| Abstract: | 本研究利用葛蘭碧買賣策略的移動平均線方法進行股票策略的交易，使用收盤價推算的移動平均線(CPMA)以及均價推算的移動平均線(APMA)，以收盤線與移動平均線之間的交集作為交易訊號，並使用兩種數據來比較判斷股票買賣的差異，於交易訊號出現後分成次日交易與次二日交易，除此之外更加入了成交量增加與減少的交易條件，並以上述條件分成十二種情況，最後於每家公司的交易結果統計出總交易次數、獲利次數、賠本次數、平均交易獲利和平均投資報酬率。
探討的對象為2018年3月台灣50成分股的各家股票公司，實證結果顯示，在電子產業、金融產業與傳統產業當中，無論是次日進行交易，或是次二日進行交易而言，都是以電子產業的平均投資報酬率表現最佳，尤以次二日的平均投資報酬率最高。
關鍵字：台灣50成分股(taiwan 50 stocks)、移動平均線(moving average)、股票策略(stock strategy)
This study use Granville’s moving average method on stock strategies. Moving av-erage which is calculating by closing price and average price, the crossing of the closing line and the moving average as the trading signal, and two kinds of data used to de-termine the signals with trading in second day and third day. In addition, to determine the conditions for the increase in trading volume and the reduction in trading volume were added, and divided into twelve cases under the above conditions. Each company's transaction result collect the total amount of transactions, the investment profit and the average rate of return on investment.
The results of the study show that in the electronics industry, whether they are trading second day or trading on the third day, they are best performing in ROI(Return On In-vestment), especially the second day transaction.
Key Words: taiwan 50 stocks, moving average, ROI (Return On Investment) |
