The Efficiency Analysis of Trading Program under Taiwan Stock Index Futures

[[abstract]]本研究以技術分析為工具，結合程式交易系統軟體，檢驗常用的四種技術指標，運用於台指期貨日內分時交易走勢中，能否獲得超額報酬，即驗證台股期貨市場是否具有弱式效率性。此外，另行組合多種技術指標分成兩組交易策略，來驗證台股期貨市場是否具有弱式效率性。 本研究另外考慮技術指標於多頭市場與空頭市場，兩種不同行情走勢對於技術指標操作績效的影響，藉以驗證台股期貨市場是否具有弱式效率性。 研究期間以2001年9月28日至2008年10月31日共1 760個台股期貨交易日，利用四種單一技術指標、二種自設交易策略以及多空行情走勢來檢驗，實證結果如下： 1. 全樣本期間、多頭走勢、空頭走勢，僅運用單一技術指標交易皆無法獲得顯著獲利，因此推論長期而言，台股期貨市場具有弱式效率。 2 .全樣本期間、多頭走勢、空頭走勢，本研究自設兩組技術指標策略可獲得顯著獲利，因此推論在運用技術指摽策略操作下，台股期貨市場不具有弱式效率。 3. 技術指標在多頭期間與空頭期間之操作績效具有顯著差異，因此短期而言，台股期貨市場可能不具效率性。[[abstract]]This study utilizes the technical analysis which combined with program trading system software to examine the four commonly used technical indicators of TAIEX Futures time-trend system (intraday trading) and to observe if the indicators have excess return In another word it examines whether Taiwan Futures market is the weak form market In addition we combine the multiple technical indicators and then divide all that into two groups After that this paper verifies whether the Taiwan stock futures market has weak-type efficiency In order to examine whether the TAIEX Futures market has weak form efficiency this study also considered if market trends affect the operating performance of two different technical indicators with different periods in the bull market and bear market The sample period of this study contain 1, 760 TAIEX Futures business days (from September 28 2001 to October 31 2008) We utilize four single indexes two own trading strategies and market trends to examine the bull and bear market condition separately The empirical results are as follows: 1. The full sample period of this study including the bull and bear trend the use of single index alone are unable to be trading And it has a significant profit in the long run That implies TAIEX Futures markets are weak form efficient 2. The full sample period the bull trend short movements this study will be set up by two technical indicators strategies The results suggest that the use of technology in non GAAP operating strategy have a significant profit The empirical result implies TAIEX Futures market does not reflect weak form efficient 3 . Technical indicators in long-term and short-term period of operation have the significant difference performance Thus TAIEX Futures market may not be efficiency in the short-term perio