應用市場輪廓與方向滿意度指標於期貨市場之價格趨勢發現─以台指期貨為例

Abstract

本研究自市場輪廓理論中提領一個邏輯思維，將其量化為一個能夠判斷隔日市場行情漲跌趨勢的指標，命名為方向滿意度指標，同時搭配市場輪廓理論所記載的擺動因子與過度等判斷因子，以台指期貨為標的，利用解決非線性問題的基因演算法搜尋最適解。實驗結果發現，方向滿意度指標能有最高60%的準確率，搭配擺動因子與過度因子後，更能提升至85%的準確率，擁有每口40點的獲利能力，除了證實方向滿意度指標是有效指標，也佐證市場輪廓理論確實能協助投資人判讀市場行情。

We extract a logic from Market Profile and transform it into an indicator named Direction Satisfaction Factor which can forecast market trend of the next day. We also arrange this indicator with Rotation Factor and Excess, use genetic algorithm which is good at solving nonlinear question to search optimum solution based on TAIEX.

From experiment result, we found that Direction Satisfaction Factor has maximal 60 percent of accuracy, and it can be up to 85 percent of accuracy after collaborating with Rotation Factor and Excess, having profitability of 40 points per contract. The experiment not only verified Direction Satisfaction Factor is an useful factor, but also confirmed Market Profile absolutely has the ability to support traders’ interpretation of market trend.