前行測試型的交易策略於外匯期貨市場之獲利性研究

Evaluating the Profitability of Trading Strategies with Walk-Forward Analysis in the Foreign Exchange Futures Markets

王友利(Yu-Li Wang) ； 曾文賢(Wen-Hsien Tseng)

《證券市場發展季刊》 26卷3期 (2014/09) Pp. 133-171

https://doi.org/10.6529/RSFM.2014.26(3).4

摘要

本文應用實務交易上九種常見的交易系統，結合隨時間調整參數進行樣本外決策的前行測試分析方法（walk-forward analysis），探討其於六種主要外匯期貨市場之獲利性。研究期間包含2001年5月至2010年10月，將資料以週為單位做決策，並針對樣本外最佳交易系統的獲利表現，進行經定態拔靴處理的白氏真實性檢定（White’s reality check），以避免資料探勘偏頗的問題。在考慮手續費與滑價等交易成本的模擬結果中，本文發現最佳交易系統之樣本外績效，於多個外匯期貨市場皆具有統計上顯著的獲利性。

關鍵字

技術分析 ； 外匯期貨 ； 資料探勘偏頗 ； 白氏真實性檢定 ； 前行測試分析

並列摘要

This paper explores the out-of-sample performances of nine commonly used trading systems with parameter-changing algorithm in six major foreign exchange futures markets. Our research sample covers the period from May 2001 till October 2010 on a weekly basis. In order to correct for data snooping biases, we conduct a stationary bootstrap test developed by White (2000). Considering the proper transaction costs including commissions and slippage, the empirical results indicate that the out-of-sample performances of the best trading systems exhibit statistically significant profitability in most of the foreign exchange futures markets.

並列關鍵字

Technical Analysis ； Foreign Exchange Futures ； Data Snooping ； White's Reality Check ； Walk-Forward Analysis

參考文獻

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