運用市場輪廓理論與MACD技術指標於台指期市場之行為判別 -以極短線實證

Abstract

投機者們為了在期貨市場中獲利，經常會利用一些技術分析來輔助自己的判斷，如MACD、KD、RSI等等，試圖瞭解目前市場的行為趨勢。然而，絕大多數的交易者對於這些技術分析常常只知其然不知其所以然，能判斷交易訊號的出現，卻無法判斷這些交易訊號背後真正代表的行為意義，常常造成交易者盲目的判斷，甚至出現同一個時間點，不同技術分析的交易訊號發生互相違背的現象。因此，瞭解技術分析背後的行為邏輯，成為想要在期貨市場中獲取報酬的交易者必備的技能。 根據J. Peter Steidlmayer於1984提出的市場輪廓理論，將市場行為根據長短線、自發與回應以及買賣方向三個維度分成八種。本研究以MACD為主軸，試圖找出在每個MACD交易訊號的出現，其所對應到的是市場輪廓理論中的何種行為。期盼使市場交易者瞭解MACD個交易訊號背後所代表的行為意義，進而減少對市場趨勢誤判的次數，以增加獲利機會。 而在研究的最後，以一個績效驗證試圖利用本研究的研究結果，在期貨市場上獲利。也就是說，本研究的的第一階段會先進行MACD技術指標的市場行為的知識發現，第二階段則是利用此一知識結果，在期貨市場上實證。績效驗證共分為兩個實驗組與一個對照組，實驗組一為運用MACD技術指標與市場輪廓理論中的市場行為作結合，設計出一個交易策略，並在期貨市場上實證；實驗組二為利用MACD技術指標與市場行為當作輸入參數，運用倒傳遞類神經網路進行總和評判，所學習得來的知識模型同樣應用於期貨市場中進行測試；對照組則是單純的MACD交易策略，也就是黃金交叉作多、死亡交叉作空。

In order to profit in the futures market, traders often use some technical analysis to assist their own judgments, such as MACD, KD and RSI, etc. Traders try to understand the behavior of the current trend of the market through these technical analysis. However, most of the traders don’t understand enough about these techniques. They could notice the signals of trading, but they couldn’t determine the real behavior behind these trading signals. It usually causes the traders to blindly judge the signals. Even in the same time, sometimes the signals of different techniques are contrary to each other. Therefore, understanding the behavior behind these technical analysis is a necessary skill for the traders who want to profit in the futures market. According to Market Profile Theory proposed by J. Peter Steidlmayer in 1984, behaviors were divided into eight categories: long and short term trades, initiative and responsive actions, and the direction of buy and sell. This research tries to dig out the behaviors of the market profile theory in each signals of MACD technique. In hopes that the traders understand the behavior behind each signal, reducing the number of failure judgments on the market trends, and increasing opportunities of profiting. In the end of this research, trying to profit in the futures market based on the result of this research by a performance verification. In the other word, this research will dig out the behaviors behind the signals of MACD technique first. And the second step implements the results of the first step to apply in the futures market. The performance verification includes two experiment groups and one control group. The experiment group 1 designs a trading strategy with MACD technique and behaviors of market profile theory. The experiment group 2 apply BPNN to futures market. The control group is a simple strategy of MACD technique.