An Empirical Study on Trading Rules of Taiwan Index Futures－Application of Week-Based Channels Breakout Strategies.

此篇論文我們設計了一個通道理論訊號的簡單模型並結合交易策略評價，可於盤中即時資料進行實務自動程式交易，亦可使用歷史資料進行模擬回測。 在策略評價部分選擇以「臺灣證券交易所發行量加權股價指數」為標的之「臺股期貨」自2007年至2015年每日交易資料為研究標的，以該資料進行歷史資訊回測模擬交易並進行數據分析，以驗證此理論模型的可用性。並將結果與市場上數種指標進行比較研究。 實證結果顯示，週通道理論模型在順勢交易下的獲利因子及淨利均較其他指標穩健、在逆勢交易下雖然獲利並無特別優異但是能夠有效控制交易次數，避免過於頻繁的進出場。本研究提出之週通道理論經實證後顯示其的確可於金融市場實際使用，同時也驗證通道理論於順勢交易時之表現優於逆勢交易。We designed a simple model belonging channel trading strategy of breakout concept and combined with trading strategy evaluation which can implement program trading using real-time data and process back-testing simulation by historical trading data. The daily trading data from 2007 to 2015 for strategy evaluation in this study is from TAIFEX Futures. We will verify the availability with the channel trading strategy through back-testing simulation and data analysis and compare it with other technical analysis indicator. The empirical result show that Week-Based channel model had outstanding behavior in profit factor and net profit while trend-following trading and had effective transaction numbers while counter-trend trading. Evidence from this study to establish the Week-Based channel model is usable in finical market, and the model’s achievement in trend-following trading is better than in counter-trend trading