關鍵詞：順勢交易、台指期貨、0050ETF、K棒理論;In Taiwan, stock index becomes volatile as futures settling date approaches. Foreign institutional investors or professional traders know this pattern and often take advantage of it to rip off individual investors. In this paper, we study a trend following trading strategy by using the Taiwan stock index futures contract. We further compare the performance of our strategy with the buy-and-hold performance of Taiwan 50 ETF (0050) by using the daily, 60-min frequency, and 30-min frequency candle stick data. Overall, we find that the investment performance of this trading strategy using stock index futures is much higher than the buy-and-hold strategy using Taiwan 50 ETF (0050). Therefore, the proposed trading strategy can be applied to increase profit, greatly reduce the risk of being stuck in the correction phase. This strategy can also save individual investor’s time to track the market.
Keywords：Trend following strategy, Stock Index Futures, 0050ETF, Candlestick Charts
