一個多重時間架構與多交易策略的當沖交易系統應用於台指期貨之研究

Abstract

本論文應用多重時間架構與多重策略的交易系統應用於臺灣股價指數期貨當沖交易，並建構一電腦程式交易系統，利用程式語言寫入電腦軟體系統中，藉由程式計算出買賣點，並依其訊號進行買進、賣出或觀望，以觀察此多重時間架構與多重策略的交易系統是否能比單一交易系統來得穩定並從中獲得超額報酬。 我們選定臺灣股價指數期貨(以下簡稱臺股期貨)作為研究標的，以2006/1－2008/12年每筆成交資訊為架構交易系統的期間,並以2009/1-2009/11月為樣本外檢測期間。本交易系統是一個簡單並有固定模式的程式交易策略的，藉此找出臺股期貨適當的交易買賣點，提供交易人一個低風險且穩定獲利之投資參考。 對投資者而言，權衡投資的報酬率以及投資的風險時，如果能在可預期的有限度的風險下，以期求取較高的報酬率，是一個較可以被接受投機方式，因此本研究文以對台灣股價指數期貨當沖交易，避免期貨留倉時遇到不可預期的系統風險，並運用程式交易策略避免人為判斷的不確定行，希望能提供一固定交易模式，做為期貨投資決策時，的一個可獲利的交易系統參考依據。 本論文研究共8種交易策略，並從中選取5種交易策略做為一個投資組合，並用投入資金100萬來計算，比較研究樣本期間內與樣本期間外此投資組合的績效，並探討交易成本對此投資組合的影響。

The purpose of this study attempts to construct a computer programming inta-day trading system applied in TAIFEX, using a Multi-time frame and Multi-strategy technique. The computer software system calculates the point of buying and selling and then sent a special signal to notice the users to buy in, sell out, or just wait. The trading system using Multi-time frame and Multi-strategy technique system is to obtain a stable and abnormal return then single trading system. The research period is last for the three years. Its content contains every tick deal materials in each trading day. Fitness period research period started from January 1, 2006 to December 31, 2008; Test period research period were started from January 1, 2009 to November. 30, 2009. The result showed the trading system could provide a simple and fixed rule to help the user to gain the profit from the futures market. For a investor considering a limited risk and proper return, an intra-day trading system in TAIFEX is acceptable, the intra-day trading can avoid the system risk without keeping open position over night. A computer programming inta-day trading system provided a systematic trading rule that can avoid misjudgement by human decision. This study prove into eight trading strategy, and took five trading strategy into one trading portfolio. Taking the initial investment amount of one million NT dollars, we exam the portfolio performance between the fitness period and test period and compare the trading cost impact of the portfolio.