多資產期貨投資組合之順勢交易策略

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姓名

黃永茂(Yung-Mao Huang) 查詢紙本館藏

畢業系所

財務金融學系在職專班

論文名稱

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)

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摘要(中)

本論文針對農產品期貨、金屬能源期貨及金融期貨三種類別18種期貨商品，以風險平價理論及帳戶風險比例方式，分配投資組合中各期貨商品的投資權重，形成期貨商品的投資組合，採用雙均線穿越及價格通道突破兩種順勢交易策略，回測1990年至2019年的數據，探討順勢交易策略是否可以創造穩定的正向報酬。研究結果顯示，採用順勢交易策略可以獲得約16 %的平均年化報酬，以及夏普比達到0.7以上，透過不同期間的穩健性測試，本論文設定的順勢交易策略均可以獲得穩定的正向報酬。另外再經由參數最佳化測試得知，判定趨勢的設定並非唯一，在一定的參數範圍內，順勢交易策略仍然可以獲得穩定的正向報酬，顯示順勢交易策略應用在期貨商品的投資組合上，是可行且穩定的交易策略。

摘要(英)

This paper aims at 18 types of futures commodities in three categories: agricultural futures, metal energy futures and financial futures. Based on the risk parity theory and account risk ratio, the weights of each futures commodity in the portfolio are allocated to form a futures commodity portfolio. Using Dual Moving Average Crossover (DMAC) and Price Channel Breakthroughs (PCB) of two trend following trading strategies, back-testing data from 1990 to 2019, and exploring whether trend following trading strategies can create stable positive returns. The research results show that the average annualized return of about 16 % can be obtained by using the trend following trading strategy, and the Sharpe ratio reaches above 0.7. Through the robustness test in different periods, the trend following trading strategy set in this paper can obtain stable positive returns. In addition, through the parameter optimization test, we know that the trend setting is not unique. Within a certain range of parameters, the trend following trading strategy can still obtain stable positive returns, showing that the trend following trading strategy is applied to the futures commodity portfolio, It is a feasible and stable trading strategy.

關鍵字(中)

★ 順勢交易
★ 期貨市場
★ 風險平價
★ 風險比例

關鍵字(英)

★ Trend following strategy
★ Future market
★ Risk parity
★ Risk ratio

論文目次

第一章緒論 ………………………………………………………………………………………………….. 1
第一節研究背景及動機 ………………………………………………………………………1
第二節研究目的 …………………………………………………………………………………… 3
第三節研究架構 …………………………………………………………………………………… 5
第二章文獻回顧 ………………………………………………………………………………………….. 6
第一節順勢交易相關文獻 ………………………………………………………….…… 6
第二節交易成本相關文獻 ……………………………………………………………………8
第三章研究方法 ………………………………………………………………………………………….. 9
第一節策略參考模型……………………………………………………………………………..9
第二節投資組合理論 …………………………………………………………………………… 10
第四章實證研究 ………………………………………………………………………………………….. 15
第一節資料來源與說明 ……………………………………………………………………… 15
第二節順勢交易策略設定 ……………………………………………………………………19
第三節順勢交易策略回測結果 ……………………………………………………… 23
第五章結論 ………………………………………………………………………………………………………. 39
參考文獻 ……………………………………………………………………………………………………………………. 40

參考文獻

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指導教授

吳庭斌(Ting-Pin Wu)

審核日期

2020-7-3

推文