摘要 本文探討市場主力交易行為,其中以台灣加權指數(簡稱大盤指數)為研究藍本,市場主力本文以專業投資機構(俗稱法人)為研究行為對象,並以台灣證券交易所與台灣期貨交易所之資料所揭示之前十大交易人(交易類別為法人,以下同)期貨淨部位(淨多單或淨空單)變化作為觀察趨勢多空判斷。並以移動平均法對大盤指數、大盤指數報酬率、期貨淨部位數與多空買賣比作為數值調整後,進一步以改良式凱利公式模擬實證其報酬分析。 本文收錄2011年致2014之台灣加權指數之日收盤行情並計算大盤指數移動平均報酬率,以及台灣期貨交易所所公告十大交易人盤後資料並計算移動平均淨部位數與移動平均多空買賣比後,在輔以改良式凱利公式作為模擬實證操作策略報酬率後,假設淨部位數一萬口以上與投入資金部位比率>0兩項條件後,藉由以上實證確實這樣的操作策略長期有效性。 關鍵詞:十大交易人、淨部位、移動平均法、改良式凱利公式
Abstract This paper discussed the main market transactions in the high-grade zone and low-grade zone of extreme market, with Taiwan Weighted Index as the research blueprint and professional investment institutions (commonly known as Corporation) as the behavioral object of the research. The variation of features net position (multiple or clearance) of TOP10 traders (transaction type is corporation,same as below) revealed in data published by Taiwan Stock Exchange and the Taiwan Futures Exchange was considered as the viewing judgment of net position trends. Moving Average Method was used to adjust the values of the market index, the market index returns, the number of futures net, and the sales ratio, after which the improved Kelly Formula was used to simulate and verify its return analysis. The daily closing prices of Taiwan Weight Index between 2011 and 2014 which were used to calculate moving average market index return and the after-hour data of TOP10 traders published by Taiwan Features Exchange which was used to calculate numbers of moving average net position and average sales rate were collected in this paper. As supplement, the improved Kelly Formula was used to simulate and verify its operation strategy return rate. Assuming the number of net position is above 10,000 and also the investment fund ratio is > 0, according to above verification, the operation strategy is long-term effective. Keywords:future top ten traders、net position、moving average、the improved Kelly Formula
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