自2006年ProShares推出槓桿型ETF後，其放大標的指數漲跌幅的特性，使槓桿ETF能夠於標的指數上漲時獲得更加豐厚的報酬。然而，這個特性卻也是雙面刃，當標的指數下跌時，槓桿ETF會產生比其追蹤標的更大的損失。因此，該在什麼樣的時機下持有槓桿型ETF，便成為一個值得討論的問題。
本文使用的資料為美國股市代表指數S&P500自1970年至2019年之調整收盤價，並以此模擬出S&P500一般 ETF及S&P500 2倍槓桿型ETF。在持續持有ETF的策略下，利用3大類技術分析方法—支撐與壓力點、RSI指標及KD指標產生的轉換訊號，判斷持有一般ETF或槓桿ETF的時機。以使用上述技術分析之轉換策略所產生的報酬率與買進並持有一般ETF及槓桿ETF兩者比較，模擬結果如下：
1. 市場下跌時，支撐點與KD策略報酬皆差於傳統ETF，無法有效避免虧損，而RSI的停損停利轉出策略則為較佳選擇。
2. 市場漲幅不大時，使用RSI與KD策略的效益大多優於傳統及槓桿ETF，支撐點的報酬則相對不穩定。
3. 市場大漲時，使用3類交易策略幾乎都能取得比傳統ETF更佳的報酬，但支撐點與KD策略之報酬很難勝過槓桿ETF，RSI則有較高比例打敗後者。
4. KD交易策略很容易有高檔鈍化的現象。
5. 轉換標的為傳統ETF與槓桿ETF，和轉換標的為現金與槓桿ETF相比，整體來說，前者在多數時間中有更佳的報酬。

The first leveraged ETF was introduced by ProShares in 2006. Its characteristic of magnifying changes of the benchmark index makes the leveraged ETF generate more return than benchmark index in the upstream surge. However, on the other hand, when the benchmark index tumbles, the leveraged ETF would suffer greater loss than that of the benchmark index, therefore, when to hold a leveraged ETF becomes an important issue.
This study used daily adjusted close of U.S. stock market, S&P500, and data spread from years 1970 to 2019. For comparison, we also exploited the raw data to simulate the ETF and leveraged ETF of S&P500 in these years. Under the strategy that continuously held either the ETF or leveraged ETF, this study used trading signals generated by three categories of technical analysis, i.e., 1) Support & Resistance, 2)Relative Strength Index, and 3)Stochastic Oscillator, to decide when to hold the ETF or leveraged ETF. Finally, this study also compared returns of the strategies conducted by these three categories of technical analysis with those from the simulated ETF and leveraged ETF. Results are as
follows:
1. In years of downstream market, the returns of Support Point and Stochastic Oscillator strategies were worse than thoses of the ETF, indicating that these two categories of strategy couldn’t avoid losses effectively, while on the other hand, Relative Strength Index strategies with stop-profit and stop-loss mechanism could gain the better results.
2. In years of marginally increased market, the Relative Strength Index and Stochastic Oscillator strategies with most of the parameters within them, generated the returns which were higher than those of the ETF and the leveraged ETF returns, but the returns of Support Point strategy with parameters within itself were volatile.
3. In years of upstream market, almost every return produced by three categories of strategy could exceed that from the ETF. But the returns from Support Point and Stochastic Oscillator strategies were hard to surpass that from the leveraged ETF. Only the returns of Relative Strength Index strategy with some parameters had greater chance to overtake that from the leveraged ETF.
4. Within simulation, Stochastic Oscillator strategy is prone to high-grade passivation.
5. Compared with the trading strategy bewteen cash and leveraged ETF, the proposed trading strategy, i.e., bewteen the ETF and leveraged ETF, in general, obtained better returns.

目錄
第一章 緒論..............................................1
1.1 研究背景.............................................1
1.2 研究動機與目的.......................................2
1.3 研究限制.............................................3
第二章 文獻探討..........................................4
2.1 ETF發展狀況及簡介....................................4
2.2 槓桿ETF介紹..........................................6
2.3 技術分析介紹.........................................7
2.3.1支撐與壓力(Support & Resistance) ...................7
2.3.2 RSI相對強弱指標(Relative Strength Index) .........10
2.3.3 KD隨機指標(Stochastic Oscillator) ................11
第三章 研究架構與程序參數.................................13
3.1 研究架構............................................13
3.2 交易策略............................................14
3.2.1支撐點交易策略.....................................14
3.2.2 RSI交易策略.......................................15
3.2.3 KD交易策略........................................17
3.3 參數設定............................................18
3.3.1支撐點參數.........................................18
3.3.2 RSI參數..........................................20
3.3.3 KD參數...........................................20
第四章 模擬分析與結果....................................21
4.1資料分段與基本比較基礎................................21
4.2 模擬結果............................................25
4.2.1支撐點類交易策略分析................................25
4.2.2 RSI類交易策略分析.................................30
4.2.3 KD類交易策略分析..................................38
4.3 轉入轉出標的績效之比較...............................45
第五章 結論與建議........................................47
參考文獻................................................50

表目錄
表2-1被動型/主動型ETF比較.................................5
表3-1 技術指標之參數.....................................20
表4-1各時期基本漲跌幅比較基礎資料.........................21
表4-2 SP-1編號及參數意義.................................25
表4-3 SP-1-1報酬率與基本比較基礎.........................26
表4-4 SP-1-2報酬率與基本比較基礎.........................26
表4-5 SP-1-3報酬率與基本比較基礎.........................27
表4-6 SP-1-4報酬率與基本比較基礎.........................27
表4-7 SP-1-5報酬率與基本比較基礎.........................28
表4-8 SP-1-6報酬率與基本比較基礎.........................28
表4-9支撐點全部交易策略結果整理...........................29
表4-10支撐點全部交易策略結果整理..........................29
表4-11 RSI-1-1報酬率與基本比較基礎.......................31
表4-12 RSI-1-2報酬率與基本比較基礎.......................31
表4-13 RSI-1-3報酬率與基本比較基礎.......................32
表4-14 RSI-1-4報酬率與基本比較基礎.......................32
表4-15 RSI-1-5報酬率與基本比較基礎.......................33
表4-16 RSI-1-6報酬率與基本比較基礎.......................33
表4-17 RSI-2-1報酬率與基本比較基礎.......................34
表4-18 RSI-2-2報酬率與基本比較基礎.......................34
表4-19 RSI-3-1報酬率與基本比較基礎.......................35
表4-20 RSI-3-2報酬率與基本比較基礎.......................35
表4-21 RSI全部交易策略結果整理...........................36
表4-22 RSI全部交易策略結果整理...........................37
表4-23 KD-1-1報酬率與基本比較基礎........................39
表4-24 KD-1-2報酬率與基本比較基礎........................39
表4-25 KD-1-3報酬率與基本比較基礎........................40
表4-26 KD-1-4報酬率與基本比較基礎........................40
表4-27 KD-1-5報酬率與基本比較基礎........................41
表4-28 KD-1-6報酬率與基本比較基礎........................41
表4-29 KD-2-1報酬率與基本比較基礎........................42
表4-30 KD-2-2報酬率與基本比較基礎........................42
表4-31 KD全部交易策略結果整理............................43
表4-32 KD全部交易策略結果整理............................43
表4-33支撐點轉入轉出標的績效比較..........................45
表4-34 RSI轉入轉出標的績效比較...........................45
表4-35 KD轉入轉出標的績效比較............................46

圖目錄
圖2-1全球ETF歷年數量.....................................5
圖2-2 水平線形成之支撐與壓力...............................8
圖2-3 趨勢線形成之支撐與壓力...............................9
圖2-4 移動平均線形成之支撐與壓力...........................9
圖3-1 研究架構..........................................13
圖4-1 1970組S&P500指數走勢..............................22
圖4-2 1980組S&P500指數走勢..............................22
圖4-3 1990組S&P500指數走勢..............................23
圖4-4 2000組S&P500指數走勢..............................23
圖4-5 2010組S&P500指數走勢..............................24
圖4-6 50年組S&P500指數走勢..............................24

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