| 姓名 |
江維緒(Wei-Hsu Chiang)
查詢紙本館藏 |
畢業系所 |
財務金融學系在職專班 |
| 論文名稱 |
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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| 相關論文 | |
| 檔案 |
 [Endnote RIS 格式]
[Bibtex 格式]
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| 摘要(中) |
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。 |
| 摘要(英) |
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. |
| 關鍵字(中) |
★ 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 |
關鍵字(英) |
★ Moving Average Trading Strategy,
★ Average Up
★ Pyramid Trading
★ Trend-Following Trading
★ Futures Trading Strategy |
| 論文目次 |
Content
Abstract…………………………………………...………….………..………….…………...ii
摘要……………………………………………………………………………………….......iii
致謝……………………………………………………………………......…………………..iv
Content…………………………………………………………………………......……….....v
List of Tables……………………………………………………………………......………..vii
List of Figures……………………………………………………………………......……...viii
1. Motivation and Objective…………………………………….…………………………….1
1.1 General Usage of SMA……………………………………….………………….1
1.2 Reason for Adopting Technical Analysis………………………….……………..1
1.3 Motivation………………………………………..……………………………...3
Research Flowchart………………………………………………………………….4
2. Literature Review……………………………..……………………………………………5
2.1 Price-Volume Relationship………………………………………………………5
2.2 Genetic Algorithm With KD and EMA……………………….…………………6
2.3 Short-term MA Indicator……………………………………………………...…6
2.4 Relationship Between Prices and Institutional Investors’ Short Position………..6
2.5 Different Terms of SMA…………………………………………….…………...7
2.6 Individual Traders’ Performance………………………………………………...7
2.7 Trend-Following Trading Strategy……………………………………………....7
3. Futures and Simple Moving Average Introduction…………………….……..……….....9
3.1 TAIFEX……………………………………………………………………….....9
3.2 TAIEX ……………………………………………………………………….......9
3.3 Simple Moving Average (SMA) …………………………………………….....10
3.4 Data ………………………………………………………………………….....11
4. Establishment of Trend-Following Trading Strategy Based on Adjusted SMA……....12
4.1 Strategy Briefing…………………………………………………......................12
4.2 Single-Contract SMA……………………………………………......................14
4.3 Daily Close (1-Day SMA) and SMA……………………………………….......19
4.4 Shorter-term in and Longer-term Out……………………………………….….25
4.5 Filtered Combinations Plus Uptrend Condition………………………………...26
4.6 Strategy Finalizing……………………………………………………………...36
5. Conclusion and Recommendation………….……………………………………….........41
Reference……………………………………………………………………………………..44
Appendix……………………………………………………………………………………..45
List of Tables
Table 3.1 TAIFEX Introduction……………………………………………….………………..9
Table 4.1 Possible Combinations…………………….………………………………………..15
Table 4.2 Combination 5-60 Brief………….…………………………………………………16
Table 4.3 Combination 5-20 Brief.……………………….…………………………………...17
Table 4.4 Combination 20-60 Brief……………………….…………………………………..19
Table 4.5 Summary Table.……………………….…………………………………................19
Table 4.6 Combination C-5 Brief……………………….………………….………………….21
Table 4.7 Combination C-20 Brief……………………….………………….…………..……22
Table 4.8 Combination C-60 Brief……………………….………………….…………..……23
Table 4.9 Summary Table……………………….………………….…………..……………..24
Table 4.10 All Combinations With Deferred Profits(Loss) Taking……………………………25
Table 4.11 All Combinations’ Performance…………………………………………………...26
Table 4.12 Filtered Combinations……………………….………………….…………..……..27
Table 4.13 Combination C-5/C-20Brief…………………………………………………........29
Table 4.14 Combination C-20/5-20 Brief………………………………………………..........30
Table 4.15 Combination C-20/20-60 Brief……………………………………………............31
Table 4.16 Combination C-60/20-60 Brief……………………………………………............32
Table 4.17 Combination 5-60/20-60 Brief…………………………………………….............33
Table 4.18 Unadjusted Combination 5-60/20-60 Brief………………………………………..34
Table 4.19 Adjusted Combinations and Unadjusted 5-60/20-60 combination’s Performance..35
Table 4.20 Whole Strategy’s Performance…………………………………………….............38
Table 4.21 Buy-and-Hold Strategy Briefing…………………………………………………..39
List of Figures
Figure 1.1 Research Flowchart…………………………………………………………..........14
Figure 4.1 Strategy Establishment Flowchart………………………………………………....15
Figure 4.2 Combination 5-60 Performance……………………………………………............16
Figure 4.3 Combination 5-20 Performance……………….............………………..................17
Figure 4.4 Combination 20-60 Performance………………………………….……….............19
Figure 4.5 Combination C-5 Performance………………………………………….................21
Figure 4.6 Combination C-20 Performance………………………………...............................22
Figure 4.7 Combination C-60 Performance………………………………...............................23
Figure 4.8 Combination C-5/C-20 Performance……………………………….……………...28
Figure 4.9 Combination C-20/5-20 Performance……………………………………………..30
Figure 4.10 Combination C-20/20-60 Performance………………..…………………………31
Figure 4.11 Combination C-60/20-60 Performance…………………………………………..32
Figure 4.12 Combination 5-60/20-60 Performance…………………………………………...33
Figure 4.13 Unadjusted Combination 5-60/20-60 Performance………………………………34
Figure 4.14 Short-term Combination Performance…………………………………………...37
Figure 4.15 Long-term Combination Performance…………………………………………...38
Figure 4.16 Buy-and-Hold Strategy Performance…………………………………………….40 |
| 參考文獻 |
Reference
[1] Ciner, C.(2002). Information content of volume: An investigation of Tokyo commodity futures market. Pacific-Basin Finance Journal, Volume 10, Issue2, April 2002, Page 201-215
[2] Chen, G., Firth, M. and Rui, O.M.(2001). The dynamic relation between stock returns, trading volume and volatility. Finanial Review, February 2001, 38, page 153-174.
[3] Wen-Hsiu Kuo, Hsinan Hsu and Chwan-Yi Chiang(2004). Price Volatility, Trading Activity and Market Depth: Evidence from Taiwan and Singapore Taiwan Stock Index Futures Market. Asia Pacific Management Review (2005) 10(1), page 131-141.
[4] Kai-Yun Ku(2018). Day Trading Strategies in Taiwan Stock Index Future by Using Evolutionary Algorithm and Technical Indicators.
[5] Yun-Hsuan Hung(2017). Discussion on the moving average index in trading volumes and stock prices.
[6] 黃億華(Yi-Hua Huang)(2009). 台股應用移動平均線的投資策略
[7] 蘇麗心(Li-Hsian Su)(2015). Short covering strategies and return predictability of investor types.
[8] 高敬恆(Ching-Heng Kao)(2016). The Application of Technical Analysis on Taiwan Stock Futures Market.
[9] Mei-Chen Lin and Kwang-Li Yang(2016). What do individual of TAIFEX Futures learning from their trading activities? Corporate Management Review. Vol 36. No. 2, 2016. Page 31-64.
[10]黃永茂(Yung-Mao Huang)(2020) 多資產期貨投資組合之順勢交易策略(Trend Following Trading Strategy for Multi-Asset Futures Portfolio) |
| 指導教授 |
吳庭斌(Ting-Pin Wu)
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審核日期 |
2022-7-25 |
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