股票投資策略之探討─以機械元件產業為例

NCU Institutional Repository > 管理學院 > 高階主管企管（EMBA）碩士班 > 博碩士論文 > Item 987654321/92671

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题名:	股票投資策略之探討─以機械元件產業為例
作者:	林嘉柏;Lin, Chia-Po
贡献者:	高階主管企管碩士班
关键词:	費雪變換指標;未成熟隨機值;指數平滑異同移動平均線;Fisher Transformation indicator;RSV;MACD;OSC
日期:	2023-04-21
上传时间:	2024-09-19 16:12:33 (UTC+8)
出版者:	國立中央大學
摘要:	本研究嘗試以費雪變換指標的明顯轉折特性代替KD指標，並同時使用未成熟隨機值(Raw Stochastic Value，RSV)及指數平滑異同移動平均線(MACD)，當RSV<20與MACD柱狀圖正斜率向上為指標找出個股相對低點股價為買入訊號，並使用RSV快速反應股價強弱趨勢的特性，以RSV由80向下轉折低於80及RSV未攻上80即掉回20為賣出訊號;對照組以傳統之DIF-MACD黃金交叉與死亡交叉，作為交易指標。研究樣本回測期間為2020年3月至2023年1月，分別對所選個股進行驗證及分析，大盤也正好歷經擴張、趨緩及衰退等完整的股市景氣循環。驗證結果顯示本研究組之交易策略在股市景氣週期的三段期間皆能保持正獲利;對照組因以長期移動平均線與短期移動平均線，平滑後的結果判斷買賣時機，並不適合短期操作。;This study tries to replace the KD indicator with the obvious turning characteristics of the Fisher transformation indicator, at the same time uses RSV<20 and MACD OSC positive slope upward as indicators to find the relative low price of a stock as a buying signal. For selling signal, using the RSV to quickly reflect the price trend, while the RSV runs from above 80 down to below 80 or the RSV falling back to 20 before reaching 80. The control group uses the traditional DIF-MACD golden cross and death cross as trading indicators. The backtesting period is from March 2020 to January 2023, and the selected stocks are verified and analyzed respectively. In the research sample period, the market went through a complete stock market cycle of expansion, slowdown, and recession. The verification results show that the trading strategies of this research group can maintain positive profits during the three periods of the stock market cycle; the control group is not suitable for short-term trading because the long-term moving average and short-term moving average cross appears a lag of trading signals.
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