本研究係探討FScore選股方式對技術指標操作勝率與報酬率之影響，以台灣證券市場上市公司為樣本，研究期間為2017年到2021年。技術指標選用MACD指標(指數平滑異同平均線)，KD指標(隨機指標)，RSI指標(相對強弱指標)。研究方法為OLS最小平方法。 實證結果顯示，FScore對單、雙、三指標交易策略報酬率的影響，在日資料中，FSCORE對其報酬率有正向影響且具有負向非線性效果；而對勝率卻無顯著的影響。在操作策略績效差異表現上，以三指標表現最好，其次是雙指標，最後是單指標。 This study explores the impact of F-Score stock selection on the operation win rate and return of technical indicators. The research samples are listed companies in Taiwan Stock Exchange, the research period is from 2017 to 2021. The technical indicators we chose are MACD indicators (exponential smooth similarity and differences averages), KD indicators (random indicators), and RSI indicators (relatively strong and weak indicators). The research method is the OLS . Empirical results show that In daily data, F-Score have positive and a negative non-linear effect impact on the return rate of single, double and three-indicator trading strategies ; But it has no significant impact on the winning rate. In terms of operational strategy performance differences, three indicators are the best, followed by double indicators, and finally single indicators.
