順勢交?策?應用： 以台指期貨與元大寶來台灣50卓越基金(0050)為例

NCUIR > School of Management at National Central University > Executive Master of Finance Management > Electronic Thesis & Dissertation > Item 987654321/86209

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/86209

Title:	順勢交?策?應用：以台指期貨與元大寶來台灣50卓越基金(0050)為例
Authors:	李欣翰;Li, Hsin-Han
Contributors:	財務金融學系在職專班
Keywords:	順勢交易;台指期貨;0050ETF;K棒理論;Trend following strategy;Stock Index Futures;0050ETF;Candlestick Charts
Date:	2021-07-26
Issue Date:	2021-12-07 12:16:58 (UTC+8)
Publisher:	國立中央大學
Abstract:	台灣加權股市交易常常因期貨結算而出現大幅波動的情形。外資機構法人及主力也清楚，因此常利用此優勢在技術分析上容易去做假突破及跌破的騙線，讓散戶投資人容易追高殺低。本文研究以順勢交易為主，利用台指期建構策略，針對台指期指數與元大寶來台灣50卓越基金(0050)做績效比較，看能否把追高殺低的概念套用在交易策略上，使其策略交易報酬率優於0050單一部位長期持有的報酬率，本研究只用單一指標K棒進行策略回測檢驗，分別利用日K棒、60分K棒、30分K棒去做比較。關鍵詞：順勢交易、台指期貨、0050ETF、K棒理論;In Taiwan, stock index becomes volatile as futures settling date approaches. Foreign institutional investors or professional traders know this pattern and often take advantage of it to rip off individual investors. In this paper, we study a trend following trading strategy by using the Taiwan stock index futures contract. We further compare the performance of our strategy with the buy-and-hold performance of Taiwan 50 ETF (0050) by using the daily, 60-min frequency, and 30-min frequency candle stick data. Overall, we find that the investment performance of this trading strategy using stock index futures is much higher than the buy-and-hold strategy using Taiwan 50 ETF (0050). Therefore, the proposed trading strategy can be applied to increase profit, greatly reduce the risk of being stuck in the correction phase. This strategy can also save individual investor’s time to track the market. Keywords：Trend following strategy, Stock Index Futures, 0050ETF, Candlestick Charts
Appears in Collections:	[Executive Master of Finance Management] Electronic Thesis & Dissertation

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