應用市場輪廓理論於台灣指數期貨日內交易策略之研究

Abstract

臺灣交易市場為提供投資人更即時資訊並符合市場需求，臺灣證券交易所於民國100 年元月17日將指數與成交及委託統計資訊揭露頻率由現行的1分鐘縮短為15秒，與亞洲地區交易所接軌。 本研究提出以即時臺灣加權指數期貨日內物理力量變化來作趨勢判定，根據不同之開盤類型制定日內交易策略。 由實驗結果得知，依據開盤類型制定交易策略，可得到較豐厚的獲利，勝率也較顯著。

In order to provide timeliness information and meet the market demand, Taiwan Stock Exchange (TWSE) has increased the frequency of statistical information disclosure on TSEC weighted index from originally 1 minute to 15 seconds on January 17, which is now synchronized with Asia exchanges. This study proposes instant TAIEX Futures physical forces to determine day trend and develop Intraday trading strategies depending on the type of opening. The experimental results show that according to the type of opening to develop trading strategies can be obtained more profit, winning more significant.