趨勢分離與能量汲取操作策略在台灣股市之應用

Abstract

本研究蒐集股市操作策略的文獻，並篩選符合本研究所需之操作策略進行SWOT分析，依據分析所得之優缺點，結合物理原理，融合設計出一趨勢分離與能量汲取股市操作策略，以台灣股市前二十權值股進行實證研究，由實證研究所得之平均報酬率評斷此操作策略之良窳。 趨勢分離與能量汲取股市操作策略乃引用物理上表面形貌(Surface Profile)量測的原理，將處理表面形貌的方法應用在個股股價的時間序列上，將一個股股價的時間序列分離為長短波段兩趨勢曲線，以不同的交易策略分別判斷長短波段之買賣時點，再與股票資金平衡策略(夏儂的惡魔)、滾動停損法兩種資金策略結合，分別對長短波段進行操作，以汲取存在於個股股價波動的能量(利潤)。 實證研究模擬結果顯示趨勢分離與能量汲取股市操作策略之年平均報酬率為21.3%，優於市場平均報酬率，隨著操作時間的拉長，趨勢變化的次數增加，報酬率亦將隨之提升，此操作策略容易操作、簡單，且近乎機械化的操作模式，很適合沒有龐大資源的散戶投資人使用，可提供散戶投資人作為投資操作之參考。

In this study, SWOT analyses are used to analyze several trading strategies. The advantages of trading strategies are extracted from the results of SWOT analyses. A trend separation and energy extraction (TS&EE) strategy is designed by combining the resulted advantages. The TS&EE strategy is then verified by applying it on the top 20 stocks of Taiwan’s stock exchange market in the period of 2008/1/2 to 2011/3/21. The conclusion is drawn from the average resulting ROI for the top 20 stocks in Taiwan. The TS&EE strategy is derived from the theory of surface analysis. The method applied on surface analysis is also used in the analysis of stock price curve. The stock price curve is separated into a long-term curve and a short-term one. By combing the method to determine the peak and valley of those curves, the energy stored in the stock’s price curve is then extracted. The results of this study appear the year average ROI of TS&EE strategy is 21.8%, much higher than the market ROI. The ROI will increase as the applying period and the trend fluctuation increase. Therefore, this simple strategy can be useful for the investor.