, the performance of KD passivation strategy can not surpass the single technical analysis. Sixth, Bollinger band with the overweight strategy do not outperform the single technical analysis.