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系統識別號 U0026-1802201111090900
論文名稱(中文) 利用逐步預測力優劣檢定探討技術分析在期貨市場之績效持續性
論文名稱(英文) Examining the Performance Persistence of Technical Analysis in Futures Markets with the SSPA Test
校院名稱 成功大學
系所名稱(中) 會計學系碩博士班
系所名稱(英) Department of Accountancy
學年度 99
學期 1
出版年 100
研究生(中文) 林永哲
研究生(英文) Yung-Che Eric Lin
學號 r16984071
學位類別 碩士
語文別 英文
論文頁數 57頁
口試委員 指導教授-顏盟峯
口試委員-劉裕宏
口試委員-王澤世
中文關鍵字 技術分析  交易規則  資料探勘誤差  逐步預測力優劣檢定  定態拔靴 
英文關鍵字 technical analysis  trading rule  data snooping bias  SSPA test  stationary bootstrap 
學科別分類
中文摘要 為檢驗技術分析其績效持續性,本篇研究採用大量交易規則(20,970條)應用到五個期貨市場,並利用逐步預測力優劣檢定分別於六個有部分重複的樣本期間內作探討,同時將交易成本及保證金都考慮在內以求貼近現實交易環境。透過將樣本期間內依三年、一年半、一年和六個月做滾動,重複檢驗最近期的優質和劣質交易規則,我們追蹤所挑選出來的規則在樣本外期間的表現。經由挑選樣本期間內相較於無風險利率顯著較為優質和劣質的交易規則,並依循優質交易規則在樣本期間外的訊號和劣質交易規則在樣本期間外的反向訊號從事交易行為。逐步預測力優劣檢定能在五個市場的所有樣本內期間找出眾多顯著為劣的交易規則,僅在Euro FX期貨市場少數樣本期間內發現極少的顯著優質交易規則。逐步預測力優劣檢定係用來解決因使用同一資料來聯合檢定眾多模型時所產生之資料探勘誤差,在其定態拔靴過程中,本篇研究同時採用四個參數值,並針對1%、5%和10%的顯著水準進行全盤式的考量。
英文摘要 To examine the superior performance persistence of technical analysis, we apply a large universe of 20,970 technical trading rules to six overlapping in-sample periods in five futures markets using the stepwise test for superior predictive ability (SSPA test). By rolling over the in-sample window every three-year, one-and-half-year, one-year, and six-month, we analyze the performance of these designated technical trading rules in the out-of-sample periods. The transaction cost and the margin are taken into account for a practical manner. We determine significantly outperforming and underperforming trading rules compared to the risk-free rate in each in-sample period, and utilize trading signals (from outperformers) and contrarious trading signals (from underperformers) to conduct trading activity in the out-of-sample periods. The SSPA test successfully identifies numerous underperforming trading rules for all of five futures markets and a few outperforming trading rules for the Euro FX futures market. The SSPA test is adopted to resolve the common concern of data snooping bias raised from applying the same data set to numerous models (technical trading rules). The four values of smooth parameter we conduct for the geometric distribution for the stationary bootstrap block size of the SSPA test and all of 1%, 5%, and 10% significance levels we analyze make our study more complete.
論文目次 CONTENTS
CHAPTER 1 INTRODUCTION 1
1.1 RESEARCH BACKGROUND 1
1.2 MOTIVATION AND OBJECTIVES 3
1.3 MAJOR FINDINGS 3
1.4 CONTRIBUTION 4
CHAPTER 2 LITERATURE REVIEW 5
2.1 PROFITABILITY OF TECHNICAL ANALYSIS SUFFERS FROM THE DATA SNOOPING BIAS 6
2.2. THE PROPOSITION OF THE BRC AND ITS APPLICATION TO THE DJIA 8
2.3 THE APPLICATION OF THE BRC TO THE FIFTEEN FUTURES MARKETS 8
2.4 THE PROPOSITION OF THE SPA TEST AND THE STEPWISE-RC 9
2.5 THE APPLICATION OF THE SPA TEST TO THE TEN FUTURES MARKETS 10
2.6 THE PROPOSITION OF THE SSPA TEST BASED ON THE SPA TEST 11
2.7 THE APPLICATION OF THE SPA TEST TO THE TWENTY FUTURES MARKETS 12
CHAPTER 3 DATA AND METHODOLOGY 13
3.1 TRADING RULES 13
3.1.1 Filter Rules (FR) 13
3.1.2 Support and Resistance Rules (SR) 14
3.1.3 Channel Breakout Rules (CB) 15
3.1.4 Moving Average Rules (MA) 15
3.1.5 On-Balance Volume Average Rules (OBV) 17
3.2 DATA 18
3.3 APPROACHES OF EVALUATION 24
3.3.1 The BRC 24
3.3.2 The SPA Test 25
3.3.3 The SRC 27
3.3.4 The SSPA test 27
3.4 COMPUTATION OF RETURNS 29
CHAPTER 4 EMPIRICAL RESULTS 32
CHAPTER 5 CONCLUSIONS 50
5.1 SUGGESTIONS 51
REFERENCES 55


TABLE OF CONTENTS
TABLE 1 THE SUMMARY STATISTIC FOR EACH OF THE FIVE FUTURES MARKETS 22
TABLE 2 DESCRIPTIVE STATISTICS OF DAILY EXCESSIVE RETURNS ON FUTURES MARKETS IN DIFFERENT PERIODS. 23
TABLE 3 PANEL A THE IDENTIFIED BEST/WORST RULES AND CRITICAL VALUES FOR EACH ROUND OF THE SSPA TEST. 35
TABLE 3 PANEL B THE IDENTIFIED BEST/WORST RULES AND CRITICAL VALUES FOR EACH ROUND OF THE SSPA TEST. 37
TABLE 3 PANEL C THE IDENTIFIED BEST/WORST RULES AND CRITICAL VALUES FOR EACH ROUND OF THE SSPA TEST. 39
TABLE 3 PANEL D TABLE 3 PANEL D THE IDENTIFIED BEST/WORST RULES AND CRITICAL VALUES FOR EACH ROUND OF THE SSPA TEST. 41
TABLE 3 PANEL E THE IDENTIFIED BEST/WORST RULES AND CRITICAL VALUES FOR EACH ROUND OF THE SSPA TEST. 43
TABLE 4 PANEL A THE EXCESSIVE RETURNS IN OUT-OF-SAMPLE PERIODFROM THE EQUAL-WEIGHTS PORTFOLIO CONSISTS OF IDENTIFIED BEST/WORST RULES FROM IN-SAMPLE PERIOD. 45
TABLE 4 PANEL B THE EXCESSIVE RETURNS IN OUT-OF-SAMPLE PERIODFROM THE EQUAL-WEIGHTS PORTFOLIO CONSISTS OF IDENTIFIED BEST/WORST RULES FROM IN-SAMPLE PERIOD. 46
TABLE 4 PANEL C THE EXCESSIVE RETURNS IN OUT-OF-SAMPLE PERIODFROM THE EQUAL-WEIGHTS PORTFOLIO CONSISTS OF IDENTIFIED BEST/WORST RULES FROM IN-SAMPLE PERIOD. 47
TABLE 4 PANEL D THE EXCESSIVE RETURNS IN OUT-OF-SAMPLE PERIODFROM THE EQUAL-WEIGHTS PORTFOLIO CONSISTS OF IDENTIFIED BEST/WORST RULES FROM IN-SAMPLE PERIOD. 49
APPENDIX A PARAMETERS OF TECHNICAL TRADING RULES 52
APPENDIX B THE IN-SAMPLE AND OUT-OF-SAMPLE PERIODS FOR FUTURES MARKETS. 53

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