股票技術分析研究驗證新三價線績效是否可以打敗臺灣加權指數?
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2015
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台灣證券交易所成立於民國50年10月23日。目前已在證券公司開戶數高達3000萬戶，歸戶後開戶人口高達900多萬人，每天交易的人口動輒400萬人，目前台灣總人口數約2400多萬人，幾乎是人人都有參與股票投資，可說是全民運動。
每位投資人都有自己的投資方法但總是聽到投資人說我又賠了多少錢，賺錢的投資人真的很少嗎?資產一天一天的縮水，真讓人感到痛心。投資股票真的是不能獲利嗎?是否有規律性的準則可以依據?
我目前在證券經紀部門服務，服務時間將近20年，觀察到股票市場上投資贏家共同的特性是1.賺多賠少的操作策略。2.遇停損有足夠執行力且反覆的執行正確的投資方法，投資贏家反覆執行賺多賠少的策略，是真的可以賺到很多的錢。我願意用最簡單且容易了解的方式，將我近20年所看到的實務操作經驗跟投資人分享，因此本篇論文將以新三價線技術分析指標為研究重點。
本文研究期間為2006年至2009年，樣本為台灣證券市場上市公司。主要是運用新三價線交易策略來跟台灣加權指數來比較，是否可以打敗台灣加權指數獲取超額利潤?在實證結果發現下，本研究以新三價線技術分析指標確實是可以打敗台灣加權指數獲取超額利潤。未來投資人不論運用何種技術指標與方法，投資股票一定要嚴守操作紀律，並以理性的態度去研判總體經濟發展未來趨勢，找到自己的投資策略，才能獲得穩定投資報酬率。
Taiwan Stock Exchange Corporation was established on October 23, 1961. The cumulative number of investor accounts is as high as 30 million, and the cumulative number of investors with brokerage accounts is more than 9 million. The number of investors amounts to 4 million every trading day. Currently, Taiwan’s population is approximately 24 million; nearly every citizen invests in the stock market. As is often the case, investors have their own knack when it comes to investment strategy; yet, investors selling stock options at a loss is not a rarity. Here arises the question: Are there really few people profiting from the stock market? It is a painful experience that funds invested suffer an increasing loss. Is the stock market where most investors end up with losses? Is there any regularity for profitability that one can refer to? The researcher of this study has been serving at a brokerage department for nearly 20 years, and has observed the common characteristics among profiting investors: A stock option strategy for more earnings and less loss involves being unhesitant in setting stop-loss orders and always following a correct investment approach. The researcher will share his 20 years of experience and recount the principles in the most comprehensible manner, regarding which, this study focuses on the Three Line Break (TLB) charting method. This research spanned the 2006-2009 period, and the samples were collected from major listed companies in Taiwan’s stock market. The TLB trading strategy was compared to the Taiwan Capitalization Weighted Stock Index (TAIEX) to determine if the former can outperform the latter for abnormal returns. Empirical results corroborated this hypothesis. Nevertheless, whether regarding technical indicators or other approaches, investors are advised to hold a rational attitude in analyzing the overall economic trends and find investment strategies of their own for stable returns on investment (ROI).
Taiwan Stock Exchange Corporation was established on October 23, 1961. The cumulative number of investor accounts is as high as 30 million, and the cumulative number of investors with brokerage accounts is more than 9 million. The number of investors amounts to 4 million every trading day. Currently, Taiwan’s population is approximately 24 million; nearly every citizen invests in the stock market. As is often the case, investors have their own knack when it comes to investment strategy; yet, investors selling stock options at a loss is not a rarity. Here arises the question: Are there really few people profiting from the stock market? It is a painful experience that funds invested suffer an increasing loss. Is the stock market where most investors end up with losses? Is there any regularity for profitability that one can refer to? The researcher of this study has been serving at a brokerage department for nearly 20 years, and has observed the common characteristics among profiting investors: A stock option strategy for more earnings and less loss involves being unhesitant in setting stop-loss orders and always following a correct investment approach. The researcher will share his 20 years of experience and recount the principles in the most comprehensible manner, regarding which, this study focuses on the Three Line Break (TLB) charting method. This research spanned the 2006-2009 period, and the samples were collected from major listed companies in Taiwan’s stock market. The TLB trading strategy was compared to the Taiwan Capitalization Weighted Stock Index (TAIEX) to determine if the former can outperform the latter for abnormal returns. Empirical results corroborated this hypothesis. Nevertheless, whether regarding technical indicators or other approaches, investors are advised to hold a rational attitude in analyzing the overall economic trends and find investment strategies of their own for stable returns on investment (ROI).
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技術分析, 新三價線, 臺灣加權指數, 超額利潤, 投資報酬率, technical analysis, Three Line Break, TAIEX, abnormal return, ROI