| 摘要: | 在以往文獻中，學者多集中於從研究SAR指標參數值之最佳化調整來提升獲利能力，鮮少加入其他指標作為投資策略組合來研判該投資組合對大盤之擇時能力為何，故本研究以SAR指標為基礎，搭配MA指標、MACD指標、KD指標、OBV指標及日K值<70進行交易組合之交差模擬配對，並以台灣加權股價指數2000年至2009年之日收盤資料為樣本進行模擬操作測試。經實證結果發現，以同時搭配具有濾網功能及判斷量能潮的(SAR+KD+OBV)、(SAR+OBV+日K值<70)及(SAR+KD+OBV+日K值<70)之操作組合不管在整體獲利上或是多頭、空頭市場中皆能獲得不錯的成績，是所有研究組中表現相對穩健之組合。
此外，於本研究中亦有四項發現，其一為擺盪指標中的(9日K>9日D)較趨勢指標中的(MA6日>MA24日)及(MACD12日>MACD24日)在搭配SAR指標後能獲得較佳之投資報酬。其二為量能指標中之OBV可協助SAR單一指標於長空格局中過濾錯誤的進場雜訊，但若遇到經歷過一長波段的回跌後出現的短波段反彈，OBV指標無法對此現象立即反應，因而喪失搶短線反彈的機會。其三為K值<70搭配SAR指標作為進場訊號為最優，此外日K值<70並無法協助SAR指標於盤整時期之擇時能力，但若以其為濾網指標則效果優於以9日KD指標。其四為雙重指標之組合判斷較單一指標穩健，獲利能力亦可能超過單一指標；功能性不同之指標組合較同性質之指標組合為佳；超過三種以上之指標組合則須看其指標組合特質是否有互補性而定。
In the past literatures, scholars focused on researching the optimal parameters of SAR index to improve profitability by accompanying with other indexes as investment strategy. This research is based on the SAR index combined with MA, MACD, KD, OBV and daily K value<70 indexes separately and jointly. The data for this study is Taiwan''s weighted stock from 2000 to 2009, and the empirical results show that the investment strategy such as SAR + KD + OBV, SAR + OBV + daily K value <70 and SAR + KD + OBV + daily K value <70 can effectively improve the performance no matter in bull market or bear market.
Furthermore, the study has several important findings as shown below. First of all, the investment strategy of the SAR index combined with daily K9>daily D9 could have better performance than that combined with daily MA6> daily MA24 or combined with daily MACD12> daily MACD24.Secondly, The OBV index could improve SAR to filter noise information, but this index might not improve performance during a short bounce after a long bear market, OBV index can’t immediately respond to this phenomenon, thus it might lose the chance grab short-term rebound. Thirdly, K <70 with SAR index is the optimal singal to approach the market, even though K <70 could’t help SAR targets during the consolidation period for timing ability, but this indicators are better than 9 KD as filter indicators. Finally, two indicators combinded perform more stable than only one index, and have better profitbilty ability, too. Different kind of indicators combined could have better performance than similar kind of indicators combinid. Howver, while more than three or more indicators combined are required to check whether the portfolio characteristics of these indicators have complement characteristics. |
