台指期貨交易是眾多投資者首選的交易方式之一，以加權指數為交易標的的台指 期貨有較低交易成本、高財務槓桿、高流動性以及可進行多空交易等特性。因其提供高槓桿的特性，即使只動用少量資金，也能進行交易。如果投資人有良好的交易策略，便有機會可以獲得較高報酬。 在本論文中，運用了移動平均線(MA)、肯特通道技術指標，進行回測2003年至2023年這20年台灣加權指數，透過兩倍槓桿來模擬最佳化交易策略，藉由過往的投資績效設定一個被動收入的長期投資策略，以台灣期貨指數變動透過技術分析決定適當的進出場條件來獲取更高的報酬。 最後，我們提出交易策略，並使用台指期貨不同的交易策略模擬交易。分析與回測後，最終得出的研究結果為在順勢交易下的多單與空單並增加兩倍槓桿後，便能得出最大化的績效報酬。 ;Trading Taiwan Index Futures is one of the preferred methods for many investors. Taiwan Index Futures, which use the Weighted Index as the trading target, offer several advantages, including low transaction costs, high financial leverage, high liquidity, and the ability to engage in both long and short trades. The high leverage feature allows trading with a small amount of capital. With a solid trading strategy, investors have the potential to achieve higher returns.
In this thesis, we employ Moving Average (MA) and Keltner Channel technical indicators to backtest the Taiwan Weighted Index over the past 20 years, from 2003 to 2023. By using double leverage to simulate optimized trading strategies, we aim to establish a long-term investment strategy for passive income based on historical investment performance. The strategy uses technical analysis of the Taiwan Futures Index movements to determine appropriate entry and exit points for higher returns.
Finally, we propose a trading strategy and simulate trading using various strategies for Taiwan Index Futures. After analysis and backtesting, the study concludes that, under trend-following trading with both long and short positions and the application of double leverage, maximum performance returns can be achieved.
