本研究應用技術分析之交易策略來分析台指期貨當沖交易盈虧，以提升期貨當沖交易之操作績效。運用黃金交叉與死亡交叉訊號作為進場訊號，並分三種不同進場策略與四種出場策略之交叉組合，來檢視在各種不同狀況下是否有獲利的空間。經由本研究實證結果顯示，當出現1日3日死亡交叉並設停損時之操作績效最佳。再進一步分析後，發現當天開盤開高，但市場未延續上攻力道而下跌的情況，在此種狀況下放空期指反而有獲利的空間。 This research is to apply trading strategies to analyze the gain or loss for within-one-day trading in Taiwan futures markets in order to lift up the operating performance of within-one-day trading. By using gold cross and death cross of 1 day and 3 day moving average price and 1 day and 5 day moving average price employed in technical analysis as entry signal, this study combine several within-one-day strategies by concerning 3 entry signals and 4 exit signals to analyze the profit and loss for these investment strategies. By way of this empirical study, we find that the strategy by employing death cross of 1 day and 3 day moving average price with concerning stop loss might have higher profit opportunity, and we will infer while opening index for Taiwan index futures is quite high, the market seems difficult to lift up Taiwan index futures higher than the opening, investors might short Taiwan index futures to make profit.
