應用市場輪廓理論中3-I Day現象於台灣期貨指數趨勢之研究

Abstract

在金融市場中，價格的上漲下跌會被許許多多各種不同面向因素所綜合影響變化而瞬息萬變，而投資人如果想要在金融市場中獲利，就需要找出一套可以推演市場走勢的方法，才能買在低點賣在高點進而獲利。本研究使用市場輪廓理論中的3-I buying day、3-I selling day的方法，期望可以藉由Initial tail、Initial extension、Initial TPO ratio這三種市場所透露出來的訊息，推演出市場可能的趨勢方向，協助投資人在市場交易中，獲得超額的利潤。 本研究透過模擬測試驗證3-I day是有作為參考市場趨勢的意義價值，其中以3-I buying day預測五天後的價格趨勢具有比較好的成果(包含準確率及獲利程度)，顯示藉由觀察3-I day的現象可以推演市場上長線投資人對未來價格走勢的看法，本研究也證實臺灣指數期貨市場不適合套用弱式效率市場假說。

In financial markets, the rise in prices will be down by the combined effects of many different kinds of factors for change and changing, and if you want investors to profit in the financial markets, we need to find a way to market trends can be deduced to buy low and then sell at high profits. In this study, the use theory of market profile 3-I buying day, 3-I selling day methods can be expected Initial tail, Initial extension, Initial TPO ratio market revealed three posts, the market may deduce trends direction, assist investors in market transactions, access to excess profits. The present study tested 3-I day through simulation tests are used as a reference value the significance of market trends, which price trends 3-I buying day forecast five days after having a relatively good results (including the degree of accuracy and profitability), display 3-I day by observing the phenomenon can be deduced on the market long-term investors about the future price trend, the study also confirmed that Taiwan index futures market is not suitable to apply weak form efficient market hypothesis.