台指順勢搭配調整後均線交易策略;Trend-Following Trading Strategy Based on TAIFEX Adjusted SMA

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题名:	台指順勢搭配調整後均線交易策略;Trend-Following Trading Strategy Based on TAIFEX Adjusted SMA
作者:	江維緒;Chiang, Wei-Hsu
贡献者:	財務金融學系在職專班
关键词:	均線交易策略;加碼策略;金字塔策略;順勢交易;期貨交易策略;Moving Average Trading Strategy;Average Up;Pyramid Trading;Trend-Following Trading;Futures Trading Strategy
日期:	2022-07-25
上传时间:	2022-10-04 11:44:58 (UTC+8)
出版者:	國立中央大學
摘要:	本文以簡單移動平均線為基礎，探討市場參與者，尤其是使用均線交易短期交易者與投機者在交易生涯中，可能存在的移動平均線交易缺點，由於簡單移動平均線的特點是價格有時會在底部或頂點之後一段時間才會觸發買入或是賣出信號，交易者在使用簡單移動平均線的買入或是賣出信號下單時可能遭受立即性拉回的巨大損失，特別是過度槓桿使用交易者，只要微幅回測，可能賠掉的保證金會非常可觀。本文對簡單移動平均線交叉買叫賣出策略做個小變更，看看是手可以擴大利潤或是優化停損產生的成本。再來，與單口交易策略相比，如果我們再將單口契約策略延伸為多口期貨契約即加碼交易策略，就是加碼，效率會如何?如果採取加碼(Average Up, Pyramid Trading)交易策略，可以肯定的是會交易更多次數，並增加交易的負擔，這將反映於上升的交易成本，我們冒更高交易成本和更大拉回風險，即是為了盡可能地將利益最大化，並盡量避免在市場上建立部位後，因為市場的拉回而被掃出場。接著，測試本策略和一般移動平均線交易策略、Buy-and-hold或是特定目標報酬率相比，是否更佳。另一方面，該策略結果和最壞的情況將分別揭露，我們將知道能否生存於市場，即便被市場淘汰了，還能夠帶多少保證金離場。最後總結交易策略的利弊，並以自己慘敗的經驗給讀者提供建議。;This paper is based on simple moving average strategy and investigates the disadvantages of simple moving average strategy that market participants might have in their trading career, short-term traders and speculators especially. Owing to the simple moving average strategy characteristic that price triggers buying or selling signal way behind the bottom or the top sometimes, traders are potentially exposed to huge loss when they place their order with the simple moving average buying and selling signal. Overleveraged traders lose a lot of their margin just because of a little pullback, and this paper is to make a slight change on simple moving average crossover strategy and see whether that could enlarge the profits or improve stop loss cost. Secondly, compare to the single-contract trading strategy, what would the efficiency be like if we replace the single-contract trading strategy with the multiple one? It’s for sure that we are going to trade much more times and increase our burden of cost than we do if we take multi-contract, average up, trading strategy instead of single one which will be reflected in the rise of trading cost. What we risk higher trading costs and heavier downside risks is for maximizing profit as possible and preventing being wiped out from the market pullback in upward trend after we have position in the market. Finally, I would like to demonstrate whether this strategy is significantly better or worse than general moving average strategy, buy and hold strategy or certain rate of return. On the flip side, the results and the worst-case scenario for this strategy would be displayed respectively, and we’ll know whether we survive this. Even if we are eliminated by the market, how much margin is left for us to take away with. Lastly, I will conclude the pros and cons of all these strategies and advise readers empirically with my own fiasco.
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