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研究生:許顥騰
研究生(外文):Hao-Teng Hsu
論文名稱:停損與買入持有之損益比較-台股指數期貨為例
論文名稱(外文):The Comparison of the Performance between Stop Loss and Buy-and-Hold Strategy in Taiwan Stock Index Futures Market.
指導教授:許江河許江河引用關係
指導教授(外文):Jiang-He Hsu
學位類別:碩士
校院名稱:國立虎尾科技大學
系所名稱:財務金融研究所
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:2015
畢業學年度:103
語文別:中文
論文頁數:48
中文關鍵詞:台指期貨停損策略買入持有VBAt檢定
外文關鍵詞:TAIEX futuresstop loss strategybuy-and-holdVBApaired t test
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  • 被引用被引用:2
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本研究採取成對母體平均數差異t檢定對樣本測試結果進行分析,以Excel VBA 進行回溯測試研究。主要探討於台指期貨市場使用ATR停損策略、固定天數停損策略、N天低價停損策略、百分比停損策略與買入持有策略之投資績效的影響,所採取的樣本資料為2006年1月2日至2013年11月7日近八年度之台指期貨日資料,資料來源為台灣證券交易所,共採集1951筆資料。在回溯測試前將日資料進行連續化處理,進而篩選出符合標準的資料。
研究結果發現,第一部份於樣本資料期間內,利用四種停損策略與買入持有策略之績效進行比較時,買入持有策略均優於固定天數停損策略與ATR停損策略,N天低價停損策略與百分比停損策略之績效其統計結果均不顯著。第二部份將研究期間縮短至2008年金融海嘯後至2011年歐債危機前,可以發現在完整的多空頭時期買入持有策略均優於四種停損策略。第三部份為探討多頭期間與空頭期間是否會影響停損策略與買入持有策略之績效,結果顯示多頭期間買入持有策略均優於停損策略,空頭期間停損策略均優於買入持有策略。
根據本研究結果,於台指期貨市場中,若以績效為指標的情況下,四種停損策略績效並沒有優於買入持有績效。換句話說,這四種停損策略運用在台指期貨市場上,其效果並沒有我們想像中的好。


The purpose of this study is to compare the performance between stop loss and buy-and-hold strategy in Taiwan Stock Index Futures Market. The data used is daily data of Index Futures contracts and spans from 2st January 2006 to 7th November 2013.
The empirical research is separated in four parts: In the first part, it can be found that the performance of buy-and-hold strategy is better than ATR stop loss strategy and time stop loss strategy, whereas both N-days low price stop loss strategy and percent stop loss strategy are not significant in 2st January 2006 to 7th November 2013. The result of the second part shows that the performance of buy-and-hold strategy is better than the four stop loss strategies mentioned in this study. As for the third part and the fourth part, the performance of all four stop loss strategies is better than the performance of buy-and-hold strategy in the bear market, but the performance of buy-and-hold strategy is better than the four stop loss strategies in the bull market.
The findings of this study are as follows: In general, the performance of the four stop loss strategies is not better than the performance of buy-and-hold strategy in Taiwan index futures market. Only in the bear market, the four stop loss strategies are significantly better than the buy-and-hold strategy.


摘要...i
Abstract...iii
誌謝...iv
目錄...v
表目錄...vi
圖目錄...vii
第一章 緒論...1
 1.1 研究背景與動機...1
 1.2 研究目的...4
 1.3 研究範圍...4
 1.4 研究架構...5
 1.5 研究架構流程圖...6
第二章 文獻探討...7
第三章 研究設計與方法...10
 3.1 資料來源與研究期間...10
 3.2 出場策略...11
 3.3 交易策略設計...14
 3.4 交易成本...15
 3.5 最佳參數...15
 3.6 程式交易...15
第四章 實證結果與分析...16
 4.1 模型統計檢定...16
 4.2 實證結果...16
第五章 結論與建議...39
 5.1 結論...39
 5.2 研究建議與限制...40
參考文獻...42
Extended Abstract...43
簡歷...48


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