- 期刊
Improved Martingale Betting System for Intraday Trading in Index Futures
改良式馬丁格爾投注法應用於指數期貨日內交易
摘要
Martingale betting method originated from roulette, the concept is that if this bet is lost, the next bet will be doubled until a certain win, then the bet will be returned to the original bet amount. Theoretically, under a fair game, this method will definitely win, but in reality, limited by the amount of funds, unfair games (super martingale) and other factors, the Martingale betting method cannot be successful. In this study, we propose an innovative capital management method - the Improved Martingale Betting System (IMBS), which is to change the traditional martingale betting method and add a stop-loss mechanism. The test results of applying it to intraday trading of three major index futures in the United States, Germany and Taiwan show that the IMBS has a significant better performance compared with the transaction without fund management or the transaction using the traditional martingale betting method. Therefore, this paper shows that the improved martingale betting method has extremely high application value in the intraday trading of index futures.
並列摘要
馬丁格爾投注法起源於輪盤賭博，概念是如果本次賭輸則下次投注翻倍直到某次贏了為止才回復原始下注金額。理論上在公平的賭局下，這種方式一定能贏，但在真實情況下，受限於資金數量、非公平賭局等因素，馬丁格爾投注法並不能成功。本研究中我們提出了一種創新的資金管理方法－改良式馬丁格爾投注法（IMBS），是針對傳統馬丁格爾投注法加以改變並加上停損機制。將其運用於美國、德國、台灣三種主要指數期貨日內交易的測試結果顯示，改良式馬丁格爾投注法相較於沒有資金管理的交易或採用傳統馬丁格爾投注法的交易，在績效上有顯著的提升，因此本文顯示改良式馬丁格爾投注法在指數期貨日內交易上具有極高的應用價值。