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    题名: 程式交易策略實證研究 : 以投資ETF0050為例
    其它题名: An empirical study of program trading strategies for investing ETF0050
    作者: 董寶蘭;Tung, Pao-lan
    贡献者: 淡江大學管理科學研究所企業經營碩士在職專班
    倪衍森;Ni, Yen-sen
    关键词: 技術分析;移動平均線;MACD;濾嘴法則;海龜法則;程式交易;ETF0050;基金投資法則;Technical Analysis;Moving Average;MACD;Filter Rule;Turtle Rule;Program Trading;ETF0050;Fund Investment Rule
    日期: 2010
    上传时间: 2010-09-23 16:17:47 (UTC+8)
    摘要: 本研究運用技術分析中最基本的價、量、移動平均線、MACD等技術指標研判買、賣點，並以「濾嘴法則」及「海龜法則」分批加碼佈局，分別建構濾嘴作多、濾嘴作空、濾嘴多空合成、海龜作多、海龜作空、海龜多空合成等趨勢交易策略，另外再依基金投資法則，建構循環交易策略。本研究使用HTS程式交易系統撰寫交易策略，並以台灣50ETF於2003年7月1日至2010年5月31日之交易資料作為分析對象，回測驗證上述交易策略之成效，以作為投資人之參考依據。研究結果顯示：
    一、濾嘴作多策略及海龜作多策略，經實證整體績效均相對較佳，投資人運用於多頭市場確實可穩健獲利。
    二、濾嘴作空策略及海龜作空策略，經實證整體績效均相對較差，證明空頭市場股價變動快速，作空交易確實較為困難，投資人須能及時掌握買賣訊號，才有獲利機會。
    三、濾嘴多空合成策略，經實證整體績效均優於海龜多空合成策略，無論處於多頭或空頭階段，皆可穩健獲利，確實為符合多空趨勢之交易策略。
    四、循環交易策略，經實證停利點設定愈高，績效相對較佳，但是達成時間相對將更長，投資人若有足夠資金，無論投資時點，只要能持之以恆，長期投資確實可穩健獲利。
    This research is based on the fundamental technical indexes of price, volume, moving average and MACD to judge the buy point and sell point; with the installation of turtle rule and filter rule to add portfolios, and construct separately the trend trading strategy, such as the strategies of filter-bull trading, filter-short trading, filter-combination trading, turtle-bull trading, turtle-short trading and turtle-combination trading, besides, based on the fund investment rule and construct the recycle trading strategy.
    The trading strategy of this research is written by HTS (Home Trading System), according to the transaction data of Taiwan50 (EFT0050) from June 30, 2003 to May 31, 2010 as the analytical material, back test and verify the effect of the above mentioned transaction strategies, as the reference for the investors, the results are as following:
    1. The performances of filter-bull trading strategy and turtle-bull trading strategy are
    comparative effective, investors are gaining profit from the bull market.
    2. The performances of filter-short trading strategy and turtle-short trading strategy are comparative less effective, it proves that the price is changed rapidly in the bear market, short trading is indeed difficult, only if the investors at the right time to buy or sell the stock, increase the chance to gain profit.
    3. It is verified that filter-combination trading strategy is comparative more effective than turtle-combination trading strategy, no matter on bull phase or bear phase, it is profitable, and it is indeed the transaction strategy on the bull and short trend
    4. According to recycle trading strategy, if the stop profit is higher the performance is better, but the period of achievement is longer, the investors with sufficient fund, no matter when to invest, as long as the investors with patience, long term investment will be profitable.
    显示于类别:[管理科學學系暨研究所] 學位論文

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