Building futures trading strategy - According to three major institutional investors trading information

本文的目的是希望透過三大法人的歷史交易資訊，去了解法人的交易動態以及法人對於市場的影響力，並建構出一個期貨的交易策略。本文採用了三大法人期貨未平倉量、三大法人現貨買賣超和近月份的Put/Call Ratio，做為交易策略的判斷依據。 本文進一步分析三大法人個別資訊下的狀況，發現當使用外資資訊做操作時，其獲利能力較好，且勝率皆維持50%以上的水準，而使用投信和自營商的資訊時表現較差。因此可以發現外資的交易資訊相較於投信和自營商的資訊而言，較能準確的判斷進場交易的時機。 另外，本文的研究也發現，以外資期貨未平倉量資訊作為交易的參考依據時，其透露的資訊較買賣超和Put/Call Ratio來的多，因此本文以外資期貨未平倉量為主要的判斷因子，買賣超、Put/Call Ratio資訊為輔，做為本文交易策略的判斷依據。本文也發現當加入了買賣超和Put/Call Ratio資訊後，可以增加對市場情緒的解釋力，過濾出一些不必要的交易日，減低交易成本對報酬的影響。本文最後探討了實際交易狀況下會發生的問題，包括交易成本的控制、保證金的衡量以及投資人心態等問題，讓投資人了解本文策略的風險和實用性。The thesis aims to build a trading strategy by using the information of three major institutional investor’s trading data, such as open interest, net buy-sell and market put-call ratio. First, we analyzes the information of the three major institutional investor individually. We find that using foreign investor’s trading information can get more return. In addition, the data of foreign investor’s open interest is more informative than the data of put-call ratio and net buy-sell. Furthermore, we use data of put-call ratio and net buy-sell as market factors, both can explain the market emotion and also filter out unnecessary trading days to reduce the impact of transaction costs. Finally, we consider other factors which may affect the return of this trading strategy in real conditions. Factors include the control of transaction costs, maintenance margin, irrational investors, and other issues. Through the discussion, investors can understand the risks of the strategy