應用弱趨勢日所產生歷史壓力支撐線於台灣期貨指數進場點之行為發現

Abstract

本研究以市場輪廓理論產生之訊息為基礎，嘗試研究價值區間的改變，是否會影響台股未來的走勢，進而發現最佳的進場點，並針對市場輪廓理論所產生的弱趨勢交易日，取其不同部位的參數值所形成壓力支撐線，作為進場的參考點，並使用不同的方式出場。最後，進行統計分析比較，發現潛在市場的行為知識，創造超額的利潤。期望藉由實驗的設計，來找出台指期市場最佳的投資時間與價格，藉此來證實台灣期貨市場是不符合弱式效率市場假說。

由研究結果可得知，在弱趨勢交易日下，取得的單字母(Single Print)其區間的最大值或最小值設為進場點，接著利用準確率與每口獲利去計算，其結果明顯優於當日的最大值或最小值。接下來同樣以單字母進場，唯獨出場分別以停損或停利各十點，以及參考歷史的壓力支撐線做為衡量的標準。從實驗結果可得知，停損或停利各十點相對為低風險低報酬，歷史的壓力支撐線為高風險高報酬，由此可得知，歷史的壓力支撐線具有參考的價值。在長期的市場輪廓圖，必須結合有效的參考指標，才具有效用，隨著進場的時間越晚，倘若該價值區間被大部分的交易者認同，則會越難被突破。最後，實驗組的準確率與每口獲利皆優於對照組，更加證實台指期市場不符合所謂的弱式效率市場假說。

This study is based on messages generated by Market Profile and tries to find the change of value area whether it will affect the future trend of the Taiwan stock market and then find the best entry point. This study focus on Double Distribution Trend Day generated by Market Profile. Choosing parameter values in different parts to form pressure or support line, as a reference entry point, do transaction. Finally, through statistical analysis and comparison identify potential market behavioral knowledge and create excess profits. Expected by the experimental design to identify the best investment time and price in TAIEX market, thereby also confirmed the Taiwan futures market is not consistent with weak form efficient market hypothesis. The results show the accuracy and average earning per point of Single Print ‘s max or min as an entry point is better than daily max or min in Double Distribution Trend Day. Next, the same approach of Single Print as an entry point, except appearance is divided into two parts, which are stop loss or stop benefits to each of the 10 points or reference to historical support and pressure line. From the experimental results, the stop each of the 10 points is relatively low risk and low reward. However, historical pressure support line is high risk and high reward. It means that historical pressure support line is significant. In the long-term market profile, it must be combined with effective reference index, it will be workable. With the later arrival time, if the value area is agreed by most traders, the harder it will be a breakthrough. Finally, the experiment group is all better than control group. It confirmed that TAIEX market does not meet the so-called weak form efficient market hypothesis.