應用 市場輪廓 理論 與物理力量 於台灣 指數 期貨 之影線 行為發現

Abstract

teidlmayer與Kevin曾在Markets and Market Logic中提到，市場在下單後會有三種現象上漲、下跌或是不漲不跌，假設三種情況發生的頻率相同，這樣在不跌破的情況下進場做多且不損失任何成本的機率為66%，因此未來是否會跌破為交易人判斷是否進場之重要依據。而長下影線經常是交易者判斷未來會不會跌破的依據，但在不同的時空環境下，影響的因素重多交易人很難判斷是否為買入之訊號。 因此本研究將應用市場輪廓理論中價值區間，及物理力量之概念於同時間內長時間框架出現長下影線，短時間框架有無出現長下影之組合，來探討是否可以有效降低未來跌破率並提升獲利能力，期望能更佳準確判斷出現長下影線後可進場之依據。 研究結果顯示，結合長時間週期與短時間週期內出現長下影線分類、價值區間分類與物理力量篩選，能夠幫助交易人在出現長下影線後之判斷，提升投資績效並降低跌破率。同時也顯示市場價格並非隨機變化具有邏輯規則。

Steidlmayer and Kevin had mentioned that once the traders enter the market the market there were three possible outcomes: market moves up, breaks or stay put. If we assume that each of the three scenarios has equal chance, then there is a 66% chance that one will not loss any capital if the market does not break. Thus, whether the market will break in future is an important factor to traders. The long lower shadow often is a base to judge whether the market will breaks in future or not, but there are many affecting factors that interfere with the signal for people to enter the market. Hence, this research will apply the market profile of value area and physic’s property to discover whether one can reduce the rate of market breaks and increase profit. Results of this research show that the model to combine market profile of value area and physic’s property can better predict the rate of market break and profitability after the long lower shadow hence has a better performance than the model of use only one of them. It also shows that TAIEX market is not a random walk, but has logic and rules.