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    Title: 運用未平倉量至期貨技術分析之可行性
    Other Titles: Technical analysis using open interest
    Authors: 賴彥宏;Lai, Yen-hung
    Contributors: 淡江大學財務金融學系碩士班
    謝文良;Hsieh, Wen-liang
    Date: 2005
    Issue Date: 2010-01-11 00:58:29 (UTC+8)
    Abstract: 期貨市場自民國89年開放至今,其成交量呈現了倍數的成長,不論是避險或投機的目的,皆顯示出國人對於衍生性商品槓桿操作的特性持有高度的興趣。在期貨價格研究方面,有許多學者利用了股票市場上的技術分析方法試圖找出價格的規律變化,然而卻鮮少針對未平倉量的分析。但在實務上,圖形分析師發現到價格走勢和未平倉量變動似乎有著相輔相成的關係。因此,本研究主要探討未平倉量在台灣指數期貨市場上價格的預測能力,針對加入前及加入後的技術指標來檢視交易系統的報酬變化。資料時間從2000年至2003年10月的日資料進行交易,所使用的交易系統為移動平均法則,然後再加上未平倉量指標的輔助。而所有的交易系統參數皆是經過測試期間樣本模擬出的最佳參數,然後再將最佳參數代入檢驗期裡檢驗系統績效。實證結果發現:
    1.在第一階段交易系統的測試期中,經過最適化測試的變動移動平均法則可以獲得顯著報酬;然而將最適化交易參數套入檢驗期來交易模擬,卻發現並未能獲得超額報酬,顯示即使經過最適化參數程序後仍然無法獲得理想的報酬。代表在2000年至2003年期間,單一變動移動平均交易系統無法在台指期貨市場上獲利。
    2.第二階段交易系統則是加入了未平倉量做為輔助交易指標,經過測試期的最適化參數程序後,交易系統可獲得顯著報酬;緊接著將最適化交易參數套入檢驗期裡模擬,實證結果顯示仍然可以獲得顯著報酬,且所有證據皆指出在加未平倉量後,系統績效有明顯的改善。
    因此本篇研究認為,單單運用移動平均交易法則在台指期貨市場上可能無法獲得顯著超額報酬,然而利用未平倉量指標做輔助卻能改善原有系統績效,隱含著未平倉量可能代表某些交易資訊,可以提供投資人進行期貨交易時,做為參考的依據。
    While many researchers try to predict the direction of price trend by using various technical indicators, the open interest is rarely included in the analysis. On the other hand, chartists observe that price trends often accompany increases in open interest. This thesis examines whether open interest can be used as a supplemental indicator to determine the trading decisions, and how trading profits vary after considering open interest. The trading system used in this thesis is similar to the study of Bessembiner and Chan (1998) which called VMA (Variable-Length- Moving-Average). Empirical tests show following results:

    1.Prior to adding open interest, the optimized VMA systems can generate excess returns (relative to buy-and-hold) from in-sample-data. However, the out-sample results do not perform as well as buy-and-hold strategy.
    2.After incorporating open interest, the optimized VMAOI systems generate excess returns in both the in-sample and out-sample tests.

    Empirical results suggest that open interest may reflect trading information and be a useful supplemental indicator when making trading decisions.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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