配對交易策略研究－以臺灣50ETF和臺指選擇權為例

Abstract

本篇論文中，我們討論了投資人在長期持有臺灣50ETF的狀態下，配合賣出臺指選擇權買權的配對交易策略，用以對沖下跌風險或是增加獲利。本研究基於兩種不同的投資理念，以修改過的MACD技術分析指標，設計出兩種主要在積極程度上有所差異的交易策略，或能提供不同風險偏好之投資人參考。 在以2003年7月1日起，至2013年12月31日止，共2,616個交易日之歷史資料進行回測後，本研究發現所提出之交易策略，確實能在所用之歷史資料中得到良好之回測績效，並且存在足夠大之參數範圍，使得在其中調整參數將不致大幅影響策略效果與最終績效；換言之，本研究說明了所提出之交易策略，相對於其參數之選擇，具有相當程度的穩定性；因此，我們可以合理預期若依所提出之交易策略實際投資，應可得到所要求之效果。

In this thesis, we discuss the strategies of holding Taiwan Top50 ETF permanently, and investors can sell Taiwan Weighted Index call option to hedge downside risk or make more profit. This study is based on two different investment concepts, using a modified MACD technical analysis indicator to design two strategies which are mainly different in aggressiveness. It might provide a direction for investors. By backtesting from July 1, 2003 to December 31, 2013, totally 2,616 trading days, we discover the strategies which we proposed are substantially profitable. Furthermore, there exists wide ranges of parameters make our strategies accomplished. That is, when parameters in the ranges change a small amount, the performance will not be hugely affected. Hence, the strategies which we proposed are somewhat stable and robust with respect to selection of parameters. Therefore, we can reasonably expect that if we use our strategies in real world, it shall lead to some result we want.