| dc.description.abstract | The purpose of this article is to discuss the trading strategy of the VIX index (VIX, Volatility). The VIX index is also known as the fear index. When the stock market is excessive panic and the VIX index is soaring, it is often a relatively low point; and the VIX futures with the VIX index as the target also have the characteristics of long-term positive spreads. This article uses VIX to react to excessive fear. Establish relevant trading strategies as timing indicators: use the VIX index as the entry and exit basis for Mini-S&P500 futures, the VIX index announced by the Taiwan Futures Exchange as the entry and exit basis for Taiwan index futures, and the continuous selling strategy of VIX futures. In the research period of this article, the daily data from January 11, 2008 to April 15, 2020 establishes a trading strategy model, supplemented by the technical indicator moving average and the real average interval ATR as the basis for entry and exit and stop loss and profit, Discuss whether the trading strategy constructed with the VIX index as the core has the risk and reward advantages over the buy-and-hold strategy in the time period in units of days.
The research period of this article covers the 2008 financial crisis and the short trend of coronavirus (COVID-19), as well as the long-term stock market bullish trend. This study found that transactions using the VIX index as a timing indicator in daily units do have The ability to hedge gains. Compared with the buy-and-hold strategy, entering the market after the VIX index has soared does have advantages in risk and reward. The continuous selling strategy of VIX futures supplemented by appropriate stop-loss can also be used as a long-term trading strategy, which can be used as a reference for investment decisions of medium and long-term investors. | en_US |