Period Starting
           $ Return % Return % Max DD Exposure Entries       Exits       12星期平均線買賣系統
                     ...
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
Date         Equity    Long      Short    Buy & Hold Linear Reg Cash      System Max.
                                    ...
1/31/1997 142768.02 142768.02   100000   156503.36 52705.64 142768.02 195519.84 194718.31
 2/21/1997 142768.02 142768.02  ...
4/3/1998 183253.5 183253.5     100000   205858.52 129929.61    751.13 205782.02 233886.83
 4/10/1998 186986.11 186986.11  ...
5/21/1999 183701.27 183701.27   100000   187916.28 207153.59    212.23 205782.02 233886.83
 5/28/1999 200724.78 200724.78 ...
7/14/2000 300831.53 300831.53   100000   313960.97 284377.56    765.53 300831.53 313960.97
 7/21/2000 302212.28 302212.28 ...
9/7/2001 299734.88 299734.88   100000   286495.38 361601.54 299734.88 316383.19 350285.91
 9/14/2001 299734.88 299734.88  ...
11/8/2002 258591.52 258591.52   100000    242350.2 438825.52 258591.52 316383.19 350285.91
11/15/2002 258591.52 258591.52 ...
12/26/2003 283411.91 283411.91   100000   241208.77 516049.49    148.97 316383.19 350285.91
  1/2/2004 283864.06 283864.06...
2/18/2005 282971.47 282971.47   100000   201814.63 593273.47 282971.47 330885.59 350285.91
 2/25/2005 282971.47 282971.47 ...
4/14/2006 336220.38 336220.38   100000   217302.25 670497.45     414.5 336220.38 350285.91
 4/21/2006 350362.38 350362.38 ...
6/8/2007 927758.75 927758.75   100000   610556.25 747721.42    345.78 990952.63 651618.94
 6/15/2007 979835.75 979835.75  ...
7/18/2008       ###       ###   100000   435801.91 824945.4        ### 1317156 917036.13
 7/25/2008       ###       ###   ...
12星期平均線買賣系統
      上證指數

   0.0%     0.0%
   0.0%    -3.1%
   0.0%    -1.3%
   0.0%    -5.2%
   0.0%    -4.9%
   0.0%    -3...
-27.0%   -19.6%
-27.0%   -15.5%
-25.3%   -13.7%
-22.6%   -10.7%
-19.2%    -6.9%
-16.2%    -3.6%
-13.7%    -0.8%
 -9.5%    ...
-10.9%   -12.0%
 -9.1%   -10.3%
-10.1%   -11.1%
 -8.9%   -10.0%
 -6.9%    -8.2%
 -6.0%    -7.2%
 -5.2%    -6.5%
 -4.7%    ...
-10.7%   -19.7%
 -2.5%   -12.5%
 -1.8%   -12.0%
  0.0%    -6.4%
  0.0%     0.0%
  0.0%     0.0%
  0.0%     0.0%
 -1.8%    ...
0.0%     0.0%
  0.0%     0.0%
  0.0%     0.0%
  0.0%     0.0%
  0.0%     0.0%
  0.0%     0.0%
 -0.2%    -0.2%
 -4.3%    -4...
-5.3%   -18.2%
 -5.3%   -17.8%
 -5.3%   -18.3%
 -5.3%   -20.1%
 -5.3%   -23.4%
 -5.3%   -28.6%
 -5.3%   -24.0%
 -5.3%   -2...
-18.3%   -30.8%
-18.3%   -33.4%
-18.3%   -36.4%
-18.3%   -34.7%
-18.3%   -35.9%
-18.3%   -36.3%
-18.3%   -35.0%
-18.3%   -...
-10.4%   -31.1%
-10.3%   -31.0%
 -6.5%   -28.2%
 -5.4%   -27.4%
 -5.9%   -27.8%
 -0.7%   -23.9%
 -1.9%   -24.8%
  0.0%   -...
-14.5%   -42.4%
-14.5%   -40.0%
-16.1%   -41.1%
-15.9%   -41.0%
-20.0%   -43.8%
-20.0%   -44.7%
-20.0%   -43.9%
-20.0%   -...
0.0%   -38.0%
 0.0%   -35.4%
 0.0%   -34.4%
 0.0%   -27.3%
 0.0%   -24.8%
-2.7%   -26.8%
 0.0%   -24.3%
-7.1%   -29.5%
-5....
-6.4%    -6.3%
 -1.1%    -1.1%
 -2.1%    -2.1%
 -8.6%    -8.5%
 -8.6%    -9.4%
 -8.6%    -6.3%
 -8.6%    -2.9%
 -2.1%     ...
-13.0%   -52.5%
-13.0%   -51.0%
-13.0%   -52.1%
-13.0%   -55.4%
-13.0%   -58.0%
-13.0%   -58.7%
-13.0%   -58.9%
-13.0%   -...
不同周數之平均線買賣系統與買入並持有之數據1995-
平均線系統        4         8          12         16         20         24         28         32

開始...
有之數據1995-現在(表一)
        36        40        44        48        52        買入並持有
        100       100       100       100 ...
Position   Symbol   Shares     Entry Date Entry Price Exit Date Exit Price % Change Net Profit Bars Held

Long       shcom...
Profit/Bar Entry Signal
                      Exit Signal Cum Profit MAE %      MFE %   ChartScript

 1,648.17            ...
12星期平均線買賣系統信號(表二)
                                                  買入到賣
買入日期         買入價格 賣出日期 賣出價格 變動%                  ...
使用不同平均線買賣系統與買入並時有之年度化回報 ( 圖一 )

        22.00%




        20.00%




        18.00%
年度化回報




        16.00%




        ...
12 周平均線買賣系統與上證指數之回報 ( 圖三 )




   藍線 ( 上證指數 ), 綠線 (12 周平均線買賣系統 )




                  12 周平均線買賣系統信號 ( 圖
回報 ( 圖三 )




平均線買賣系統 )




 平均線買賣系統信號 ( 圖二 )
12 星期平均線買賣系統與上證指數之每年回報 ( 圖四 )

     150.0%




     100.0%




      50.0%
回報




       0.0%




      -50.0%




     -1...
12 星期平均線買賣系統與上證指數之最大跌幅 %(Max. Drawdown) 圖五

 0.0%


-10.0%


-20.0%


-30.0%


-40.0%


-50.0%


-60.0%


-70.0%


-80.0%
...
Biweekly  Financial  Commentary 09 08 17
Biweekly  Financial  Commentary 09 08 17
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Biweekly Financial Commentary 09 08 17

  1. 1. Period Starting $ Return % Return % Max DD Exposure Entries Exits 12星期平均線買賣系統 上證指數 1/6/1995 0 0 0 0 0 0 1/5/1996 42,768.02 42.77 -26.98 76.17 2 2 42.8% 65.1% 1/3/1997 32,752.30 22.94 -16.93 50.62 4 3 22.9% 30.2% 1/2/1998 11,192.47 6.38 -7.32 61.92 2 3 6.4% -4.0% 1/1/1999 60,099.67 32.19 -5.81 50.06 2 2 32.2% 19.2% 1/7/2000 53,555.95 21.7 -7.07 78.85 4 3 21.7% 51.7% 1/5/2001 ### -4.34 -7.87 41.11 2 3 -4.3% -20.6% 1/4/2002 ### -10.01 -11.59 41.47 2 2 -10.0% -17.5% 1/3/2003 24,820.39 9.6 -7.2 48.24 3 2 9.6% 10.3% 1/2/2004 -440.44 -0.16 -14.48 40.09 2 3 -0.2% -15.4% 1/7/2005 4,224.13 1.49 -6.46 35.52 3 2 1.5% -8.3% 1/6/2006 ### 120.91 -9.24 91.91 1 1 120.9% 130.4% 1/5/2007 ### 86.95 -9.95 74.86 1 2 87.0% 96.7% 1/4/2008 ### -14.18 -16.11 7.97 3 3 -14.2% -65.4% 1/2/2009 ### 59.92 -10.7 97.63 1 0 59.9% 67.4%
  2. 2. 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009
  3. 3. Date Equity Long Short Buy & Hold Linear Reg Cash System Max. B&H Max. Date Equity Long Short Buy & Hold Linear Reg Cash 12/29/1995 100000 100000 100000 93447.6 -21808.73 100000 100000 93447.6 1/5/1996 100000 100000 100000 90533.62 -20453.92 100000 100000 93447.6 1/12/1996 100000 100000 100000 92188.34 -19099.11 100000 100000 93447.6 1/19/1996 100000 100000 100000 88553.02 -17744.31 100000 100000 93447.6 1/26/1996 100000 100000 100000 88871.5 -16389.5 100000 100000 93447.6 2/2/1996 100000 100000 100000 90483.41 -15034.69 100000 100000 93447.6 2/9/1996 100000 100000 100000 88846.54 -13679.89 100000 100000 93447.6 2/16/1996 100000 100000 100000 93085.4 -12325.08 100000 100000 93447.6 3/8/1996 100000 100000 100000 96195.73 -10970.27 275.03 100000 96195.73 3/15/1996 98131.58 98131.58 100000 94542.08 -9615.47 275.03 100000 96195.73 3/22/1996 99486.34 99486.34 100000 95741.13 -8260.66 275.03 100000 96195.73 3/29/1996 97087.77 97087.77 100000 93618.24 -6905.85 275.03 100000 96195.73 4/5/1996 101635.25 101635.25 100000 97643.03 -5551.05 275.03 101635.25 97643.03 4/12/1996 102405.89 102405.89 100000 98325.09 -4196.24 275.03 102405.89 98325.09 4/19/1996 107827.04 107827.04 100000 103123.12 -2841.43 275.03 107827.04 103123.12 4/26/1996 123398.48 123398.48 100000 116904.73 -1486.63 275.03 123398.48 116904.73 5/3/1996 113381.3 113381.3 100000 108038.95 -131.82 275.03 123398.48 116904.73 5/10/1996 115370.28 115370.28 100000 109799.32 1222.99 275.03 123398.48 116904.73 5/17/1996 124150.84 124150.84 100000 117570.63 2577.79 275.03 124150.84 117570.63 5/24/1996 111600.58 111600.58 100000 106462.91 3932.6 275.03 124150.84 117570.63 5/31/1996 112270.13 112270.13 100000 107055.51 5287.41 275.03 124150.84 117570.63 6/7/1996 126832.36 126832.36 100000 119943.92 6642.21 275.03 126832.36 119943.92 6/14/1996 135520.89 135520.89 100000 127633.76 7997.02 275.03 135520.89 127633.76 6/21/1996 138797.81 138797.81 100000 130534.03 9351.82 275.03 138797.81 130534.03 6/28/1996 140214.7 140214.7 100000 131788.06 10706.63 275.03 140214.7 131788.06 7/5/1996 136930.98 136930.98 100000 128881.77 12061.44 275.03 140214.7 131788.06 7/12/1996 138850.36 138850.36 100000 130580.54 13416.24 275.03 140214.7 131788.06 7/19/1996 149380.5 149380.5 100000 139900.31 14771.05 275.03 149380.5 139900.31 7/26/1996 147326.42 147326.42 100000 138082.34 16125.86 275.03 149380.5 139900.31 8/2/1996 146239.28 146239.28 100000 137120.16 17480.66 275.03 149380.5 139900.31 8/9/1996 151934.13 151934.13 100000 142160.42 18835.47 275.03 151934.13 142160.42 8/16/1996 148848.41 148848.41 100000 139429.39 20190.28 275.03 151934.13 142160.42 8/23/1996 140117.61 140117.61 100000 131702.13 21545.08 275.03 151934.13 142160.42 8/30/1996 141204.23 141204.23 100000 132663.86 22899.89 141204.23 151934.13 142160.42 9/6/1996 141204.23 141204.23 100000 131323.45 24254.7 141204.23 151934.13 142160.42 9/13/1996 141204.23 141204.23 100000 127910.03 25609.5 141204.23 151934.13 142160.42 9/20/1996 141204.23 141204.23 100000 131986.27 26964.31 141204.23 151934.13 142160.42 9/27/1996 141204.23 141204.23 100000 142764.27 28319.12 244.7 151934.13 142764.27 10/4/1996 139261.61 139261.61 100000 140906.09 29673.92 244.7 151934.13 142764.27 10/11/1996 146737.64 146737.64 100000 148057.08 31028.73 244.7 151934.13 148057.08 10/18/1996 151573.77 151573.77 100000 152682.94 32383.54 244.7 151934.13 152682.94 10/25/1996 163284.89 163284.89 100000 163884.89 33738.34 244.7 163284.89 163884.89 11/1/1996 150101.73 150101.73 100000 151274.91 35093.15 244.7 163284.89 163884.89 11/8/1996 148312.22 148312.22 100000 149563.2 36447.96 244.7 163284.89 163884.89 11/15/1996 153327.86 153327.86 100000 154360.77 37802.76 244.7 163284.89 163884.89 11/22/1996 153489.66 153489.66 100000 154515.53 39157.57 244.7 163284.89 163884.89 11/29/1996 166549.17 166549.17 100000 167007.25 40512.38 244.7 166549.17 167007.25 12/6/1996 195519.84 195519.84 100000 194718.31 41867.18 244.7 195519.84 194718.31 12/13/1996 178960.81 178960.81 100000 178879.25 43221.99 244.7 195519.84 194718.31 12/20/1996 142768.02 142768.02 100000 144260.06 44576.8 142768.02 195519.84 194718.31 12/27/1996 142768.02 142768.02 100000 150265.59 45931.6 142768.02 195519.84 194718.31 1/3/1997 142768.02 142768.02 100000 146473.34 47286.41 142768.02 195519.84 194718.31 1/10/1997 142768.02 142768.02 100000 149367.02 48641.22 142768.02 195519.84 194718.31 1/17/1997 142768.02 142768.02 100000 149590.3 49996.02 142768.02 195519.84 194718.31 1/24/1997 142768.02 142768.02 100000 154837.08 51350.83 142768.02 195519.84 194718.31
  4. 4. 1/31/1997 142768.02 142768.02 100000 156503.36 52705.64 142768.02 195519.84 194718.31 2/21/1997 142768.02 142768.02 100000 164571.42 54060.44 369.81 195519.84 194718.31 2/28/1997 146007.63 146007.63 100000 168134.98 55415.25 369.81 195519.84 194718.31 3/7/1997 151250.61 151250.61 100000 173902.28 56770.06 369.81 195519.84 194718.31 3/14/1997 157981.83 157981.83 100000 181306.61 58124.86 369.81 195519.84 194718.31 3/21/1997 163773.63 163773.63 100000 187677.59 59479.67 369.81 195519.84 194718.31 3/28/1997 168743.63 168743.63 100000 193144.59 60834.48 369.81 195519.84 194718.31 4/4/1997 176904.2 176904.2 100000 202121.23 62189.28 369.81 195519.84 202121.23 4/11/1997 179364.02 179364.02 100000 204827.03 63544.09 369.81 195519.84 204827.03 4/18/1997 187694.02 187694.02 100000 213990.03 64898.9 369.81 195519.84 213990.03 4/25/1997 191467.02 191467.02 100000 218140.33 66253.7 369.81 195519.84 218140.33 5/2/1997 195494.81 195494.81 100000 222570.91 67608.51 369.81 195519.84 222570.91 5/9/1997 205782.02 205782.02 100000 233886.83 68963.32 369.81 205782.02 233886.83 5/16/1997 184598.63 184598.63 100000 210585.09 70318.12 369.81 205782.02 233886.83 5/23/1997 175967.63 175967.63 100000 201090.98 71672.93 369.81 205782.02 233886.83 5/30/1997 180295.02 180295.02 100000 205851.14 73027.74 369.81 205782.02 233886.83 6/6/1997 178911.81 178911.81 100000 204329.61 74382.54 178911.81 205782.02 233886.83 6/13/1997 178911.81 178911.81 100000 199506.33 75737.35 178911.81 205782.02 233886.83 6/20/1997 178911.81 178911.81 100000 206778.2 77092.15 178911.81 205782.02 233886.83 6/27/1997 178911.81 178911.81 100000 200474.98 78446.96 178911.81 205782.02 233886.83 7/4/1997 178911.81 178911.81 100000 186471.77 79801.77 178911.81 205782.02 233886.83 7/11/1997 178911.81 178911.81 100000 185771.08 81156.57 178911.81 205782.02 233886.83 7/18/1997 178911.81 178911.81 100000 194251.84 82511.38 178911.81 205782.02 233886.83 7/25/1997 178911.81 178911.81 100000 188245.84 83866.19 178911.81 205782.02 233886.83 8/1/1997 178911.81 178911.81 100000 191629.22 85220.99 178911.81 205782.02 233886.83 8/8/1997 178911.81 178911.81 100000 193665.11 86575.8 178911.81 205782.02 233886.83 8/15/1997 178911.81 178911.81 100000 183964.66 87930.61 178911.81 205782.02 233886.83 8/22/1997 178911.81 178911.81 100000 188395.22 89285.41 178911.81 205782.02 233886.83 8/29/1997 178911.81 178911.81 100000 195976.66 90640.22 637.05 205782.02 233886.83 9/5/1997 183363.34 183363.34 100000 200672.11 91995.03 637.05 205782.02 233886.83 9/12/1997 177107.23 177107.23 100000 194073.2 93349.83 637.05 205782.02 233886.83 9/19/1997 173576.97 173576.97 100000 190349.48 94704.64 173576.97 205782.02 233886.83 9/26/1997 173576.97 173576.97 100000 178816.42 96059.45 173576.97 205782.02 233886.83 10/3/1997 173576.97 173576.97 100000 176929.92 97414.25 173576.97 205782.02 233886.83 10/10/1997 173576.97 173576.97 100000 182075.08 98769.06 173576.97 205782.02 233886.83 10/17/1997 173576.97 173576.97 100000 189112.86 100123.87 632.94 205782.02 233886.83 10/24/1997 173844.52 173844.52 100000 189393.16 101478.67 632.94 205782.02 233886.83 10/31/1997 174150.27 174150.27 100000 189713.47 102833.48 632.94 205782.02 233886.83 11/7/1997 176318.52 176318.52 100000 191984.97 104188.29 632.94 205782.02 233886.83 11/14/1997 176713.94 176713.94 100000 192399.22 105543.09 632.94 205782.02 233886.83 11/21/1997 170941.27 170941.27 100000 186351.66 106897.9 170941.27 205782.02 233886.83 11/28/1997 170941.27 170941.27 100000 183436.42 108252.71 170941.27 205782.02 233886.83 12/5/1997 170941.27 170941.27 100000 182908.2 109607.51 170941.27 205782.02 233886.83 12/12/1997 170941.27 170941.27 100000 185624.77 110962.32 170941.27 205782.02 233886.83 12/19/1997 170941.27 170941.27 100000 186691.98 112317.13 308.08 205782.02 233886.83 12/26/1997 175520.31 175520.31 100000 191489.09 113671.93 308.08 205782.02 233886.83 1/2/1998 175840.77 175840.77 100000 191824.8 115026.74 308.08 205782.02 233886.83 1/9/1998 182573.52 182573.52 100000 198878.16 116381.55 308.08 205782.02 233886.83 1/16/1998 178760.48 178760.48 100000 194883.56 117736.35 308.08 205782.02 233886.83 1/23/1998 180076.28 180076.28 100000 196262 119091.16 308.08 205782.02 233886.83 2/13/1998 183456.98 183456.98 100000 199803.7 120445.97 308.08 205782.02 233886.83 2/20/1998 180533.02 180533.02 100000 196740.48 121800.77 308.08 205782.02 233886.83 2/27/1998 177667.98 177667.98 100000 193739.03 123155.58 308.08 205782.02 233886.83 3/6/1998 177656.52 177656.52 100000 193727.02 124510.39 308.08 205782.02 233886.83 3/13/1998 174497.34 174497.34 100000 190417.41 125865.19 174497.34 205782.02 233886.83 3/20/1998 174497.34 174497.34 100000 190808.56 127220 174497.34 205782.02 233886.83 3/27/1998 174497.34 174497.34 100000 196362.41 128574.81 751.13 205782.02 233886.83
  5. 5. 4/3/1998 183253.5 183253.5 100000 205858.52 129929.61 751.13 205782.02 233886.83 4/10/1998 186986.11 186986.11 100000 209906.56 131284.42 751.13 205782.02 233886.83 4/17/1998 185082.33 185082.33 100000 207841.89 132639.23 751.13 205782.02 233886.83 4/24/1998 187504.83 187504.83 100000 210469.13 133994.03 751.13 205782.02 233886.83 5/1/1998 191520.73 191520.73 100000 214824.39 135348.84 751.13 205782.02 233886.83 5/8/1998 193529.61 193529.61 100000 217003.03 136703.65 751.13 205782.02 233886.83 5/15/1998 195019.48 195019.48 100000 218618.81 138058.45 751.13 205782.02 233886.83 5/22/1998 196117.14 196117.14 100000 219809.23 139413.26 751.13 205782.02 233886.83 5/29/1998 201142.38 201142.38 100000 225259.14 140768.07 751.13 205782.02 233886.83 6/5/1998 200774.31 200774.31 100000 224859.97 142122.87 751.13 205782.02 233886.83 6/12/1998 197192.2 197192.2 100000 220975.16 143477.68 751.13 205782.02 233886.83 6/19/1998 198321.39 198321.39 100000 222199.77 144832.48 751.13 205782.02 233886.83 6/26/1998 197508.89 197508.89 100000 221318.58 146187.29 751.13 205782.02 233886.83 7/3/1998 190338.88 190338.88 100000 213542.66 147542.1 190338.88 205782.02 233886.83 7/10/1998 190338.88 190338.88 100000 217468.73 148896.9 190338.88 205782.02 233886.83 7/17/1998 190338.88 190338.88 100000 210399.52 150251.71 190338.88 205782.02 233886.83 7/24/1998 190338.88 190338.88 100000 212263.84 151606.52 190338.88 205782.02 233886.83 7/31/1998 190338.88 190338.88 100000 210738.92 152961.32 190338.88 205782.02 233886.83 8/7/1998 190338.88 190338.88 100000 203678.03 154316.13 190338.88 205782.02 233886.83 8/14/1998 190338.88 190338.88 100000 187809.41 155670.94 190338.88 205782.02 233886.83 8/21/1998 190338.88 190338.88 100000 189287.36 157025.74 190338.88 205782.02 233886.83 8/28/1998 190338.88 190338.88 100000 181910.61 158380.55 190338.88 205782.02 233886.83 9/4/1998 190338.88 190338.88 100000 187116.56 159735.36 190338.88 205782.02 233886.83 9/11/1998 190338.88 190338.88 100000 195506.17 161090.16 190338.88 205782.02 233886.83 9/18/1998 190338.88 190338.88 100000 193811.56 162444.97 190338.88 205782.02 233886.83 9/25/1998 190338.88 190338.88 100000 196056.42 163799.78 190338.88 205782.02 233886.83 10/2/1998 190338.88 190338.88 100000 199339.39 165154.58 175.78 205782.02 233886.83 10/9/1998 189426.39 189426.39 100000 198420.94 166509.39 175.78 205782.02 233886.83 10/16/1998 191659.11 191659.11 100000 200668.27 167864.2 175.78 205782.02 233886.83 10/23/1998 186442.42 186442.42 100000 195417.47 169219 175.78 205782.02 233886.83 10/30/1998 186425.14 186425.14 100000 195400.08 170573.81 175.78 205782.02 233886.83 11/6/1998 192919.83 192919.83 100000 201937.22 171928.62 175.78 205782.02 233886.83 11/13/1998 196399.52 196399.52 100000 205439.64 173283.42 175.78 205782.02 233886.83 11/20/1998 195308.02 195308.02 100000 204341 174638.23 175.78 205782.02 233886.83 11/27/1998 190673.19 190673.19 100000 199675.89 175993.04 175.78 205782.02 233886.83 12/4/1998 186712.78 186712.78 100000 195689.59 177347.84 186712.78 205782.02 233886.83 12/11/1998 186712.78 186712.78 100000 194921.73 178702.65 186712.78 205782.02 233886.83 12/18/1998 186712.78 186712.78 100000 185945.09 180057.46 186712.78 205782.02 233886.83 12/25/1998 186712.78 186712.78 100000 188716 181412.26 186712.78 205782.02 233886.83 1/1/1999 186712.78 186712.78 100000 184525.2 182767.07 186712.78 205782.02 233886.83 1/8/1999 186712.78 186712.78 100000 187930.75 184121.88 186712.78 205782.02 233886.83 1/15/1999 186712.78 186712.78 100000 183078.98 185476.68 186712.78 205782.02 233886.83 1/22/1999 186712.78 186712.78 100000 186935.3 186831.49 186712.78 205782.02 233886.83 1/29/1999 186712.78 186712.78 100000 182673.05 188186.3 186712.78 205782.02 233886.83 2/5/1999 186712.78 186712.78 100000 174475.48 189541.1 186712.78 205782.02 233886.83 2/12/1999 186712.78 186712.78 100000 175806.81 190895.91 186712.78 205782.02 233886.83 3/5/1999 186712.78 186712.78 100000 182316.39 192250.72 186712.78 205782.02 233886.83 3/12/1999 186712.78 186712.78 100000 186373.52 193605.52 161.75 205782.02 233886.83 3/19/1999 189003.97 189003.97 100000 188565.09 194960.33 161.75 205782.02 233886.83 3/26/1999 187102.08 187102.08 100000 186745.89 196315.14 161.75 205782.02 233886.83 4/2/1999 190850.47 190850.47 100000 190331.31 197669.94 161.75 205782.02 233886.83 4/9/1999 194189.14 194189.14 100000 193524.81 199024.75 161.75 205782.02 233886.83 4/16/1999 187925.92 187925.92 100000 187533.91 200379.56 161.75 205782.02 233886.83 4/23/1999 183701.27 183701.27 100000 183492.94 201734.36 183701.27 205782.02 233886.83 4/30/1999 183701.27 183701.27 100000 180556.17 203089.17 183701.27 205782.02 233886.83 5/7/1999 183701.27 183701.27 100000 180527.06 204443.98 183701.27 205782.02 233886.83 5/14/1999 183701.27 183701.27 100000 171678.06 205798.78 183701.27 205782.02 233886.83
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  16. 16. -27.0% -19.6% -27.0% -15.5% -25.3% -13.7% -22.6% -10.7% -19.2% -6.9% -16.2% -3.6% -13.7% -0.8% -9.5% 0.0% -8.3% 0.0% -4.0% 0.0% -2.1% 0.0% 0.0% 0.0% 0.0% 0.0% -10.3% -10.0% -14.5% -14.0% -12.4% -12.0% -13.1% -12.6% -13.1% -14.7% -13.1% -11.6% -13.1% -14.3% -13.1% -20.3% -13.1% -20.6% -13.1% -16.9% -13.1% -19.5% -13.1% -18.1% -13.1% -17.2% -13.1% -21.3% -13.1% -19.5% -13.1% -16.2% -10.9% -14.2% -13.9% -17.0% -15.7% -18.6% -15.7% -23.5% -15.7% -24.4% -15.7% -22.2% -15.7% -19.1% -15.5% -19.0% -15.4% -18.9% -14.3% -17.9% -14.1% -17.7% -16.9% -20.3% -16.9% -21.6% -16.9% -21.8% -16.9% -20.6% -16.9% -20.2% -14.7% -18.1% -14.5% -18.0% -11.3% -15.0% -13.1% -16.7% -12.5% -16.1% -10.8% -14.6% -12.3% -15.9% -13.7% -17.2% -13.7% -17.2% -15.2% -18.6% -15.2% -18.4% -15.2% -16.0%
  17. 17. -10.9% -12.0% -9.1% -10.3% -10.1% -11.1% -8.9% -10.0% -6.9% -8.2% -6.0% -7.2% -5.2% -6.5% -4.7% -6.0% -2.3% -3.7% -2.4% -3.9% -4.2% -5.5% -3.6% -5.0% -4.0% -5.4% -7.5% -8.7% -7.5% -7.0% -7.5% -10.0% -7.5% -9.2% -7.5% -9.9% -7.5% -12.9% -7.5% -19.7% -7.5% -19.1% -7.5% -22.2% -7.5% -20.0% -7.5% -16.4% -7.5% -17.1% -7.5% -16.2% -7.5% -14.8% -7.9% -15.2% -6.9% -14.2% -9.4% -16.4% -9.4% -16.5% -6.3% -13.7% -4.6% -12.2% -5.1% -12.6% -7.3% -14.6% -9.3% -16.3% -9.3% -16.7% -9.3% -20.5% -9.3% -19.3% -9.3% -21.1% -9.3% -19.6% -9.3% -21.7% -9.3% -20.1% -9.3% -21.9% -9.3% -25.4% -9.3% -24.8% -9.3% -22.0% -9.3% -20.3% -8.2% -19.4% -9.1% -20.2% -7.3% -18.6% -5.6% -17.3% -8.7% -19.8% -10.7% -21.5% -10.7% -22.8% -10.7% -22.8% -10.7% -26.6%
  18. 18. -10.7% -19.7% -2.5% -12.5% -1.8% -12.0% 0.0% -6.4% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% -1.8% -1.7% -5.8% -5.6% -1.7% -1.7% -0.7% -0.7% 0.0% 0.0% -4.5% -4.4% -1.1% -1.0% -0.8% -0.7% -3.6% -3.5% 0.0% 0.0% -0.7% -0.7% -2.4% -2.4% -5.4% -5.2% -5.4% -7.3% -5.4% -6.8% -5.4% -9.5% -5.4% -9.1% -5.4% -11.4% -5.4% -12.2% -5.4% -11.2% -5.4% -12.6% -5.4% -13.0% -5.4% -13.5% -5.4% -14.0% -5.4% -17.8% -5.4% -17.1% -5.4% -8.4% -12.1% -14.7% -12.1% -11.4% -7.9% -7.3% 0.0% 0.0% -2.2% -2.1% 0.0% 0.0% -1.9% -1.8% -4.6% -4.4% -0.4% -0.4% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% -0.3% -0.3% -6.5% -6.4% -6.5% -3.3% -1.2% 0.0% 0.0% 0.0% -0.8% -0.8% 0.0% 0.0% 0.0% 0.0% -0.6% -0.6% -0.4% -0.3%
  19. 19. 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% -0.2% -0.2% -4.3% -4.2% -6.2% -6.1% -6.2% -5.2% -6.2% -9.3% -6.2% -8.4% -6.2% -8.0% -6.2% -6.7% -6.2% -5.7% -6.2% -5.1% -6.2% -2.0% -4.2% 0.0% -6.0% -1.9% -4.7% -0.5% -5.1% -0.9% -6.6% -2.5% -5.2% -1.1% -5.1% -0.9% -2.7% 0.0% -3.6% -0.9% -5.4% -2.7% -10.4% -7.7% -10.4% -8.4% -10.4% -8.7% -10.4% -6.4% -10.4% -5.2% -10.4% -4.8% -10.4% -3.3% -7.8% -0.6% -8.0% -0.8% -6.4% 0.0% -6.1% 0.0% -7.7% -1.7% -7.5% -1.5% -5.9% 0.0% -3.8% 0.0% -4.3% -0.4% -3.1% 0.0% -3.0% 0.0% -3.5% -0.5% -3.7% -0.7% -3.2% -0.2% -5.3% -2.3% -5.3% -2.7% -5.3% -1.9% -5.3% -6.9% -5.3% -11.6% -5.3% -11.8% -5.3% -13.1% -5.3% -14.8% -5.3% -17.1%
  20. 20. -5.3% -18.2% -5.3% -17.8% -5.3% -18.3% -5.3% -20.1% -5.3% -23.4% -5.3% -28.6% -5.3% -24.0% -5.3% -23.4% -5.3% -26.1% -5.3% -25.3% -5.3% -22.4% -5.3% -20.9% -5.4% -21.0% -9.2% -24.1% -9.2% -25.6% -9.2% -25.7% -9.2% -26.9% -9.2% -30.2% -9.2% -35.5% -9.2% -33.9% -9.2% -32.4% -9.2% -31.5% -9.2% -31.7% -9.2% -25.6% -10.2% -26.5% -7.6% -24.3% -11.2% -27.2% -9.5% -25.9% -8.1% -24.8% -9.5% -25.8% -9.2% -25.6% -7.7% -24.4% -9.3% -25.7% -13.2% -28.8% -13.2% -29.6% -13.2% -31.1% -13.2% -30.5% -13.2% -32.0% -13.2% -29.0% -13.2% -21.6% -13.7% -22.0% -14.9% -23.1% -14.1% -22.4% -17.0% -24.9% -16.7% -24.7% -17.5% -25.3% -17.5% -25.3% -15.7% -23.7% -16.5% -24.5% -18.3% -26.0% -18.3% -26.3% -18.3% -27.2% -18.3% -28.2% -18.3% -30.7% -18.3% -30.9% -18.3% -30.9% -18.3% -31.3%
  21. 21. -18.3% -30.8% -18.3% -33.4% -18.3% -36.4% -18.3% -34.7% -18.3% -35.9% -18.3% -36.3% -18.3% -35.0% -18.3% -36.9% -18.3% -39.7% -18.3% -36.9% -18.3% -32.7% -18.2% -32.7% -17.1% -31.8% -16.5% -31.3% -18.3% -32.7% -16.4% -31.3% -17.5% -32.1% -19.0% -33.3% -18.5% -32.9% -17.5% -32.1% -15.9% -30.9% -12.9% -28.4% -11.4% -27.3% -17.8% -32.4% -17.8% -30.8% -16.0% -29.4% -15.7% -29.1% -14.9% -28.4% -16.9% -30.1% -15.4% -28.9% -17.4% -30.5% -17.4% -31.9% -17.4% -31.7% -17.4% -30.5% -17.4% -31.5% -17.4% -32.8% -17.4% -32.8% -17.4% -33.1% -17.4% -34.0% -17.4% -34.5% -17.4% -35.2% -17.4% -34.8% -17.4% -35.8% -17.4% -36.6% -17.4% -37.5% -17.4% -37.6% -17.4% -36.0% -17.4% -37.5% -17.4% -37.0% -17.4% -38.5% -17.4% -39.0% -17.4% -39.2% -17.4% -37.9% -17.4% -36.3% -14.2% -33.9% -13.0% -33.1% -14.5% -34.2%
  22. 22. -10.4% -31.1% -10.3% -31.0% -6.5% -28.2% -5.4% -27.4% -5.9% -27.8% -0.7% -23.9% -1.9% -24.8% 0.0% -22.0% -2.7% -24.1% -3.5% -24.7% -1.6% -23.2% 0.0% -20.9% -0.8% -21.5% 0.0% -20.0% -2.3% -21.8% -4.2% -23.3% -7.5% -25.8% -7.5% -27.6% -7.5% -29.0% -7.5% -29.2% -7.5% -29.6% -7.5% -29.9% -7.5% -33.0% -7.5% -35.0% -7.5% -36.1% -7.5% -34.4% -7.5% -34.8% -7.5% -33.7% -7.5% -35.9% -7.5% -36.8% -7.5% -36.6% -7.5% -37.6% -7.5% -38.7% -7.5% -39.7% -7.5% -39.4% -7.5% -41.1% -7.5% -35.5% -6.2% -34.6% -8.7% -36.3% -7.0% -35.2% -13.0% -39.2% -13.0% -39.3% -13.0% -39.7% -13.0% -40.4% -13.0% -38.3% -13.0% -37.1% -14.5% -38.1% -14.5% -38.9% -14.5% -39.8% -14.5% -41.0% -14.5% -41.2% -14.5% -42.1% -14.5% -43.0% -14.5% -43.0% -14.5% -43.5% -14.5% -44.4% -14.5% -41.9%
  23. 23. -14.5% -42.4% -14.5% -40.0% -16.1% -41.1% -15.9% -41.0% -20.0% -43.8% -20.0% -44.7% -20.0% -43.9% -20.0% -42.8% -20.0% -44.2% -20.0% -46.3% -20.0% -46.8% -20.0% -49.0% -20.0% -49.4% -20.0% -51.5% -20.0% -53.2% -20.0% -49.0% -20.0% -50.0% -20.0% -49.3% -20.0% -51.3% -20.0% -53.0% -20.0% -52.6% -20.0% -51.7% -20.0% -50.1% -16.6% -48.1% -13.7% -46.4% -15.1% -47.2% -13.5% -46.2% -12.2% -45.5% -12.1% -45.4% -10.4% -44.4% -14.9% -47.1% -14.7% -46.9% -15.8% -47.6% -15.7% -47.6% -15.7% -50.2% -15.7% -49.4% -15.7% -49.8% -15.7% -48.6% -15.7% -48.7% -15.7% -49.6% -15.7% -48.8% -15.7% -48.2% -14.4% -47.4% -13.2% -46.7% -9.6% -44.6% -8.7% -44.0% -6.2% -42.5% -6.0% -42.4% -4.1% -41.3% -5.3% -42.0% -3.1% -40.7% -3.3% -40.9% -6.9% -43.0% -5.1% -41.9% -3.2% -40.8% -3.0% -40.7% 0.0% -38.7%
  24. 24. 0.0% -38.0% 0.0% -35.4% 0.0% -34.4% 0.0% -27.3% 0.0% -24.8% -2.7% -26.8% 0.0% -24.3% -7.1% -29.5% -5.7% -28.5% -3.8% -27.1% 0.0% -24.2% 0.0% -21.7% -3.8% -24.5% -3.7% -24.5% -3.9% -24.7% -9.2% -28.7% -9.2% -27.1% -9.2% -27.5% -9.2% -26.4% -9.2% -25.8% -7.5% -24.4% -4.6% -22.1% -4.3% -21.9% -2.8% -20.7% -1.0% -19.3% -0.7% -19.0% 0.0% -18.3% 0.0% -15.7% 0.0% -14.9% 0.0% -11.0% 0.0% -7.6% 0.0% -5.3% -0.4% -5.7% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% -1.3% -1.3% -0.3% -0.3% 0.0% 0.0% 0.0% 0.0% -7.3% -7.1% -5.3% -5.2% 0.0% 0.0% -5.6% -5.5% -2.0% -2.0% -2.3% -2.2% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% -4.3% -4.2%
  25. 25. -6.4% -6.3% -1.1% -1.1% -2.1% -2.1% -8.6% -8.5% -8.6% -9.4% -8.6% -6.3% -8.6% -2.9% -2.1% 0.0% 0.0% 0.0% 0.0% 0.0% -2.0% -1.9% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% -1.4% -1.4% -5.3% -5.3% -2.1% -2.1% -10.0% -9.9% -10.0% -9.9% -10.0% -14.6% -10.0% -17.3% -10.0% -13.6% -10.0% -15.0% -10.0% -13.5% -10.0% -10.8% -10.0% -9.1% -7.9% -7.0% -13.0% -12.1% -13.0% -19.2% -13.0% -26.6% -13.0% -21.9% -13.0% -23.6% -13.0% -25.7% -13.0% -26.1% -13.0% -26.9% -13.0% -32.6% -13.0% -35.4% -13.0% -39.0% -13.0% -41.3% -13.0% -40.5% -13.0% -47.2% -13.0% -39.4% -13.0% -37.1% -13.0% -38.5% -13.0% -38.3% -13.0% -40.8% -13.0% -41.5% -13.0% -43.2% -13.0% -51.0% -13.0% -51.6% -13.0% -53.0% -13.0% -54.3% -13.0% -51.2%
  26. 26. -13.0% -52.5% -13.0% -51.0% -13.0% -52.1% -13.0% -55.4% -13.0% -58.0% -13.0% -58.7% -13.0% -58.9% -13.0% -62.1% -13.0% -64.2% -13.0% -64.3% -13.0% -60.6% -13.0% -65.5% -13.0% -66.7% -13.0% -68.2% -13.0% -70.1% -13.0% -69.8% -13.0% -65.8% -13.0% -66.1% -13.0% -67.7% -13.0% -65.2% -15.8% -66.3% -15.8% -65.2% -22.7% -68.0% -22.7% -68.6% -22.7% -67.1% -20.7% -66.3% -19.2% -65.7% -11.5% -62.5% -5.9% -60.2% -8.3% -61.2% -15.5% -64.2% -11.0% -62.3% -13.6% -63.4% -7.5% -60.8% -3.7% -59.3% -1.8% -58.5% -0.9% -58.1% 0.0% -57.1% -2.2% -58.0% -1.1% -57.5% 0.0% -55.0% 0.0% -54.7% -1.8% -55.5% -0.5% -54.9% 0.0% -52.9% -0.4% -53.1% 0.0% -50.8% 0.0% -50.0% 0.0% -47.3% 0.0% -46.8% 0.0% -45.6% 0.0% -42.5% 0.0% -41.8% -4.4% -44.4% -10.7% -48.0%
  27. 27. 不同周數之平均線買賣系統與買入並持有之數據1995- 平均線系統 4 8 12 16 20 24 28 32 開始本金(000s) 100 100 100 100 100 100 100 100 現值(000s) 1,044 1,262 1,628 1,524 1,323 1,339 1,213 960 盈利% 943.59% 1162.06% 1527.78% 1424.16% 1222.72% 1239.28% 1113.06% 859.80% 年度化盈利% 17.41% 18.94% 21.03% 20.49% 19.33% 19.43% 18.62% 16.74% 參與率% 54.05% 55.42% 55.00% 56.08% 56.98% 56.90% 57.48% 55.28% 交易次數 74 41 32 29 29 25 21 20 平均盈虧% 3.96% 8.16% 11.59% 14.03% 16.21% 19.64% 22.27% 21.44% 平均手持周數 4.97 8.9 11.75 12.9 13.03 15.28 18.38 18.75 獲利之交易次數 32 19 17 12 9 11 9 9 勝出率% 43.24% 46.34% 53.13% 41.38% 31.03% 44.00% 42.86% 45.00% 平均盈利% 13.70% 21.72% 25.52% 39.06% 58.25% 49.06% 56.68% 52.29% 平均手持周數 8.41 14.89 18.06 24.83 32 31.09 37 36.67 最多連輸贏次數 5 5 4 3 1 4 4 2 失敗之交易次數 42 22 15 17 20 14 12 11 失敗率% 56.76% 53.66% 46.88% 58.62% 68.97% 56.00% 57.14% 55.00% 平均虧損% -3.45% -3.55% -4.20% -3.65% -2.71% -3.48% -3.55% -3.81% 平均手持周數 2.36 3.73 4.6 4.47 4.5 2.86 4.42 4.09 最多連贏次數 7 5 3 4 5 5 5 5 最多由高位下跌% -37.97% -33.76% -26.98% -26.92% -28.93% -28.92% -26.95% -29.70% 夏普比率 0.84 0.92 0.99 0.96 0.9 0.9 0.87 0.81
  28. 28. 有之數據1995-現在(表一) 36 40 44 48 52 買入並持有 100 100 100 100 100 100 903 628 593 575 599 477 803.48% 527.74% 492.85% 474.78% 499.32% 377.16% 16.26% 13.39% 12.95% 12.71% 13.04% 11.29% 54.84% 55.01% 54.95% 54.44% 53.36% 100.00% 18 21 20 21 20 1 23.47% 16.64% 16.95% 15.97% 16.64% 409.67% 20.83 17.81 18.65 17.67 18.8 679 7 7 6 6 7 1 38.89% 33.33% 30.00% 28.57% 35.00% 100.00% 66.65% 58.20% 65.96% 64.99% 54.37% 409.67% 44.14 41.86 48.67 50 44.57 729 2 2 2 2 3 N/A 11 14 14 15 13 0 61.11% 66.67% 70.00% 71.43% 65.00% 0.00% -4.01% -4.14% -4.06% -3.64% -3.68% 0.00% 6 5.79 5.79 4.73 4.92 0 6 7 7 7 6 N/A -29.45% -33.67% -34.22% -31.96% -29.67% -70.10% 0.79 0.67 0.65 0.64 0.65 0.52
  29. 29. Position Symbol Shares Entry Date Entry Price Exit Date Exit Price % Change Net Profit Bars Held Long shcomp 174 3/8/1996 573.13 8/30/1996 809.94 41.32 41,204.24 25 Long shcomp 161 9/27/1996 875.53 ### 885.24 1.11 1,563.79 12 Long shcomp 140 2/21/1997 1,017.13 6/6/1997 1,275.30 25.38 36,143.80 15 Long shcomp 146 8/29/1997 1,221.06 9/19/1997 1,184.52 -2.99 -5,334.85 3 Long shcomp 147 ### 1,176.49 ### 1,158.56 -1.52 -2,635.70 5 Long shcomp 147 ### 1,160.77 3/13/1998 1,184.96 2.08 3,556.08 10 Long shcomp 142 3/27/1998 1,223.56 7/3/1998 1,335.13 9.12 15,841.53 14 Long shcomp 153 10/2/1998 1,242.90 12/4/1998 1,219.20 -1.91 -3,626.09 9 Long shcomp 161 3/12/1999 1,158.70 4/23/1999 1,140.00 -1.61 -3,011.52 6 Long shcomp 157 5/21/1999 1,168.72 10/1/1999 1,570.70 34.4 63,111.18 19 Long shcomp 162 1/7/2000 1,516.60 1/14/2000 1,408.85 -7.11 ### 1 Long shcomp 156 1/21/2000 1,465.08 5/12/2000 1,720.61 17.44 39,861.60 13 Long shcomp 151 5/19/2000 1,777.83 9/8/2000 1,959.31 10.21 27,404.09 16 Long shcomp 144 ### 2,047.46 2/9/2001 1,956.97 -4.42 ### 11 Long shcomp 138 3/23/2001 2,053.54 7/6/2001 2,170.52 5.7 16,143.51 15 Long shcomp 171 ### 1,747.99 ### 1,675.51 -4.15 ### 2 Long shcomp 175 3/8/2002 1,640.26 5/17/2002 1,567.50 -4.44 ### 10 Long shcomp 158 6/28/2002 1,732.76 9/6/2002 1,631.38 -5.85 ### 10 Long shcomp 174 1/17/2003 1,478.68 4/25/2003 1,487.15 0.57 1,474.11 13 Long shcomp 170 5/2/2003 1,521.44 6/20/2003 1,529.47 0.53 1,364.42 6 Long shcomp 187 ### 1,397.22 4/23/2004 1,635.50 17.05 44,557.61 20 Long shcomp 216 9/17/2004 1,414.70 ### 1,330.52 -5.95 ### 4 Long shcomp 208 ### 1,379.96 ### 1,356.73 -1.68 -4,832.45 1 Long shcomp 215 2/25/2005 1,312.44 3/18/2005 1,227.40 -6.48 ### 3 Long shcomp 244 7/29/2005 1,083.03 ### 1,141.32 5.38 14,221.55 11 Long shcomp 247 ### 1,127.51 8/4/2006 1,570.15 39.26 ### 31 Long shcomp 237 9/1/2006 1,636.69 6/29/2007 3,820.70 133.44 ### 41 Long shcomp 223 7/20/2007 4,058.85 11/9/2007 5,315.54 30.96 ### 15 Long shcomp 221 1/4/2008 5,361.57 1/18/2008 5,180.51 -3.38 ### 2 Long shcomp 567 12/5/2008 2,018.66 ### 1,954.21 -3.19 ### 1 Long shcomp 549 ### 2,018.46 ### 1,851.52 -8.27 ### 1 Long shcomp 534 1/9/2009 1,904.86 Open Open 59.96 ### 31
  30. 30. Profit/Bar Entry Signal Exit Signal Cum Profit MAE % MFE % ChartScript 1,648.17 41,204.24 -2.92 52.08 MA weekly 130.32 42,768.02 -1.38 38.53 MA weekly 2,409.59 78,911.83 0 44.25 MA weekly -1,778.28 73,576.98 -2.99 2.5 MA weekly -527.14 70,941.28 -1.52 1.81 MA weekly 355.61 74,497.37 0 7.33 MA weekly 1,131.54 90,338.90 0 15.34 MA weekly -402.9 86,712.80 -2.06 3.19 MA weekly -501.92 83,701.29 -1.61 4.01 MA weekly 3,321.64 ### 0 42.03 MA weekly ### ### -7.11 0 MA weekly 3,066.28 ### 0 25.66 MA weekly 1,712.76 ### 0 17.57 MA weekly -1,184.57 ### -4.42 3.8 MA weekly 1,076.23 ### 0 8.26 MA weekly -6,196.96 ### -4.15 0 MA weekly -1,273.28 ### -4.44 1.79 MA weekly -1,601.66 ### -5.85 0 MA weekly 113.39 ### -0.85 8.41 MA weekly 227.4 ### 0 3.6 MA weekly 2,227.88 ### 0 26.58 MA weekly -4,545.94 ### -5.95 1.47 MA weekly -4,832.45 ### -1.68 0 MA weekly -6,094.68 ### -6.48 0 MA weekly 1,292.87 ### 0 12 MA weekly 3,526.86 ### 0 53.45 MA weekly 12,624.65 ### 0 155.38 MA weekly 18,682.75 ### 0 45.44 MA weekly ### ### -3.38 2.3 MA weekly ### ### -3.19 0 MA weekly ### ### -8.27 0 MA weekly 19,673.78 ### 0 79.12 MA weekly
  31. 31. 12星期平均線買賣系統信號(表二) 買入到賣 買入日期 買入價格 賣出日期 賣出價格 變動% 出之交易 周數 9/27/1996 875.53 ### 885.24 1.11 12 2/21/1997 1,017.13 6/6/1997 1,275.30 25.38 15 8/29/1997 1,221.06 9/19/1997 1,184.52 -2.99 3 10/17/1997 1,176.49 ### 1,158.56 -1.52 5 12/19/1997 1,160.77 3/13/1998 1,184.96 2.08 10 3/27/1998 1,223.56 7/3/1998 1,335.13 9.12 14 10/2/1998 1,242.90 12/4/1998 1,219.20 -1.91 9 3/12/1999 1,158.70 4/23/1999 1,140.00 -1.61 6 5/21/1999 1,168.72 10/1/1999 1,570.70 34.4 19 1/7/2000 1,516.60 1/14/2000 1,408.85 -7.11 1 1/21/2000 1,465.08 5/12/2000 1,720.61 17.44 13 5/19/2000 1,777.83 9/8/2000 1,959.31 10.21 16 11/10/2000 2,047.46 2/9/2001 1,956.97 -4.42 11 3/23/2001 2,053.54 7/6/2001 2,170.52 5.7 15 11/30/2001 1,747.99 ### 1,675.51 -4.15 2 3/8/2002 1,640.26 5/17/2002 1,567.50 -4.44 10 6/28/2002 1,732.76 9/6/2002 1,631.38 -5.85 10 1/17/2003 1,478.68 4/25/2003 1,487.15 0.57 13 5/2/2003 1,521.44 6/20/2003 1,529.47 0.53 6 11/28/2003 1,397.22 4/23/2004 1,635.50 17.05 20 9/17/2004 1,414.70 ### 1,330.52 -5.95 4 11/19/2004 1,379.96 ### 1,356.73 -1.68 1 2/25/2005 1,312.44 3/18/2005 1,227.40 -6.48 3 7/29/2005 1,083.03 ### 1,141.32 5.38 11 12/16/2005 1,127.51 8/4/2006 1,570.15 39.26 31 9/1/2006 1,636.69 6/29/2007 3,820.70 133.44 41 7/20/2007 4,058.85 11/9/2007 5,315.54 30.96 15 1/4/2008 5,361.57 1/18/2008 5,180.51 -3.38 2 12/5/2008 2,018.66 ### 1,954.21 -3.19 1 12/19/2008 2,018.46 ### 1,851.52 -8.27 1 1/9/2009 1,904.86 手持 手持 59.96 31
  32. 32. 使用不同平均線買賣系統與買入並時有之年度化回報 ( 圖一 ) 22.00% 20.00% 18.00% 年度化回報 16.00% 14.00% 12.00% 10.00% 4 8 12 16 20 24 28 32 36 40 44 48 52 買入並持有 周數
  33. 33. 12 周平均線買賣系統與上證指數之回報 ( 圖三 ) 藍線 ( 上證指數 ), 綠線 (12 周平均線買賣系統 ) 12 周平均線買賣系統信號 ( 圖
  34. 34. 回報 ( 圖三 ) 平均線買賣系統 ) 平均線買賣系統信號 ( 圖二 )
  35. 35. 12 星期平均線買賣系統與上證指數之每年回報 ( 圖四 ) 150.0% 100.0% 50.0% 回報 0.0% -50.0% -100.0% 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 12 星期平均線買賣系統 上證指數
  36. 36. 12 星期平均線買賣系統與上證指數之最大跌幅 %(Max. Drawdown) 圖五 0.0% -10.0% -20.0% -30.0% -40.0% -50.0% -60.0% -70.0% -80.0% 8/16/1996 10/24/1997 1/1/1999 3/24/2000 6/15/2001 8/30/2002 11/14/2003 1/21/2005 4/14/2006 6/29/2007 8/29/2008 1/5/1996 3/28/1997 6/5/1998 8/13/1999 11/3/2000 1/18/2002 4/11/2003 6/25/2004 9/2/2005 11/24/2006 2/1/2008 4/10/2009 12 星期平均線買賣系統 上證指數

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