Sophistication, Behavior Bias and Trading Performance

[[abstract]]本文主要是探討期貨當沖者的交易行為與其績效，不同於之前的文獻，直接以一種或兩種投資行為來與績效作連結；我們把文獻上的交易行為一一列舉(例如紀律、動能策略、損失迴避、過度交易、處置效果等)，再以老練的程度將所有投資行為作一連結，我們預期老練能夠降低投資行為的偏誤並增加交易績效。在實證上，我們將當沖交易者依獲利高低分成5 組(第1 組獲利最高、第5 組獲利最低)，然後分別計算出各組採取動能策略的比率，我們預期第1 組的動能交易者比率最高、第5 組的動能交易者比率最低。在紀律方面，我們預期第1 組的risk-adjusted performance (RAP)的比值最高、第5 組的RAP 比值最低。在處置效果方面，我們預期第1 組有處置效果傾向的交易者比率最低、第5 組有處置效果傾向的交易者比率最高。在過度交易方面，我們預期第1 組有過度交易傾向的比率最低、第5 組有過度交易傾向的比率最高。在損失迴避程度上，我們預期第1 組的損失迴避程度最小、第5 組的損失迴避程度最大。[[abstract]]This project is focus on the day trader behavior and their performance. Unlike earlier papers, which link trading behavior directly to performance. This project first identifies the diversified trading behaviors and links them to the degree of traders’sophistication. We expect, the more sophisticated the trader, the less behavior bias they exhibited, and the better performance. To better define the impact of behaviors on day trader profitability, traders will be segregated into groups arranged from lowest to highest based on profitability. Upon analyzing the results, it is expected to find that groups of traders that have a higher average number of gained contracts will have higher profits than those with a lower average. Higher numbers of day traders prone to the disposition effect should decrease as profitability increases. The risk-adjusted performance in dollars of top performers in terms of profitability is expected to be higher due to the institution of trader disciplines designed to protect from behavior biases. Additionally, the percent of traders following momentum strategies should increase as investor sophistication increases. Finally, it is anticipated that groups of traders with a lower average exposure will be more profitable than groups with a higher exposure average.[[note]]NSC99-2410-H327-01