股票買賣策略實證與模擬

The Simulation and Empirical Strategy of Stock Trading

本研究參考許多研究結果，選擇單一技術指標布林通道為程式交易的技術指標。本研究先採用Python語法撰寫網路爬蟲程式，至網路蒐集欲研究股票的收盤資訊存成Excel檔。接著利用VBA程式進行資料的分析與模擬。此外，本研究設定的策略有兩種：策略1是當股價跌落布林通道下軌線時為買進的信號，股價突破布林通道的上軌線時是賣出訊號。策略2是股價跌落布林通道下軌線時視為買進的信號，股價突破布林通道的中心線時是賣出訊號。探討不同股價走勢時會有不同的買賣策略。本研究亦探討以超過賣出基準線的幅度（擴充度）尋找最佳績效並模擬不同的投入資金，以求取最佳績效。

Based on previous research, this study adopts a single indicator of technical analysis, Bollinger Band is selected, as program basis. Firstly the code of web crawler is written by Python, this program is catching the stock price from internet, and save the caught stock price as Excel file. The VBA code is written to active as a control program. This study adopts two different trading strategies; Strategy 1: buying the stock upon the stock price touch the lower band and selling upon beyond the upper band of Bollinger. Strategy 2: buying the stock upon the stock price touch the lower band and selling upon beyond the central line of Bollinger. Finally, the simulation of extend rate of basis line and input funds to achieve the best investment performance.