多重時間架構交易策略對台指期貨之實證

An Empirical Study of Multiple Time Frames Strategies in Taiwan Index Futures Market

姜林杰祐(Chieh-Yow ChiangLin) ； 黃勝友(Sheng-You Huang) ； 曾要維(Yao-Wei Tzeng)

《當代商管論叢》 2卷1期 (2017/12) Pp. 38-60

https://doi.org/10.6852/JCBM.201712_2(1).0003

摘要

本研究以黃勝友(2003)所設計的乾坤輪與Alexander Elder(1986)所提出的三重濾網交易系統為基礎，建構一「多重時間架構之交易策略」，針對台灣期交所股價指數期貨進行回測。本研究所採用之時間架構包含週、日、時三種週期，再利用不同技術指標偵測多空訊號，並綜合作成明確的進出場訊號。實證結果發現，一般技術指標所建構的交易策略以KD指標表現最佳，平均報酬率顯著大於零，其他技術指標則否；而在所有一般技術指標策略中，多重時間架構策略下所獲得之平均報酬率，皆不顯著高於單一時間架構下所建構的交易策略平均報酬率。在本研究進一步加入波動度濾網及停損機制後，實證結果顯示能提升策略績效，其中以懶人線所計算的寶塔線指標策略之平均報酬率為最高。

關鍵字

乾坤輪 ； 三重濾網交易系統 ； 多重時間架構

並列摘要

Based on ＂Timepipe＂ invented by Sheng-You, Huang and ＂Triple Screen System＂ developed by Alexander Elder, we developed a ＂multiple time frames strategies＂ and focused on data of Taiwan Futures Exchange from June 2015 to December 2016. In this study, there are three time frames in our empirical system, regarding 60-min as short period, 300-min as middle period and 1500-min as long period. We adopt Tower, MA, MACD, KD and Williams' Oscillator to detect trade signals at first. Then, we used the frame of long period and middle period to find long-term and midlle-term trend. If long-term trend was the same with the middle trend, we traded. Finally, if short-term trend was different from long-term trend, we closed our position. In the total sample period, the results indicated that KD Oscillator kept the best performance and its average rate of return was significantly greater than zero. In addition, the multiple time frame strategy with KD Oscillator and stop loss mechanism earned significant profit.

並列關鍵字

Timepipe ； Triple Screen System ； Multiple time frame