期貨交易策略探討：價量及技術指標之應用

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題名:	期貨交易策略探討：價量及技術指標之應用
作者:	林淯婷;Lin, Yu-Ting
貢獻者:	財務金融學系在職專班
關鍵詞:	價差;外資未平倉量;MACD;交易策略
日期:	2025-07-11
上傳時間:	2025-10-17 12:04:52 (UTC+8)
出版者:	國立中央大學
摘要:	本文透過台指期加計槓桿的商品特性，搭配策略的操作及停損機制，探討不同策略的交易特性及績效，並與相同資金的買進持有部位進行比較。本文由期現貨價差、外資未平倉量、MACD與均線，分別代表價格、數量、技術指標，作為三種策略的主要條件進行探討，並回測2014年至2024年9月之交易績效，其中MACD與均線策略的整體報酬最高，外資未平倉量策略的單筆報酬偏低且交易次數較多，期現貨價差策略績效則相對保守。最後，在相同資金及相同交易期間下，三者策略與買進持有元大台灣50ETF進行比較，三者策略於1倍槓桿(無槓桿)的績效，皆無法勝過買進持有大盤，而2倍槓桿績效則大幅優於買進持有大盤，故期貨交易策略利於運用槓桿和停損，創造勝於大盤的報酬。 ;This article examines the trading characteristics and performance of various strategies by leveraging the commodity characteristics of Taiwan index futures, along with the operational and stop-loss mechanisms of these strategies. It compares these strategies with buy-and-hold positions using the same capital. In this article, the spot futures spread, open foreign positions, MACD, and SMA, which represent price, quantity, and technical indicators, respectively, are used as the main conditions of the three strategies, and the trading performance from 2014 to September 2024 is tested. The MACD and SMA strategies have the highest overall returns, while the open foreign positions strategy has a low one-off return and a high number of trades, and the spot futures spread strategy has a relatively conservative performance. The performance of the cash and futures spread strategy is relatively conservative. Finally, under the same capital and the same trading period, the performance of the three strategies was compared with that of buying and holding the Yuanta Taiwan 50 ETF. The performance of the three strategies at 1x leverage (no leverage) could not beat that of buying and holding. In contrast, the performance of 2x leverage was significantly better than that of buying and holding. Hence, the futures trading strategy is good for using leverage and stop-loss mechanisms to create better returns than the benchmark.
顯示於類別:	[財務金融學系碩士在職專班] 博碩士論文

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