台灣加權股價指數期貨當沖交易之追漲殺跌策略研究

Abstract

本研究以「追漲殺跌」的概念輔以程式化的操作，於台灣加權股價指數期貨市場中，試圖找尋一套能獲取超額利潤之策略模型，幫助投資人獲利。其中，程式化的操作協助投資人克服交易時的眾多心理偏誤，能確切的執行交易策略。本研究使用年報酬率、年化標準差、獲勝率、策略夏普值等指標衡量策略的表現，並與同期間加權股價指數比較，觀察策略之優劣與特性。 研究發現，策略的報酬率大於同期間指數的表現，驗證期貨市場不具有弱式效率性；但年複合報酬率僅7.38%，若以絕對報酬來看，在利率高漲時期，此結果無法滿足多數投資人的需求，且此策略亦容易被其他投資工具所取代。未來研究方向是希望再改進濾嘴、停損等參數後，期許未來能作為實際可行的交易策略，並應用於市場上。

Using the concept of ”buy high and sell low” with programmed trading, I try to find out a strategic model that can earn abnormal return in Taiwan Futures Exchange. Programmed operation can help investors prevent psychological bias and perform trading strategies precisely. I use annual return, annualized standard deviation, odds ratio and sharp ratio to evaluate the performance of our strategy, and compare it with weighted stock index in the same period. The advantages, disadvantages and characteristics of programmed strategy are also discussed. I find that the return from our strategy is better than that of stock index in the same period. The result verifies that futures market doesn’t comply with weak form of efficient market hypothesis. However, the annualized return from our strategy is only 7.38%, which cannot meet the expectation of most investors. I suggest that future studies can take account of filter variation and stop-loss rule.