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研究生:楊家華
研究生(外文):Chia-Hua Yang
論文名稱:順勢交易策略應用於台指期之實證研究
論文名稱(外文):The Trend Following Strategies for Taiwan Stock Exchange Capitalization Weighted Stock Index
指導教授:吳忠敏吳忠敏引用關係
指導教授(外文):Chung-Min Wu
口試委員:張偉斌陳銘崑
口試委員(外文):Ming-Kuen Chen
口試日期:2012-06-14
學位類別:碩士
校院名稱:國立臺北科技大學
系所名稱:服務與科技管理研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2012
畢業學年度:100
語文別:英文
論文頁數:87
中文關鍵詞:順勢交易交易策略交易系統移動窗格
外文關鍵詞:Trend FollowingTrading StrategiesTrading SystemWalk Forward Analysis
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本研究旨在檢驗順勢交易策略應用於台股期貨的績效。順勢交易策略的特色在於當判斷出趨勢時,便馬上進場,如此就能跟隨趨勢,享受長時間下趨勢所帶來的利潤。順勢交易策略分六步驟建構:1.策略構思 2.程式語言撰寫 3.初步測試 4.最佳化 5.移動窗格分析 6.驗證。本研究選用兩組不同的測試區間來加以驗證比對各個策略的績效和表現。研究結果顯示,雖然VMA和BOLL策略在樣本內資料區間有不錯的表現,但在樣本區間外的表現卻不盡理想,這代表著這兩個策略較無法應付未來盤勢。TRB策略不管在樣本內及樣本外皆有一定水準以上的獲利,其WFEs在兩組測試區間皆有0.5以上的表現,足以證明TRB是有能力在市場上獲利的順勢交易策略。

As the old saying goes, “The trend is your friend.” Is that true? How can we follow the trend? These have become important issues among investors. The methods to chase the trend are so called “Trend Following strategies.”
This paper examines the performance of Trend Following strategies in Taiwan Stock Exchange Capitalization Weighted Stock Index. The basic practice of trend following is to find the trend, identify trade signals and trade along with them. In this study, the development and application of a Trend-Following strategy follows six steps: 1. Formulate the trading strategy. 2. Translate the rules into definitive form. 3. Preliminary testing. 4. Optimization. 5. The Walk-Forward Analysis. 6. The verification. The results indicate that the Trading Range Break rules are the most profitable and robust strategy in the Trend Following strategies.


ABSTRACT I
摘要 II
誌謝 III
CONTENTS IV
LIST OF FIGURES VI
LIST OF TABLES X
CHAPTER1 INTRODUCTION 1
1.1 Research Motivation 1
1.2 Research Purpose 2
1.3 The Organization of Research 3
CHAPTER 2 LITERATURE REVIEW 4
2.1 The Taiwan Stock Exchange Capitalization Weighted Stock Index 4
2.2 Trading Strategies 5
2.3 Trend Following Strategies 6
2.4 Backtesting 20
2.5 Optimization 22
2.6 Walk Forward Analysis 29
CHAPTER 3 METHDOLOGY 32
3.1 Trading Strategy Development 32
3.2 Environments 37
3.3 Data 38
CHAPTER 4 RESULTS 40
4.1 The Performance Summary 40
4.2 Preliminary Testing and Optimization 41
4.2.1 Preliminary Testing 41
4.2.2 Optimization 53
4.3 The Walk-Forward Analysis and Verification 66
4.3.1 The Walk-Forward Analysis 66
4.3.2 The Verification 77
CHAPTER 5 CONCLUSIONS 80
REFERENCES 81




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