移動平均線結合箱型策略之運用──以台灣卓越50 ETF成分股為例

The Combination of Moving Average and Box Strategies: the Case of Taiwan Top50 Tracker Fund Constituents

實證結果如下：首先，根據勝率比較，箱型策略確實勝過長期持有及停損停利策略。第二，根據各箱型年化報酬率的均值差t檢定，箱型策略確實勝過停損停利策略。第三，同樣根據年化報酬率的均值差t檢定，採用10%-7%的箱型策略將勝過另外兩種箱型策略。最後，我們再將台灣卓越50ETF成分股分成金融、電子與傳產三大類股去進行最佳報酬策略分析，結果也說明了採行價格突破結合10%-7%箱型策略，能為這三類股創造最高的報酬率。本研究運用移動平均線結合箱型策略（停損不停利）投資於台灣卓越50ETF成分股，並將其與長期持有台灣50ETF，及採行停損停利策略投資於台灣50成分股進行投資績效之比較。我們採用移動平均線做為個股買進時點的選擇，其包含了黃金交叉買進及價格突破買進兩種方式，在箱型及停損停利策略上，我們採用了三種箱頂及箱底的結合，分別是10%-7%、20%-7%及20%-10%，因此會產生六種交易策略，最後，我們將各策略的勝率及年化報酬率進行比較。 In this study, we combine the moving average with the box strategies(only stoploss but not stop-gain) to test the performance of investing the Taiwan Top50 Tracker Fund constituents, and compare that with the buy-and-hold strategies and stop-lossstop-gain strategies. The empirical results are as follows: First, the box strategies prevail over the buyand-hold and stop-loss-stop-gain strategies in the winning percentage. Second, the box strategies prevail over the stop-loss-stop-gain strategies in the annualized returns mean difference t-test. Third, the box strategies for 10%-7% type prevail over the other two box strategies in annualized returns mean difference t-test. Finally, we distinguish the Taiwan Top50 Tracker Fund constituents into finance、electron and conventional industries, and found the strategy of price breakthroughs combining with the 10%-7% box are better for all the three types of industries.