進場和出場何者重要？應用於台指期貨之實證研究

Entry Regulation and Exit Regulation what is More Important? An Evidence in TAIEX Futures Market

許江河(Philip Hsu) ； 陳緹潔(Ti-Jie Chen)

《國立虎尾科技大學學報》 31卷3期 (2013/09) Pp. 1-10

https://doi.org/10.6425/JNHUST.201309_31(3).0001

摘要

自1998年7月21日正式由台灣期貨交易所（TAIFEX）推出台灣加權股價指數期貨後，交易量節節攀升，已占台灣金融市場所有商品交易量相當大的比例，而從中獲取超額報酬是投資人的最終目標。對所有投資人來說，投資決策中最重要的三大要件為：買賣何種標的、何時進場、何時出場。其中進出場位置確實是獲利的關鍵，一般投資大眾的普遍認知是進場點很重要、一些財經節目與相關書籍也都幾乎著墨於和進場點有關的知識而忽略出場點，到底進場和出場孰較重要呢？本研究以2001年1月至2012年4月的近月份台指期貨日資料為標的，比較在相同出場條件下最佳參數進場策略與隨機性模擬進場策略的績效，另一方面，也比較在相同進場條件下最佳參數出場策略與隨機性模擬出場策略的績效。實證結果顯示，考慮稅及交易成本之後，最佳參數進場策略沒有優於隨機性模擬進場策略且有規則的最佳化出場策略優於隨機模擬出場策略，也就是說出場比進場重要。

關鍵字

台指期貨 ； 最佳參數 ； 隨機模擬 ； 進出場

並列摘要

The TAIFEX launched officially Taiwan Stock Index Futures 21 July 1998, trading volume steadily climbed and trading volume of all goods accounted fairly large proportion in Taiwan's financial markets, the ultimate goal of investors from which to obtain excess return. For all investors, the most important of the three elements investment decisions: buy what the subject, when to enter, when to exit. The location of the entry and exit is indeed the key to profit. Common perception of the general investor is very important of entry point. Some financial programs and related books are almost notice knowledge relevant entry points, and ignore the exit point. Entry regulation and exit regulation what is more important? The data used is the daily TAIEX Futrues and spans from January 2001 to April 2012. We investigate the performance of two strategies, which have same exit but different entry regulation. The one which entry and exit regulation is conducted by optimal parameters would be compared with the random simulation strategy, which entry timing is randomly selected. On the other hand, we compare the performance of two strategies, which have same entry but different exit regulation. The one which entry and exit regulation is conducted by optimal parameters would be compared with the random simulation strategy, which exit timing is randomly selected. After considering the transaction costs, the empirical result shows that the return-risk ratio of the random simulation strategy is statistically greater than that of the optimized strategy. It indicates that the entry regulation seems not as important as people think. And the return-risk ratio of the optimized exit strategy is statistically better than that of the random simulation strategy, that is to say, exit is important than entry.

並列關鍵字

TAIEX Futures ； the best parameters ； random ； entry and exit

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