K線運用於比特幣交易的獲利性分析

本研究就以BitMex交易所作為研究對象，以BitMex交易所所提供至2018年日內交易資料來探討，投資人是否在BTC期貨各種三紅K或三黑K介入，並分析上述這些現象出現介入後是否有獲利的契機。在本研究中當沖的介入策略有八種: 連續漲幅三紅與連續漲幅0.1%、0.2%、0.3%，分別在三紅K及三黑K。出場策略有停損不停利可分為二種：(-5%, ∞)與(-10%, ∞)；停利不停損可分為二種：（-∞, 5%)與(-∞, 10%)，共有32種策略組合的盈虧分析，並且有獲利空間。此外由於本研究的研究設計採用當日平倉策略，可防範在比特幣價格全球市場二十四小時急漲急跌下的持倉風險。而結果顯示某些組合是有獲利的可能性，發現採取連續跌幅0.3%的三黑K停利不停損(-∞, 10%)，獲利報酬是最高的。但如考量交易次數過少，亦可考量於停利不停損平倉策略下三黑K（-∞, 5%)及三紅K介入 (-∞, 10%)參數加大籌碼進行交易。因此在不同狀況下所應採行的介入交易策略或平倉策略亦應有所不同策略，需要審慎的觀察以及數據判斷分析，才有較大的機會在期貨市場上獲取利潤。

關鍵字

比特幣；期貨交易；日內交易；投資策略

並列摘要

Abstract: This study uses the BitMex exchange as the research object, using the intraday trading data provided by the BitMex exchange to 2018 to discuss whether investors have intervened in various three red K or three black K in BTC futures, and analyzed the above phenomena after intervention Is there any opportunity for profit? In this study, there are eight intervention strategies of Dang Chong: three consecutive gains and three consecutive gains of 0.1%, 0.2%, and 0.3%, respectively in three red K and three black K. There are two types of stop-loss and stop-loss in the exit strategy: (-5%, ∞) and (-10%, ∞); stop-loss and stop loss can be divided into two types: (-∞, 5%) and ( -∞, 10%), a total of 32 strategy combinations of profit and loss analysis, and there is room for profit. In addition, because the research design of this study adopts the same day closing strategy, it can prevent the risk of holding positions in the global market of Bitcoin prices rising rapidly and falling in 24 hours. The results show that some combinations are likely to be profitable, and it is found that with a continuous decline of 0.3%, the three black K stop profits and stop losses (-∞, 10%), the highest profit return. However, if the number of transactions is too small, Eco considers the three black K (-∞, 5%) and three red K intervention (-∞, 10%) parameters under the stop-loss and stop-loss closing strategy to increase the bargaining chips for trading. Therefore, intervention strategies or position closing strategies that should be adopted in different situations should also have different strategies. Careful observation and data judgment and analysis are required to have a greater chance of obtaining profits in the futures market.

並列關鍵字

Bitcoin, ； Futures trading ； intraday trading, ； investing strategies

參考文獻

Atsalakis, G. S., Atsalaki, I. G., Pasiouras, F., & Zopounidis, C. (2019). Bitcoin price forecasting with neuro-fuzzy techniques. European Journal of Operational Research, 276(2), 770-780.