三關價與逆勢操作系統在台指期當日沖銷之績效: Multicharts程式之應用

The Performance of Intraday Trading in Taiwan Stock Index Futures by Employing Three Critical Prices and Counter Daily Potential: An application of Multicharts Programming

林琮荏(Tsung-Ren Lin)

指導教授 ： 吳博欽

中原大學/商學院/國際經營與貿易研究所/碩士(2012年)

https://doi.org/10.6840/cycu201400175

摘要

中文摘要

　　市場上流傳許多技術分析，卻鮮少見到其統計績效，本文將利用程式交易建構交易邏輯，將市場上較常見到的技術分析進行統計回測，並從中找尋是否能獲得超額報酬。

　　本文將市場常見的兩種支撐壓力技術分析，三關價、CDP逆勢操作系統，進行程式交易回測，當日沖銷以避免隔夜的不確定性風險，採順勢交易策略及對約18項濾網進行探討，找出其中4項進行組合回測，，研究標的為台灣指數期貨(以下簡稱台指期)，樣本內回測時間為(2002/1/1~2009/12/31)，樣本外回測時間(2010/1/1~2012/6/1)，交易成本1000元，實證發現CDP策略D，在10點前進場，加入濾網後不管在樣本內還是樣本外皆能獲得超額報酬(樣本內854800元，樣本外178200元)，說明了解市場特性，進而以策略捕捉，確實可以達到超額報酬，

　　經過程式交易回測統計的結果，給了投資人初步的證據，事先避開負績效的交易策略，以尋求適度風險下的報酬，另一方面使用程式交易可克服人性弱點，進而往穩定獲利邁進。

關鍵字

當日沖銷 ； 台灣指數期貨 ； 程式交易

並列摘要

Abstract

There are many technical analyses on the market; however, it rarely sees the statistical performance. Thus, this article will use program trading to construct the transaction logic, statistical backtesting on the market of common technical analysis

This article is used the common technical analysis of support and resistance- Three Level Price and CDP to statistical backtesting, day trading in order to avoid the risk of uncertainty of overnight, use trend trading strategy and 18 filter to discuss, find four filter to conduct out-of-sample backtesting, research subject is Taiwan Index Future (The following referred to as TX), in-the-sample backtesting time (2002/1/1~2009/12/31), out of sample backtesting time (2010/1/1~2012/6/1), transaction costs is 1000 NT, empirical result finding CDP strategy-D, before 10 AM to creation the position, after with the filter, whether in-the-sample or out-of-sample or not, both can get abnormal return(in the sample:854800NT, out of sample:178200NT), explained to understand the market characteristics, and then to the strategy to capture it, we can really achieve abnormal return.

Program trading back-tested the survey results, given the initial evidence of the investor in advance to avoid the negative performance of trading strategies, to seek abnormal return, on the other hand, the use of program trading can overcome the weaknesses of human nature, and then forward to the stable profit.

並列關鍵字

Day trading ； Programming trading ； Taiwan Index Future

參考文獻

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2. 林典南(2008)使用adaboost之臺股指數期貨當沖交易系統.

English section

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