台指期當沖之K線研究：以三關價、RSI及MA組合建構交易策略

投資任何商品，除了熟悉商品、交易規則，投資人應該積極培養正確的投資觀念與思維，而投資大眾該如何增加獲利、減少損失、留意風險與規劃交易，是每個投資人都應持續思考、處理與重視的問題。本研究套用「順勢操作」、「風險管理」與「交易策略」所組成的模型論述驗證，搭配技術分析指標建構出台指期極短線交易策略，進行模擬交易，驗證是否能達到獲利創造績效之目的。本研究以台指期進行模擬交易，研究期間為104年1月5日至105年12月30日止，交易天數共488天，並利用15分鐘K線取得共9760筆資料，以三關價理論與移動平均線(MA)理論，部份策略考慮成交量，作為判斷趨勢方向與多空強弱準則。交易依十五分鐘K線、三關價與相對強弱指數（Relative Strength Index，RSI）為交易判斷條件，搭配出四種交易策略進行多空交易模擬，將投資績效結果進行統計分析，檢視在不同策略下之損益狀況。經由上述實證結果得知，單邊做多加入交易成本後，策略四獲利性最佳，獲利金額71800元；最差為策略二，虧損金額為-66000。單邊做空加入交易成本後，策略一獲利性最佳，獲利金額7600元；最差的為策略三，虧損金額為-9400。做多與做空兩邊交易下，僅策略二虧損、投資報酬率為-83.37%；獲利部份策略四最佳，獲利金額69000、投資報酬率為84.1%。

關鍵字

台指期；當沖；三關價

並列摘要

In addition to be familiar with the financial product characteristics, related rules and knowledge of investment, investors should also establish "winner thinking" actively when investing in any financial products. The so-called "winner thinking" is made up of "homeopathic", "risk management" and "trading strategy". This study applied the winner thinking, as well as technical analysis indicators to build the short term transaction strategy and transaction simulation to verify the purpose of profitability. The purpose of this study is the daily trading strategy of futures. The study period was from January 5, 2015 to December 30, 2016, total transaction days were 488 days, applied 15 minutes K-line to get total 9760 transaction data within a year. Three Critical Price theory、Relative Strength Index(RSI) and the moving average (MA) theory were the criteria to judge the strength and the direction of trend to long or short, the daily opening prices and 15 minutes K-line of closing prices are main consideration of the transactions, Using four trading strategies to simulate long and short transactions, statistically analyze investment performance results and examine profit and loss under different strategies. The 15 minutes K-line closing price is used to verify the direction of the trend and the strength of the market. Under the selection of layers of levels, in addition to reducing transaction costs, it is also possible to ensure that the direction of the trend and the strength of the market are the direction of the transaction commission. From the above empirical results, it is known that only one of the four trading strategies is negative in the long-short operation, the other is positive and the fourth is the best.