運用程式交易策略──以蘋果、三星股價為例

An Empirical Study of Program Trading Strategies for Apple & Samsung Stocks

低利率時代已然來臨，首當其衝的便是定存族群，使得原本每年領取穩固收益的定存族群報酬大大縮水，不得不重新思考資產配置的問題。因此，最為大眾所熟悉，也是參與程度最高的即是股票。股票最吸引人的地方乃其在漲跌的過程中，能創造出相當多的財富；且其變現性與流通性亦優於其他金融投資工具。但如何利用股票來獲取超額利潤，就必須善用各種分析方法來發現買賣時點與賺取報酬。不過，基本分析須透過大量過濾分析工作才能得到有用的中長期訊息，因而導致未能及時對走勢作出正確的判斷。本文利用R語言，運用5日、10日、20日、60日、120日、240日之均線、保歷加通道、MACD等指標，並探討同時使用均線、保歷加通道、MACD進行程式交易的效果。本文選取蘋果股、三星股，作為研究的標的，樣本期間為2013年1月1日至2018年1月1日為止。研究結果發現，就損益面而言，120日、240日長期均線較有優勢，但若以考量單次獲利，那最有優勢的反而是5日、10日等短期均線，但是其虧損也大，所以抵銷掉了，進一步若是採用停損加碼的策略，則發現短期均線的淨損益大幅增加。總結以蘋果股做多、蘋果股做空、三星股做多、三星股做空四種情況來看，透過過去的資料來判斷未來，而透過各種指標的組合，來規避掉虧損，增加獲利就是所謂的交易策略，希望本研究對各種指標的分析可以對後續的研究者、程式交易者有所幫助。

Take a general view of the market, interest Rates become lower, the low interest Rate era is coming. The first thing that will happen is the depositing of ethnic groups. This drastically Reduced the pay of fixed deposits, which originally received steady revenue each year, and had to rethink the issue of asset allocation. However, how to use stocks to obtain excess profits must make good use of various analytical methods to find the time of sale and earn rewards. But basic analysis requires a large amount of filtering analysis to obtain useful medium- and long-term information. As a Result, it fails to make timely judgments about the trend. This study intends to study the effects of various indicators in program trading, as a reference and grant for myself and others to make trading strategies in the future. In this study, after examining the utility of various indicators, it was found that the most profitable possibility in bullish buying is the Bollinge Band. For bearish sell, we must use the short-term lines from the 10th to the 20th to match the long-term 240th to create the most profitable indicators.