2018 年台股進入萬點來回動盪行情，投資者在千變萬化的市場上無法立即過濾資訊，隨市場不確定訊息而造成頻繁交易虧損。然過去學者研究相關技術指標實證結果驗證可得到超額報酬。因此本研究主要目的是，運用股價在布林通道區間波動之特性，擬定出不同策略組合建立買賣操作模組，檢驗布林通道突破策略實證分析的報酬績效為何? 本研究樣本以觀光類成分股 16 檔與 ETF 類股元大台灣 50(0050)的日交易資料，研究期間從2013年1月1日2018年10月30日止，蒐集近 5.8 年歷史數據回測實證分析。以布林通道(BBand)為主要技術指標 結合 RSI、威廉指標、移動平均線驗證突破策略的績效是否優於 ETF 台灣 50 其 6.85%平均年化報酬率，研究工具採嘉實資訊分析軟體進行資料彙整檢驗其績效。結果歸納如下:1、運用布林突破一、二策略實證結 果，策略樣本組合(日)交易總績效不佳。2、個股表現上，布林突破策略三、四績效部分個股可優於買進持有策略與 ETF 台灣 50 平均年化報酬(6.85%)。3、研究期間布林通道技術指標實證績效優於 ETF 台灣 50 不符合其效率市場假說。其研究結果提供相關單位參考與提供投資人作為觀光類股票買賣參考。 In the past scholars have studied the empirical results of relevant technical analysis indicators to obtain excess return. Therefore, the main purpose of this study is to use the characteristics of stock price fluctuations in the Bollinger Band interval to formulate different strategies to establish a trading module. What is the performance of the rewards for empirical analysis of the Bollinger Basin Breakthrough Strategy? The study is based on daily trading data of 16 categories of tourism stocks and ETF stocks of Taiwan 50 (0050). During the study period, from January 1, 2013 to October 30, 2018, we collected 5.8 years of historical data to analyze the performance of the breakthrough strategy based on the Brin channel (BBand). The results are summarized as follows: First, the use of Brin to break through the first, second, third and fourth strategies empirical results: the overall performance of the daily trading of first, second, strategy sample combination is not good. Second, in the performance of individual stocks, Brin's breakthrough strategy performance of third and fourth strategies empirical some stocks can be better than the buy-and-hold strategy and ETF Taiwan 50 3. The empirical performance of Bollinger Band technical indicators during the study period is better than ETF Taiwan 50, which does not meet its efficiency market hypothesis. The results of the research provide reference to relevant authorities and provide investors with reference for the trading of stocks in the tourism industry.
