- 學位論文
基於ICT概念構建交易策略對黃金差價合約回測績效之研究
Research on the Backtesting Performance of Gold CFDs Based on Trading Strategies Constructed with ICT Concepts
摘要
本研究旨在探討由Michael Joe Huddleston提出的Inner Circle Trader (ICT) 概念在黃金（XAUUSD）差價合約中的應用及其績效。雖然基於技術指標的交易策略已在學術界廣泛研究，但以ICT概念和價格行為的交易策略在學術研究卻相對較少，特別是缺乏程式交易並回測相結合的研究。本文基於ICT概念的框架，構建出做多和做空交易策略，選擇斐波那契比率作為交易執行的參數，並在不同的時間框架進行觀察。 回測結果顯示，基於ICT概念構建的交易策略能在黃金差價合約市場中實現正向回報，證明ICT概念和基於價格行為分析的交易策略在現代金融市場中的應用價值和有效性。此研究不僅填補了學術領域中相關研究的空白，也為差價合約市場的投資者對相關的交易策略提供了一種新的參考依據，幫助他們更好地捕捉市場機會並優化交易決策。
並列摘要
This study explores the application and performance of the Inner Circle Trader (ICT) concept proposed by Michael Joe Huddleston in the gold (XAUUSD) Contract For Difference (CFD) market. While trading strategies based on technical indicators have been extensively studied in academia, there is relatively little academic research on ICT concepts and price action trading strategies, especially those combined with algorithmic trading back testing. This paper constructs long and short trading strategies based on the ICT concepts, selecting Fibonacci ratios as the parameters for executing trades, and observing across various time frames. The back testing results show that the ICT trading strategy, through its interpretation of market price actions, can generate positive returns in the Gold CFD market. This confirms the applicability and effectiveness of price action-based trading strategies in the financial market. This study not only fills a research gap, but it also provides investors in the CFD market with a new reference point for related trading strategies, potentially enabling them to better capture market opportunities and optimize trading decisions.