台股指數期貨之程式交易實證研究－以策略模擬交易為例;Program Trading System of Taiex Futures - By Strategy of Virtual Trade

[[abstract]]本研究以台灣股價指數期貨為研究對象，透過 Visual Studio C# 將各種指標及策略程式化的交易程式，發展出一套簡單且有效率的程式交易策略 (S策略)，此策略決策以數據化計量的技術指標衍生的策略基礎模型，買賣點訊號由程式計算，並依訊號機械式操作，降低投資人心因性人為因素，並與其他技術分析交易策略進行對照比較，分別為移動平均線、相對強弱指標(RSI)和隨機指數(KD)，共四個策略進行模擬測詴，分析檢視操作績效之差異，以了解S策略的獲利是否優於其他策略，結果顯示自行研發的交易策略在淨損益，獲利總日數、月平均最大獲利點數及期望值皆優於其他的交易策略，並能在期貨市場上獲得超額報酬。 In this Thesis, we studythe emphasis onTAIEX Futures (TX). We proposed a new trading strategy“S”using the C# language, the trade strategy “S”was implementedin a trading system.The computer software system calculates the buying and selling points and then sends a special signal to notify the users to buy in, sell out, or just wait. All trades are mechanistic without emotion.As a result the investment due to human factorsis reduced. The resultsshow that the strategy “S” is better than other virtual trade strategies,includingMoving Average(MA),Relative Strength Index(RSI),StochasticOscillator(KD) trade strategies.The results showthat the proposed “S”strategyis better than other virtual trade strategies in the “Net income or Loss”, “Gross Profit”, “Average monthly income”, “Expected Value”. Therefore, it could also obtain abnormal return in the future market