隨著時代的改變過去人們累積財富的方式，已經不能再讓人們累積財富了，因此我們需要將努力賺來的錢拿去投資，而在台灣投資理財的管道中股票是最熱絡的一種，因此本研究以台灣上市公司的股票為研究對象，研究期間為2005年3月初至2006年2月底為止。

本研究嘗試使用統計製程管制方法中最具理論背景的管制圖，將其應用於股票市場的研究上。主要是採用EWMA管制圖和GWMA管制圖為應用工具，當資料超過管制圖的上下界限時，將之視為交易訊號。本研究採用模擬交易的方式，比較兩種管制圖在固定ARL=500的情況下不同參數的結果。

在全部方法中以GWMA管制圖在參數q=0.8,alpha=0.75,L=3.001的時候擁有最高的平均總報酬率。

As the time goes by, the past method to accumulate wealth won’t let people accumulate wealth, so we must invest. In Taiwan, the stock is the most popular investment; therefore this research will focus on the Taiwan stock exchange market from 2005 March to 2006 February.

This research will use the EWMA and GWMA control charts to monitor the stock price. When the data is out of the control limits, we take it as a trading signal. This research will compare the achievement of two control charts with different parameters when ARL is 500.

The GWMA control chart with parameters q=0.8,alpha=0.75,L=3.001 has the highest average total reward rate in all the methods.

[1] Albin, S. L., Kang, L. and Shea G., “An X and EWMA Chart for Individual Observations,” Journal of Quality Technology, Vol. 29, No. 1, pp. 41-48, 1997.
[2] Borror, C. M., Montgomery, D. C. and Runger, G. C., “Robustness of the EWMA Control Chart to Non-normality,” Journal of Quality Technology, Vol. 31, No. 3,
pp. 309-316, 1999.
[3] Box, G. E. P., and Cox, D. R., “An Analysis of Transformations,” Journal of the Royal Statistical Society, series B (Methodological), Vol. 26, No. 2, pp. 211-246, 1964.
[4] Champ, C. W. and Rigdon, S. E., “A Comparison of the Markov Chain and the Integral Equation Approaches for Evaluating the Run Length Distribution of Quality Control Charts,” Communication in Statistics: Simulation and Computation, Vol. 20, No. 1, pp. 191-204, 1991.
[5] Crowder, S. V., “A Simple Method for Studying Run-Length Distributions of Exponential Weighted Moving Average Charts,” Technometrics, Vol. 24, No. 4,
pp. 401-407, 1987.
[6] Crowder, S.V., “Average Run Length of Exponentially Weighted Moving Average Control Charts,” Journal of Quality Technology, Vol. 19, No. 3, pp. 161-164, 1987.
[7] Crowder, S. V., “Design of Exponential Weighted Moving Average Schemes,” Journal of Quality Technology, Vol. 21, No. 3, pp. 155-162, 1989.
[8] Fama, E. F., “The Behavior of Stock-Market Prices,” Journal of Business, Vol. 38, No. 1, pp. 34-105, 1965.
[9] Gan, F. F., “Designs of One- And Two- Sided Exponential EWMA Charts,” Journal of Quality Technology, Vol. 30, No. 1, pp. 55-69, 1998.
[10] Gan, F. F. and Chang, T. C., “Computing Average Run Lengths of Exponential EWMA Charts,” Journal of Quality Technology, Vol. 32 , No. 2, pp. 183-187, 2000.
[11] Harris, T. J. and Ross, W. H., “Statistical Process Control Procedure for Correlated Observations,” Canadian Journal of Chemical Engineering, Vol. 69, No. 1, pp. 48-57, 1991.
[12] Henderson A. R., “Testing Experimental Data for Univariate Normality,” Clinica Chimica Acta, Vol. 366, No. 1, pp. 112-129, 2006.
[13] Klein, M., “Composite Shewhart-EWMA Statistical Control Schemes,” IIE Transactions, Vol. 28, No. 6, pp. 475-481, 1996.
[14] Klein, M., “Modified Shewhart-EWMA Control Charts,” IIE Transactions,
Vol. 29, No. 12, pp. 1051-1056, 1997.
[15] Lu, C. W. and Reynolds, M. R. Jr., “EWMA Control Charts for Monitoring the Mean of Autocorrelated Processes,” Journal of Quality Technology, Vol. 31, No. 2, pp. 166-188, 1999.
[16] Lucas, J. M. and Saccucci, M. S., “Exponentially Weighted Moving Average Control Schemes: Properties and Enhancements,” Technometrics, Vol. 32, No. 1,
pp. 1-12, 1990.
[17] Montgomery, D. C. and Mastrangelo, C. M., “Some Statistical Process Control Methods for Autocorrelated Data,” Journal of Quality Technology, Vol. 23, No.1,
pp. 179-193, 1991.
[18] Montgomery, D. C., Introduction to Statistical Quality Control, 5th edition, John Wiley & Sons, Inc. , New York, 2005.
[19] Nelson, L. S., “The Shewhart Control Chart-Test for Special Causes,” Journal of Quality Technology, Vol. 16, No. 4, pp. 237-239, 1984.
[20] Roberts, S. W., “Control Chart Tests Based on Geometric Moving Averages,” Technometrics, Vol. 1, No. 3, pp. 239-250, 1959.
[21] Sheu, S.H. & Lin, T. C., “The Generally Weighted Moving Average Control Chart for Detecting Small Shifts in the Process Mean,” Quality Engineering ,
Vol.16, No. 2, pp. 209-231, 2003.
[22] Steiner, S. H., “EWMA Control Chart with Time-Varying Control Limits and Fast Initial Response,” Journal of Quality Technology, Vol. 31, No. 1, pp. 75-86, 1999.
[23] Stoumbos, Z. G. and Reynolds, M. R. Jr., “Robustness to Non-Normality and Autocorrelation of Individuals Control Charts,” Journal of Statistical Computation and Simulation, Vol. 66, No. 2, pp. 145-187, 2000.
[24] VanBrackle, L. N. and Reynolds, M. R. Jr., “EWMA and CUSUM Control Charts in the Presence of Correlation,” Communication in Statistics: Simulation and Computation, Vol. 26, No. 3, pp. 979-1008, 1997.
[25] Wardell, D. G., Moskowitz, H. and Palnte, R. D., “Run-Length Distributions of Special-Cause Control Charts for Correlated Processes,” Technometrics, Vol. 36,
No. 1, pp. 3-17, 1994.
[26] Western Electronic, Statistical Quality Control Handbook, Western Electric Corporation, Indianapolis, 1956.
[27] Wilson, J. H. and Keating B., Business Forecasting, 5th edition, John Galt Solutions, Inc., Chicago, 2007.
[28] Zhang, N. F., “A Statistical Control Chart for Stationary Process Data,” Technometrics, Vol. 40, No. 1, pp. 24-38, 1998.
[29] Bodie, Z.、Kane, A.和Marcus A. J. 原著，林哲鵬 譯，投資學，第五版，美商麥格羅．希爾國際股份有限公司 台灣分公司，台北，2005。
[30] Kiyosaki, R. T.和Lechter, S. L. 原著，楊軍和楊明 譯，富爸爸，窮爸爸，高寶國際股份有限公司，台北，2000。
[31] Kiyosaki, R. T.和Lechter, S. L. 原著，龍秀 譯，富爸爸，有錢有理，高寶國際股份有限公司，台北，2001。
[32] 吳姿瑤，「國內開放式股票型基金在分類與預測模式比較之研究」，成功大學統計研究所碩士學位論文，2005。
[33] 徐雅甄，「EWMA管制圖對自相關性製程的常態假設穩健性之研究」，交通大學統計研究所碩士學位論文，2003。
[34] 康富森，「個別值EWMA管制圖於非常態分配下之研究探討」，淡江大學統計研究所碩士學位論文，2001。
[35] 張家豪，「Box-Cox常態轉換之診斷」，成功大學統計研究所碩士學位論文，2005。
[36] 梁正杰，「以管制圖應用於個股價量研究」，台北科技大學商業自動化與管理研究所碩士學位論文，2003。
[37] 陳必達，「自我相關環保管制圖的比較研究—以台北地區空氣污染資料為例」，成功大學統計研究所碩士學位論文，2003。
[38] 陳勁帆，「EWMA管制圖應用在股票市場成交量的分析—以台灣五十指數之電子股為例」，台灣科技大學工業工程與管理研究所碩士學位論文，2005。
[39] 陳國玄，「人工神經網路與統計方法應用於台灣上市電子類股價指數預測與分類之研究」，成功大學統計研究所碩士學位論文，2004。
[40] 黃東憫，「統計品質管制方法在股票市場的應用」，中正大學應用數學研究所碩士學位論文，2001。
[41] 劉玫瑰，「非常態分配數據轉換之研究」，元智大學工業工程與管理研究所碩士學位論文，2004。