以獲利指標配合移動平均線之程式交易投資績效實證研究-以台灣上市公司為例

Abstract

本研究的主要目的是探討適當有效的選股與交易策略，研究股票投資一般可分為基本分析與技術分析兩大類。基本分析的精隨在於擇股，如同華倫.巴菲特所言:以合理價格買進好公司比以好價格買進一般的公司好多了。技術分析的精髓在於擇時，藉由過去股價的走勢以及量價的資料來預測股價未來可能的發展以作為買進賣出的依據。本研究以台灣證劵交易所掛牌之上市公司作為研究標的，結合基本分析與技術分析的優點，利用獲利指標-股東權益報酬率(ROE)、每股盈餘(EPS)、毛利率以及股本規模篩選出投資標的形成投資組合，再以技術指標之移動平均線作為趨勢判斷的交易策略，利用程式交易來檢視本研究設計方法的投資策略績效表現。 由實證結果顯示本研究策略可以得到正報酬並且平均而言都優於對應的市場股價指數報酬率。以開始交易之前一年的財報資料進行選股策略的績效最好，並且交易期間愈短績效愈好。如果是隨機選擇交易時點，研究策略仍然都有正報酬並且平均而言都優於對應的市場股價指數報酬率。研究結果顯示，即便交易期間發生市場股價指數跌幅超過20%，本研究的操作策略仍舊創造優於市場股價指數報酬率大約5%以上。如果是減少投資組合規模以EPS前三大公司進行投資時，研究策略仍舊創造優於市場股價指數報酬率至少5%以上，因此本研究可得到適當有效的選股與操作策略，可獲得優於市場股價指數之報酬率。

The purpose of this study is to find the appropriate and effective stock selection method and trading strategy. Typically there are two methods to do stock investment, one is fundamental analysis and the other is technical analysis. The essence of the fundamental analysis is the stock choosing. As Warren E. Buffett said, it’s far better to buy a wonderful company at a fair price than a fair company at a wonderful price. The essence of the technical analysis is the market timing. According to the trend of the historical stock prices as well as the volume relationship to predict the possible development of the stock prices and judge buying or selling strategy for the future. This research chose Taiwan listed stocks as the samples. Combining the respective superiority of financial analysis and technical analysis and using profitability index as ROE, EPS, gross margin as well as capital to choose stocks as a portfolio and using moving average as the trading indicator. Use the programming trading to review the performance of this research’s trading strategy. The empirical results showed that this research’s strategy gained positive return and on average acquired excessive profit than that of the stock market index. The results showed that stock choosing strategies which were from the previous year’s finance report before the trading starting date performed the best. And also find that the shorter of the trading period, the better the return it performed. If we randomly choose the starting trading date, we still can have the same conclusion that the strategy gained positive return and on average acquired excessive profit than that of the stock market index. When the stock market index was fallen more than 20%, this trading strategy still gained excessive 5% return than that of the stock market index. If we reduce the portfolio size as only top 3 EPS companies, we still can have the conclusion that the trading strategy still gained excessive 5% return than that of the stock market index. Therefore, this research can find the appropriate and effective stock selection method and trading strategy and can acquire excessive return than the stock market index.