台指期貨交易策略之分析

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题名:	台指期貨交易策略之分析
作者:	高嘉邑;Kao, Chia-I
贡献者:	資訊管理學系在職專班
关键词:	台指期貨;效率市場假說;價格指標策略;無多頭新倉策略;無停損策略;混合策略;無價格指標策略;Taiwan index futures;Efficiency market hypothesis;Price pointing strategy;No long new position strategy;No stop-loss strategy;Mixed strategy;No price pointing strategy
日期:	2019-07-02
上传时间:	2019-09-03 15:42:26 (UTC+8)
出版者:	國立中央大學
摘要:	本研究為「台指期貨交易交易策略之分析」，顧名思義為透過程式進行台指期貨歷史資料回測加以分析，找出能夠獲利的策略。了解實際上投資模式的運作、投資工具的運用以至最後歸納出，屬於自己的投資台指期貨模式，不管是避險或是投資方面，以期能有不錯的成效。本著「效率市場假說」的理論，當投資市場的投資人皆為理性投資之下，市場不會有大幅度的獲利。但從市場上分析，絕大多數的投資人皆為非理性投資人，因此有人能從市場上，獲得非常高的報酬；相反的，有投資人在市場上，卻將資金賠得血本無歸。本研究擬定五種策略模：價格指標策略、無多頭新倉策略、無停損策略、混合策略及無價格指標策略，進行短、中、長期佈局的作多新倉 / 平倉進行回測。盈虧結果顯示於不同的區間交易回測所得到的獲利情況不盡相同，透過台股指數長期走勢來看，中、長期交易策略獲利情況，較優於短期交易策略。不同的關鍵因子左右獲利的狀況，當中有設立多頭買進策略及停損策略的短、中、長期策略獲利表現，完全優於未設立這兩項關鍵因子之策略模型，在最適合的時機點作多新倉並於市場趨勢即將改變時平倉獲利了結，或是台指期貨市場突遭逢利空導致劇烈下跌時，有一個安全出場的停損機制，才能在此投資市場得到正向投資結果。 ;This study is called "Analysis of Taiwan Index Futures Market Trading Strategy." As the name implies, by analyzing the historical data of Taiwan Index Futures Market, the study attempts to identify profitable strategies in the market. With the knowledge of actual operations of investment models and the use of investment tools, a model for investing in the market is generated. The model can be used for hedging or simply seeking profitable investments. According to the "efficiency market hypothesis," when all investors in the investment market make only rational investments, making substantial profit or abnormal returns in the market is unlikely. But from the market analysis, most investors are irrational investors. Therefore, some investors can achieve higher profitable returns while others lose money. This study formulates five strategy models: price-pointer strategy, no-long new position strategy, no-stop-loss strategy, hybrid strategy, and no-price point strategy, and carries out short, medium and long-term testing. Profit and loss results show that the profit returns are different for different trading intervals. By observing the long term trend of the market, medium and long-term trading strategies have higher profit returns as compared to short-term strategies. Different key factors determine the profit return. Short, medium and long-term strategies perform much better when the multi-pronged policy and the stop-loss policy are introduced. Exiting the market at the most suitable time point or before the market crashes provides a stop-loss mechanism for safe exit. This mechanism is crucial for having positive investment results in the market.
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