台指期貨5分k棒當沖之程式交易策略開發

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Title:	台指期貨5分k棒當沖之程式交易策略開發
Other Titles:	Day Trading Strategy Development on Program Trading of Using 5 Minutes Candlestick for Taiwan Index Futures
Authors:	呂英弘 LU, YING-HONG
Contributors:	企業管理學系管理科學碩博士班袁淑芳 YAUN, SHU-FANG
Keywords:	當日沖銷;程式交易;保歷加通道;逆勢操作系統CDP Day Trading;Program Trading;Bollinger Bands;CDP
Date:	2017
Issue Date:	2017-12-06 15:49:51 (UTC+8)
Abstract:	本研究的目的欲探討在台灣指數期貨當日冲銷，提出一個使用位階買賣的新觀念，利用2種位階工具，保歷加通道(Bollinger Bands)及逆勢操作系統CDP，來搭配K線理論與KD指標2種技術分析指標做研究分析，並且建構程式交易系統，藉由程式來運算交易策略產生買賣訊號，自動執行買賣動作，藉此產生穩定的績效。　　本研究選擇台灣指數期貨，作為研究的標的，樣本時間區間為2010年1月2日至2015年12月31日為止，以5分鐘K棒為研究週期。本研究的交易系統，是以5種不同位階的模式，擬定程式交易策略。　　本研究共設計有五大買賣位階，15種交易策略做為投資組合，並且以十萬元新台幣為一口保證金來計算，比較單一策略之間的優劣性，再將所有策略組合，並探討多策略組合與單一策略的差異性。本研究結果顯示，在單一策略中的最佳獲利283400為策略C-4（昨日收盤價在CDPA3[1]與CDPA2[1]之間做買及賣），且所有策略組合其最大策略虧損（%）MDD為6.99%，比較之前所有單一策略的平均值10.32，足以證明多策略的交易組合，確實可有效改善MDD。　　The purpose of this study is to discuss the new rank concept of the use day trading in TAIFEX, and to use the two kinds of tools, the Bollinger Bands and the contrarian operating system CDP to match the K-bar theory and the KD index, to do research and analysis, and set up the construction of program trading system, through the program to calculate the trading strategy to generate trading signals, and automatic complete of the sale of action, to produce stable performance.　　In this study, TAIFEX were selected as the subject of the study. The sample time was from January 2, 2010 to December 31, 2015, and the 5-minute K-bar was the study period. The trading system is based on the five different rank models, and the development of program trading strategy.　　This study is designed with five trading ranks, 15 trading strategies as a portfolio, and use NT $ 100,000 as a margin to calculate, The results of this study show that, The best profit in a single strategy is $283400 for Strategy C-4, And all strategic combinations of its maximum strategy loss (%) MDD was 6.99%, Compare the average of all previous strategies to 10.32 before, Enough to prove the multi-strategy trading portfolio, Can effectively improve MDD.
Appears in Collections:	[Department of Business Administration, Master/Ph.D Program in Management Sciences] Disserations and Theses(Master and Doctoral Program in Management Sciences)

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