摘要
本研究利用臺灣期貨交易所之臺灣加權指數期貨、金融指數期貨與電子指數期貨之日內交易資料，分別利用價、量之基本分析與移動平均線之技術分析，作為交易準則，檢驗當日沖銷之操作績效。 實證研究發現不論利用成交量或移動平均線作為交易準則，做多均無法獲得一致性之正報酬，而做空有較佳之操作績效。若延長觀測時間，無論是做多或是做空，勝率都在50%以上，代表延長觀測時間能夠增加預測準確性，尤其電子指數期貨在延長觀測時間後，作多與作空均有較佳之操作報酬。而結合價量與移動平均線兩種交易策略，並無法提高交易績效。依本研究之交易準則，做多無法獲得較佳之操作績效，或許可以提供投資人反向交易策略之方向，以獲得較佳之報酬。
並列摘要
Department of finance Ling Tung University Abstract This research uses the intraday trading data of Taiwan Weighted Index Futures, Financial Index Futures and Electronic Index Futures of the Taiwan Futures Exchange, and uses the fundamental analysis of price and volume and the technical analysis of moving averages as trading criteria to test the operation of intraday offset performance. Empirical research finds that no matter using the trading volume or moving average as the trading criterion, long positions cannot obtain consistent positive returns, while short positions have better operational performance. If the observation time is extended, whether it is long or short, the winning rate is above 50%, which means that extending the observation time can increase the prediction accuracy, especially after the electronic index futures extend the observation time, both long and short operations are better operational performance. Combining the two trading strategies of price-volume and moving average cannot improve trading performance. According to the trading principles of this study, it is impossible to obtain better operating performance by going long, and it may be possible to provide investors with the direction of reverse trading strategies to obtain better returns.