Cette thèse proposée utilise les ondelettes de Haar à créer de nouveaux indicateurs techniques, d’en évaluer leurs performances afin de tester la validité de l’efficience faible des marchés financiers. L’approche choisie vise à mettre en œuvre les capacités des indicateurs techniques à capter la mémoire longue présente dans les indices boursiers américains et européens à travers l’estimation de la tendance par le processus de lissage. De plus, cette dernière est une composante importante dans les séries économiques et financières. En effet, elle a fait l’objet d’innombrables investigations tant en analyse technique, qu’en traitement du signal et dans la théorie des cycles économiques. Toutefois, sa présence n’entre pas en ligne de compte dans la théorie classique de la finance, car les principaux modèles utilisés se focalisent sur les variations des cours boursiers. À cet effet, la tendance constitue une source de non-stationnarité entraînant des difficultés majeures pour la modélisation économétrique ou financière. Exploiter cette tendance s’affranchit, dans ce cas, des hypothèses de non-stationnarité tendancielle ou de racine unitaire. En plus, à l’issue des résultats que nous avons obtenus à partir du modèle à changement de régime. Nous confirmons qu’il est possible d’exploiter la présence de mémoire longue dans les cours, et également de battre le marché en présence de coûts de transactions sur les marchés américains et européens. / This proposed thesis uses the Haar wavelets to create new technical indicators, to evaluate their performance in order to test the validity of the weak form of efficient market hypothesis. The chosen approach aims to implement the capabilities of technical indicators to capture the long memory present in the US and European stock indices through the estimation of the trend by the smoothing process. Moreover, the trend is an important component in the economic and financial series. Indeed, it has been the subject of innumerable investigations in technical analysis, in signal processing and in the theory business cycle theory. However, its presence is not taken into account in the classic theory of finance because the main models used focus on changes in stock prices. For this purpose, the trend constitutes a source of non-stationarity leading to major difficulties for econometric or financial modeling. Exploit trend is freed, in this case, from the hypotheses of tendancy or unit root. In addition, the issue of the results we obtained from the regime change model. We confirm that it is possible to exploit the presence of long memory in the series, and also to beat the market in the presence of transaction costs on the American and European markets.

[pt] A análise técnica ou grafismo consiste na identificação visual de padrões geométricos em gráficos de séries de preços de mercado com o objetivo de antecipar tendências de preço. Esta Dissertação revisita a questão da validação estatística da análise técnica, que tem sido estudada na literatura sem os devidos cuidados com os problemas de heterogeneidade e de dependência estatística dos dados analisados - agrupamento de séries de retornos referentes a diversos ativos financeiros distintos. O objetivo central deste estudo consiste em resolver o primeiro problema citado, através de uma metodologia para homogeneizar os ativos no que concerne às distribuições de probabilidades de suas séries de retorno. Os passos gerais desta metodologia envolvem a identificação dos processos estocásticos geradores dos retornos dos ativos, o agrupamento de ativos semelhantes e, finalmente, a análise de presença, ou ausência, de informação advinda dos padrões de preços. Como ilustração, são analisadas séries de diversos ativos do mercado financeiro mundial. A nossa investigação verifica a existência de conteúdo informativo estatisticamente significante em dois dos três padrões usualmente identificados na análise técnica, a saber: triângulos retângulos e head & shoulders. / [en] Technical analysis or charting aims on visually identifying geometrical patterns in price charts in order to anticipate price trends. This dissertation revisits the issue of technical analysis statistical validation, which has been tackled in the literature without taking care of the presence of heterogeneity and statistical dependence in the analyzed data - agglutinated return time series from many distinct securities. The main purpose of this study is to address the first cited problem by suggesting a methodology to homogenize the securities according to the probability distributions of their return series. The general steps of the methodology go through the identification of the data generating stochastic processes for the security returns, the clustering of similar securities and, finally, the analysis of the presence, or absence, of informational content coming from those price patterns. We illustrate the proposed methodology with several financial securities of the global market. Our investigation shows that there is a statistically significant informational content in two out of the three common patterns usually found through technical analysis, namely: triangles, rectangle and head & shoulders.

Since the late 1970s much interest has been shown in the development of electric guitar technique. Advances have been considerable, enabling players to explore new genres and repertoires but development methodologies have remained woefully fragmented. A new approach that sets out to promote electric guitar technique with development methodology is the purpose of this study. To this end, a process of transcription combined with an advanced technical analysis has been undertaken including a full categorization of the technical subgroups extant within each Caprice. The hypothesis behind this task has been to ascertain whether a ‘technical essence’ could be discovered in the Caprices and how that could be imparted in the process of transcription. Transcribing the 24 Caprices for the electric guitar disclosed the technical components required for development which were then reduced to their constitute elements. The virtuosity and variation within the Caprices ensured that the each identified technique was developed to a high degree. The subjective nature of transcription ensured that multiple solutions were explored when a single solution to a technical problem was not obvious. The analysis section of the study demonstrated that three fundamental techniques were required to play all 24 Caprices: alternate-picking, sweep-picking, and hammer-ons and pull-offs. The analyses also provided trends showing how each technique needed to be developed to comprehensively cover all twenty-four pieces. In conclusion, the hypothesis was found to be correct.

技術分析一直是許多研究的熱門主題，也被眾多市場參與者廣泛運用在市場交易，而最普遍且最受歡迎的技術分析工具即為移動平均法。 本研究設計三種移動平均交易方法（一種只考慮收盤價，一種考慮收盤價及交易量，而另一種則將交易量作為收盤價的權重），每種交易方法皆使用五天為短期移動平均天數，十天、五十天、一百天、一百五十天、兩百天為長期移動平均天數，總計十五種移動平均交易規則，運用在臺灣中型100成分股以產生買進與賣出訊號，並依訊號進行交易動作，進而在未考慮交易成本的假設下計算出單次交易的平均報酬、平均持有天數，以及Hit ratio（正報酬的交易次數占總交易次數的比例），藉以探討移動平均法在此種股票的獲利性。而以交易量為價格權重來產生移動平均交易方法是基於相信帶有較高交易量的價格較有意義，盼藉以測試此種方法是否正如預期，相較於一般傳統的價格移動平均法有更好的績效。 本研究雖然未考慮交易成本，但呈現的單次交易平均報酬可以提供讀者與實際臺灣股票市場交易成本作比較，藉以了解考慮交易成本後的情況。而本研究除了呈現所有成分股單次交易的平均報酬、平均持有天數及Hit ratio的平均值，也將成分股依照ICB行業分類指標分成幾個主要產業，並呈現各產業內成分股的平均值，企圖了解特定交易方法是否在特定產業有較好的績效。 結果顯示，產生最好績效的移動平均交易方法也僅能有一半的交易次數得到正報酬，而就整體而言，將交易量作為價格權重的移動平均方法，也沒有產生相較於傳統價格移動平均法更好的績效，因此可以說，這類的技術分析對於這些股票無法有較好的績效。 / Technical analysis has been widely studied and used by many researchers and market participants. The most common and popular technical trading rule is moving average since it is mathematically well defined and used by many analysts. This article examines the profitability of technical analysis for FTSE TWSE Mid-Cap Taiwan 100 Index constituents under the hypothesis of no transaction costs. It uses three strategies (Price Strategy, Price and Volume Strategy, and PV Strategy) and fifteen moving average rules to generate buy and sell signals, and then compute average returns per trading, average holding days per trading, and hit ratios to see the profitability. It is believed that prices come with high volumes are more meaningful than those with low volumes. All of these strategies and trading rules are not only used for all constituents of FTSE TWSE Mid-Cap Taiwan 100 Index without consid-ering industry classifications but also for each major industry classifications of these constituents. Therefore, we can understand whether specific trading rules have better performances for specific industries of these stocks. The results are not that optimistic. Overall Price and Volume Strategy has the best results of hit ratio, however, the highest value is barely 50%, which means it can only have a half trading times positive returns. As for PV Strategy which uses weighted price moving average to trade, the performance has no significantly better than using simple price moving average rule. It can say that Technical Analysis like moving average can hardly have good performances on these stocks.

學術上不接受技術分析等方法，認為股價已經在市場上充分反應，過去的歷史股價不能對未來進行預測。然而，業界或一般的投資人，卻往往把技術分析拿來做為買賣的依據。實際上以歷史資料做模擬交易，卻可以發現許多技術分析的法則在某些市場、股票、期間之中，可以獲得相對於買進賣出更好的報酬。有趣的是，任何一種操作法則或是特定一組參數選擇，在樣本外的操作則無法完全發現同樣的結果。故以技術分析所獲得的超額報酬，究竟是此機制有效還是單純運氣成分，許多技術分析的文獻以及著作往往著墨甚少。 本論文利用狀態轉換模型(Regime Switching Model)捕捉台灣加權股價指數，將股價的動態分為上漲以及下跌兩種狀態，並估計其市場參數—漲跌速度、漲跌速度標準差、轉換機率。其次將所估計的市場參數做為模擬的依據，可發現在單純隨機的環境下，某些市場參數組合存在移動平均線的交易策略明顯優於買進持有策略。研究中以敏感度分析的方法，呈現各個單一市場參數的改變情形，對於操作績效影響的方向。 最後將2001~2010的的台灣加權股價指數，估計市場參數並找尋當下最適的移動平均組合，允許每季重新調整參數，並實際以收盤價做為買賣模擬。結果發現移動平均線操作，確實能提供比買進持有更好的報酬，並減低每年報酬率變異。

This thesis further investigates the effectiveness of 15 variable moving average strategies that mimic the trading rules used in the study by Brock, Lakonishok, and LeBaron (1992). Instead of applying these strategies to developed markets, unique characteristics of emerging markets offer opportunity to investors that warrant further research. Before transaction costs, all 15 variable moving average strategies outperform the naïve benchmark strategy of buying and holding different emerging market ETF's over the volatile period of 858 trading days. However, the variable moving averages perform poorly in the "bubble" market cycle. In fact, sell signals become more unprofitable than buy signals are profitable. Furthermore, variations of 4 of 5 variable moving average strategies demonstrate significant prospects of returning consistent abnormal returns after adjusting for transaction costs and risk.

由於技術分析之有效性一直為學者們所探討且備具爭議的議題，有部分學者認為技術分析無效，但實務上，技術分析在金融市場上的應用卻相當廣泛；此外，由於外匯市場為交易量龐大且眾多學者研究之重要金融市場，故本文回顧過去多項國內、外研究，並經由實地探訪台灣外匯市場上之投資人，針對仍未被研究，但實務上所採用之技術指標進行多項交易策略之模擬並探討其獲利性。 本文主要針對新臺幣兌換美元之匯市，探究將商品通道指標(Commodity Channel Indexes)及威廉指標(Williams Overbought/ Oversold Index)兩種技術分析指標應用於此外匯市場上之獲利情形，採用1993年1月1日至2012年12月28日，共計二十年，5279筆銀行間交易之新台幣兌美元之匯率日間資料，擷取其最高價、最低價及收盤價並透過程式交易進行回溯測試，並針對此兩種技術指標建構多種交易策略，歸納並分析其中可獲得超額報酬之技術策略，期能找出獲得最佳投資報酬以及提高交易的成功機率與獲利能力之法則。 藉由Matlab運算處理後，將此兩種技術指標應用於過去20年之歷史價格進行回溯測試，本實證研究發現：1. 採用威廉指標之策略普遍績效都較採用商品通道指標來的好，不僅在總報酬率的表現上比較好，採用威廉指標所執行的交易獲利的機率也必較高。2. 由於此兩技術指標應用在新台幣兌美元之外匯市場上可得的績效高於買賣策略應用於此市場之平均年化報酬率，故證實此兩種技術指標應用在新台幣兌美元的外匯市場上，均可獲得超額報酬，此兩技術指標在新台幣兌美元市場是有效的、可獲利的。 / It has long been a controversial question to scholars whether or not technical analysis is efficient. Although some scholars believe technical analysis is useless, it has been broadly used in the financial markets for a long time. As foreign exchange markets are one of the most important financial markets with huge trading volume in the world, this paper reviews many past literature and extracts trading strategies from some real investors in Taiwan’s foreign exchange markets. Additionally, this paper focuses on testing the trading performance of applying the technical indexes which have not been researched in the academic field but have often been utilized in the real exchange markets. This thesis mainly concentrates on the exchange market of New Taiwan Dollar against US dollar and examines the trading performance of utilizing two technical indexes which have been used but not been researched in foreign exchange markets : Commodity Channel Index (CCI) and Williams Overbought/Oversold Index (WMS). The dataset of this paper is from January 1st, 1993 to December 28th, 2012, an overall of 20 years and 5279 times of daily NTD/USD exchange rates between banks. To complete the back-testing, this research utilizes the highest, lowest and close price from those materials and analyzes the technical strategies which obtain excess profits. By generalizing the results of those trading strategies, investors can find the best trading rules and increase the returns from applying these two technical indexes to foreign exchange market. The results of this research are as follows: 1. WMS’s performances are chiefly superior to the CCI’s performances. Not only the total profit rates of technical strategies from WMS are higher than the total profit rates of trading rules from CCI, but also the rates of profits on WMS always demonstrate a better result than the rates of profits on CCI. 2. Both of these two technical indicators can produce excess profits. Compared to the average annual return of buy-and-hold strategy in this market, both of the two technical indexes conduct a better performance. As a result, these two technical indexes are effective in NTD/USD market.

Tiriamajame darbe nagrinėjama techninės analizės metodų pelningumas bei patikimumas, jų praktinė nauda ir veikimo principai mažesnėse akcijų biržose (Vilniaus, Rygos, Talino). Gautų rezultatų palyginimui į tyrimą įtraukiama S&P500 akcijų indeksas. Pagrindinis tyrimo tikslas išnagrinėti du techninės analizės metodus - Santykinio stiprumo indeksą ir Slankiųjų vidurkių metodą, praktiškai juos panaudojant aukščiau paminėtose akcijų biržose, ištirti generuojamų pirkimo – pardavimo signalų patikimumą. Fundamentalios analizės atveju yra nagrinėjama Lietuvos komercinių bankų teikiamų konkrečių įmonių akcijų apžvalgų-rekomendacijų, patikimumas bei praktinė nauda. Pirmoje darbo dalyje aprašoma efektyvios rinkos teorijos prasmė (pamatinė techninės ir fundamentalios analizės teorija), kartu paliečiant pagrindinius fundamentalios ir techninės analizės principus. Plačiau nagrinėjami pasaulyje atlikti techninės analizės tyrimai, gauti jų rezultatai. Antroje darbo dalyje pateikiama metodologija kaip buvo atliktas techninės analizės tyrimas su Baltijos šalių ir JAV akcijų indeksais, nubrėžiamos pagrindinės tyrimo ribos. Trečioje tyrimo dalyje pateikiami rezultatai. Didžiausias metinis pelningumas buvo gautas remiantis Slankiųjų vidurkių metodu (50/200 su OMXV akcijų indeksu) – 24,44 proc., kai tuo tarpu „pirk ir laikyk“ strategijos gautas pelningumas – 22,68 proc. po mokesčių. RSI indekso metodas geriausiai pasiteisino su S&P500 akcijų indeksu. Šio metodo metinė grąža siekė 2,15 proc., o... [toliau žr. visą tekstą] / The profitability and reliability of technical analysis methods is the main theme of this work. The practical value of these methods and main rules of operation are analyzed in smaller markets (Vilnius, Ryga and Tallin) and also in comparison with S&P 500 index. The main purpose of this study is to practically test couple of technical analysis methods (Relative Strength Index – RSI and Dual Moving Average Crossover - DMAC) by applying them in markets mentioned above, explore the signals for buying and selling. The fundamental analysis is evaluated while analyzing the reliability and practical benefits of recommendations provided by the commercial banks of Lithuania. The meaning of efficient market theory (it’s the most basic theory for technical and fundamental analysis) is described in literature analysis part. Also, the main rules of fundamental and technical analysis are described there. All the methodology of the research with Baltic and USA indexes is provided in the second part of the work. The third part is filled with results of the research. The best annual after tax gain providing method was DMAC (Dual Moving Average Crossover) (50/200 with OMXV share index) with 22,44% gain for the shareholder, while “buy and keep” strategy provided only 22,68%. RSI (Relative Strength Index) worked best with S&P500 index. The annual odd of this method was 2,15%, while “buy and keep” strategy was only 0,087. DMAC (20/100) also worked best while analyzing the truthfulness of... [to full text]

本文應用遺傳規劃交易程式來檢驗八個國家的股票指數和外匯巿場的表現，採用移動視窗的方法，測試三組獨立的期間，重新檢驗較早期的研究結果，並繼續延申探討，包括交易報酬與交易行為。實證結果顯示，不論在股票還是外匯巿場，若訓練期間的資料選擇不當，遺傳規劃的獲利表現會不理想。資料形態不但會影響遺傳規劃交易程式的獲利性，同時也決定了程式本身的一些觀察特性。我們另外分析了交易程式的複雜度、演化時間、交易頻率和一致性。交易程式的複雜度和演化時間有正向的相關性，但複雜度和報酬、以及演化時間和報酬之間都只有很弱的關係。這些發現可以讓我們更了解遺傳規劃演化交易策略的過程，有助往後更進一步的研究。

This diploma thesis was aimed at analysing the investment strategies on the American stock market. The main aim was to evaluate the market efficiency, to analyse various strategies and to select the most appropriate one according to the assessed form of the market efficiency. Firstly, the weak-form efficiency was validated by correlation and runs tests. Subsequently, the methods of technical and fundamental analysis were applied. The final part is focused on creating the investment portfolio, which is also considered the most suitable strategy.