| 摘要: | 退休金的數額對退休後的生活品質有著重大影響，僅依賴社會保險和企業提供的退休金是無法實現理想的退休生活。因此，在工作累積期間早期啟動退休計劃，選擇合適的退休金投資工具至關重要。投資工具繁多，其中期貨屬於衍生性金融商品，通常不被視為退休金投資工具的選項。然而，工具本身並無優劣之分，以加權指數為交易標的的台指期具有低交易成本、高財務槓桿、高流動性以及可進行多空交易等特性。本研究在探討當放大台指期的優點，同時縮小槓桿所帶來的風險，是否就能作為長期穩健報酬的工具？ 本研究以2003年至2022年的台指期數據為樣本，運用隨機指標(KD)、相對強弱指標(RSI)、移動平均線(MA)、指數平滑異同移動平均線(MACD)、乖離率(BIAS)以及布林通道(Bollinger Bands)等技術指標，透過1倍、1.5倍和2倍槓桿倍數來模擬和最佳化交易策略，並將其與長期持有加權指數(含息)的報酬和風險進行回測比較。實證結果顯示，對於1倍槓桿交易策略，長期持有加權指數(含息)是最佳選擇；而對於1.5倍和2倍槓桿交易策略，布林通道指標的交易策略表現較為優秀。特別是對於1.5倍槓桿交易策略，它不僅能夠在可接受的風險範圍內控制風險，同時還能夠放大投資報酬。因此，建議可將布林通道指標的1.5倍槓桿多空操作策略作為退休金投資累積的一個工具。
;The amount of your pension has a significant impact on your quality of life in retirement, and relying solely on social insurance and corporate pensions is not enough to achieve an ideal retirement. Therefore, it is important to start your retirement plan early in your working life and choose the right pension investment vehicle. There are a variety of investment instruments, among which futures are derivative financial instruments and are not usually considered as an option for pension investment instruments. However, there is no superiority or inferiority of the instrument itself, and the TAIEX futures, has low transaction costs, high financial leverage, high liquidity and the ability to trade long or short. The study also examines whether the advantages of the TAIEX futures and the risks associated with the reduction in leverage can be used as a tool for long-term stable returns？ This study uses the TAIEX futures period data from 2003 to 2022 as a sample, and uses technical indicators such as stochastic index (KD), relative strength index (RSI), moving average (MA), exponential smoothed moving average (MACD), deviation ratio (BIAS), and Bollinger Bands to Simulates and optimizes trading strategies with 1x, 1.5x and 2x leverage multiples and compares them back to the return and risk of holding a TAIEX (including interest) over the long term. The empirical results show that for 1x leveraged trading strategy, long-term holding of the TAIEX (including interest) is the best choice, while for 1.5x and 2x leveraged trading strategies, the Bollinger Bands are the best performers. Especially for the 1.5 times leveraged trading strategy, it can not only control the risk within the acceptable risk range, but also can magnify the investment return. Therefore, it is recommended that the Bollinger Bands′ 1.5x leveraged long-short strategy be used as a tool for pension accumulation. |
