在投資領域中，運用基本面或是依據交易程式之結果來進行投資是一件很常見的行為，而在近幾年FinTech的興起，使得投資透過程式交易，更受到矚目。然而過去在投資相關領域中，對於交易程式之策略穩健性並沒有一個完整的驗證流程。且大多數文獻中，大都只有單純透過對交易策略參數變化、對不同技術指標之比較、選取樣本之不同…等這些部分作為探討。雖然這些在實務上都有一定的幫助，但由於是運用所有樣本做的分析，因此其在未來是否有相似的獲利是有待商榷。 因此本研究希望結合移動窗格法、移動平均法與移動窗格的評估方式，建立一套可評估程式交易策略之穩健性的驗證流程，並依據此流程，設計與實作一平台，供投資者作為使用程式交易於實際市場前之驗證交易策略好壞的方式。 而於本研究當中，實證了在不同交易策略的情況下，所採用的移動窗格回測參數的不同，確實會對未來的績效造成影響。而布林通道與雙均線交易策略這兩者中，也驗證了布林通道相較於雙均線策略是較佳的。並且將布林通道測試於台灣50與中型100的67家成分股當中，其中有高達55%的公司顯示布林通道是屬於WFE合格的狀態，這代表布林通道其具備未來之獲利能力。於最後本研究透過這整段流程，完善了整個程式交易於移動窗格驗證的流程。 ;In the field of investment, the use of fundamentals or based on the results of the transaction program to invest is a very common behavior. Over the last few years, the public pay more attention to making investment through the transaction program because of FinTech. However, in the past investment-related areas, there is no complete verification process for the strategic robustness of the transaction program. In most of the literature, only discusses and focuses on the changes of the trading strategy parameters, the comparison of different technical indicators, the selection of different samples, and so on. Although these have some help in investment, it uses all the samples to do the analysis, whether it is similar in the future profit is a question. This research hopes to combine the moving window, moving average method and the evaluation method of moving window to establish a verification process of the profit robustness for evaluating transaction strategy. According to the process, this research will design and implement a platform for analysis. As a method for investor in using the program trading in the actual market before can verify trading strategy is good or bad. This research verifies if the use of the moving window feedback parameters is different, it has an impact on future performance between different trading strategies. Bollinger Bands and the double moving average trading strategies are also verified that the Bollinger Bands is better than double moving average strategy. Bollinger Bands test in Yuanta/P-shares Taiwan Top 50 ETF Index and Yuanta/P-shares Taiwan Mid-Cap 100 ETF of the 67 constituent stocks, show that 55% of the companies their Bollinger Bands are WFE qualified state, which represents the Bollinger Bands are profitable in future. At the end of this research, this process improves the entire program transactions in the moving windows verification process.
