應用市場輪廓控制點變化於臺灣期貨指數極短線進場點之行為發現

Abstract

金融市場瞬息萬變，價格走勢往往會受到許多因素所影響，不容易預測其方向，尤其是在市場盤整的時候，投資人如果想要獲利，必須尋找相對低風險的進場點。本研究以市場輪廓理論為基礎，研究市場輪廓圖控制點的位移，透過其與歷史交易日控制點及時間價格機會數量的變化找尋極短線最佳的進出場點，進行實驗與統計分析，期望發現潛在市場的行為知識，能夠幫助交易者在日內極短線交易中創造利潤，並證實臺灣指數期貨市場不符合弱式效率市場假說。 本研究發現歷史交易日之控制點具有參考作為進場點的價值，整體以前五天歷史交易日控制點為參考具有較佳的獲利表現，顯示出控制點具有最多交易者認同價格的特性。在極短線控制點位移到新的價位時，以控制點分隔之時間價格機會數量的差值短時間的變化也具有極短線參考的進場價值，本研究也證實臺指期市場不符合弱式效率市場假說。

With financial market constantly changing, prices are often affected by many factors that we cannot predict its direction especially in the market correction. If investors want to make profits, they can find a relatively low-risk entry points. This thesis is based on Market Profile Theory to research displacement of point of control by its and point of control of historical trading day and also the change of time price opportunities counts to find the best extremely short-term entry and exit points. Finally, this thesis anticipate finding potential market behavioral knowledge through experiments and statistical analysis. That can help traders make profits in a very short-term trading, and confirm the Taiwan stock exchange capitalization weighted stock index(TAIEX) futures market does not meet the weak form efficient market hypothesis. This thesis found the point of control of historical trading day can be the entry point as a reference. The whole historical trading day using the point of control in five days as a reference has better profit performance. It also shows that the point of control has the most traders accept the price properties. When the point of control shifted to the new price in a very short-term, the difference between the time price opportunities counts separated from the point of control also can be the entry point as a reference. It confirmed that TAIEX futures market does not meet the weak form efficient market hypothesis.