修正式濾嘴法則於台灣股市交易之實證研究--Bollinger Bands之應用

Abstract

在科技資訊日益月新的二十一世紀，經濟市場快速整合，全球經濟、金融越趨緊密的狀況下，以致影響國際金融市場變動且影響深遠之重大事件層出不窮。

因此，對於金融資產價格的波動性加劇變化之不確定因素的規避，以及多元的金融商品投資的風險控管與投資策略乃首要課題。如何增進金融商品之投資績效並同時規避價格的不利波動的需求日益殷切。

本文研究提出一套以傳統的濾嘴法則為基礎，再以其概念結合John Bollinger 所創的技術指標Bollinger Bands 的股票交易方法。首先將濾嘴法則之漲跌Ｋ％之濾嘴改採Bollinger Bands之標準差濾嘴，再運用b%指標，找出建立多方或空方持倉部位之進場與退場點。尋找是否有一策略可以優於原傳統濾嘴法則的買入持有策略，探討修正式濾嘴法則策略之投資績效是否會顯著提高的研究方法。

In the rapidly changing 21th century, financial markets around the world are becoming increasingly integrated, forming a delicate and sensitive global financial market. Through increasing transfer speed of information via technology advancements, major events around the world now have tremendous impact on various, if not all, financial markets and institutions that are linked in as part of the global financial market. Therefore, due to increased financial asset volatility and uncertain factors yet to be seen it is increasingly important to diversify investment portfolios and to assert proper risk management strategy as a safeguard during times of financial instability and unpredictability. However, the challenge here is not to only retain what was originally invested, but to seek out additional methods of how to increase investment performance or ROI (Return on Investment), while avoiding decisions that will ultimately end up hurting the bottom line. In this study, a method is proposed utilizing traditional Filter Rules as bases for innovative stock trading, and merging with the Bollinger Bands technical trading indicator, a stock trading method created by John Bollinger. First, the K% of the traditional filter is replaced with the standard deviation of the Bollinger Bands. Then utilize b% indicator to find the buy and sell points along with the long and short term positions and effective entry and exit points. The study attempts to find if there is alternative method of determining risk assessment and investment strategy through modification of the traditional Filter Rules based on the outcome on whether or not if performance has significantly increased compared with the outcome of previous traditional methods.