運用資訊缺口模型在台指期貨的投機交易實證研究

本研究運用資訊缺口模型，即Information-gap uncertainty模型，以其所預測的價格轉折點為交易指標在台指期貨市場進行投機研究。採用的資料期間為2001年1月至2011年12月的近月份台指期貨連續日資料。實證結果顯示，在考慮交易稅以及交易成本之後，並且採用固定視窗滾動模式以樣本內資料回測出一組最佳參數，以此最佳參數於下一期進行樣本外投機交易，其平均年報酬高達60.11%。同時比較相對於同期間對台指期貨市場採用買進持有的交易策略，其平均報酬率僅10.84%。其次，考慮資訊缺口模型為震盪指標，並不適合運用在順勢交易，因此，為避免該指標遇順勢市場而產生極大虧損，故在回溯測試過程中加入價格停損機制，以減少虧損以及提高績效，實證結果証明加入停損的交易策略確實能夠提升績效，該交易策略的平均報酬率提高為67.68%。最後，經過t統計檢定的檢驗結果顯示，比較模型指標與買進持有的交易策略和比較模型指標與配合價格停損機制的交易策略，這兩組平均報酬率均存在顯著性差異。

關鍵字

台指期貨；資訊缺口；固定視窗滾動模式

並列摘要

In this study, I use the information-gap uncertainty model to predict the turning points of the price series in the TAIEX Futures market and try to apply these turning points to the speculative trade. The data spans from January 2001 to December 2011. Under the framework of a fixed window rolling approach, a backtesting is applied to investigate the in-sample optimal parameters, which would be treated as the out-of-sample parameters for trading in the next period. After considering the transaction costs, the empirical results show that, this approach provides an average annual rate of return of 60.11%. As the information gap model is an Oscillator index, it is not suitable for a trend trade. To avoid a great loss when I use the information gap model in the trend market, I try to add another trading strategy, a price stop-loss trading strategy, I use this strategy to stop loss and increase the average rate of return, after backtesting, the performance of this strategy indeed provides an average annual rate of return of 67.68%. In comparison with the two groups of the performances, the group one is compare to the strategy of information gap model and the strategy of buy and hold of the TAIEX Futures market, and the other group is compare to the strategy of information gap model and price stop-loss strategy of the TAIEX Futures market, the t-test shows that these two groups of the annual rates of return are significant different.

並列關鍵字

TAIEX Futures ； Information-gap uncertainty ； Fixed window rolling

參考文獻

2.Ben-Haim, Yakov, 2005, “Value-at-risk with info-gap uncertainty”, The Journal of Risk Finance, pp.388-406

3.Chao-Hui Yeh, 2012, “The Profitability of Moving Average in Taiwan: A New Anomaly”, International Journal of Business and Social Science, Vol. 3 No. 20

4.Colin J. Thompson, Anthony J. Guttmann and Ben J.P. Thompson, 2008, “Trading indicators with information-gap uncertainty”, The Journal of Risk Finance, pp.467-476

6.Noor Azlinna Azizan, Ibrahim Mohamed and Jacinta Chan Phooi M’ng, 2011, “Profitability of Technical Analysis Indicators: A Study of an Adjustable Technical Indicator, ABZ', on the Malaysian Futures Markets”, The Business Review, Cambridge, Vol. 17 * Num. 2 * Summer

7.Olszewski, Edward, 2001, “A strategy for trading the S&P 500 futures market” , Journal of Economics and Finance, 25. 1, 62-79

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運用資訊缺口模型在台指期貨的投機交易實證研究

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