本研究旨在探討如何運用結構化的量化交易策略，克服投資人在金融市場震盪中因恐懼與貪婪所產生的心理偏誤，以追求穩定的長期風險調整後收益 。研究以台灣指數期貨為標的，回測期間設定為1999年至2025年 ，採用 MultiCharts軟體進行歷史數據回測，本研究將經典的「海龜交易法則」加以簡化 ，並針對不同時間維度、風險控管機制及財務槓桿設計出四種交易策略，進行橫向與縱向的對比分析 。 實證結果顯示，長線策略能有效過濾市場短期雜訊與假突破，降低交易頻率與磨損成本，整體表現顯著優於短線策略，此外，研究打破「必須嚴格停損」的傳統觀念，發現移除絕對停損機制後，反而能避免過早被洗出場，完整捕捉主升段的波段紅利，最佳化的「長線不停損策略（策略D）」在26年的回測期間展現卓越的績效，累積報酬率達3.33，且最大回撤僅10.2%，當適度開啟2倍槓桿時，策略D的累積報酬可放大至9倍，且最大回撤仍精準控制在19%的安全範圍內，總結而言，以 55 日長線通道作為防禦護城河，搭配無停損機制與適當槓桿，能為投資人提供一套下檔風險可控且上檔獲利極大化的長效交易模型 。;This study aims to explore how structured quantitative trading strategies can overcome psychological biases， such as fear and greed， that investors experience during financial market volatility， with the goal of achieving stable， long-term risk-adjusted returns. The research focuses on Taiwan Index Futures (TAIFEX) ， utilizing historical data from 1999 to 2025 for backtesting. Using MultiCharts software ， the study simplifies the classic "Turtle Trading Strategy" and designs four distinct trading strategies to conduct horizontal and vertical comparative analyses based on different timeframes， risk management mechanisms， and financial leverage. Empirical results demonstrate that long-term strategies effectively filter out short-term market noise and false breakouts， reducing trading frequency and friction costs， thus significantly outperforming short-term strategies. Furthermore， the study challenges the traditional concept of "strict stop-loss，" finding that removing the absolute stop-loss mechanism prevents premature exits and fully captures the dividends of major trends. The optimized "Long-term No Stop-loss Strategy (Strategy D)" delivered outstanding performance over the 26-year backtesting period， achieving a cumulative return of 3.33 with a maximum drawdown (MDD) of only 10.2%. When appropriately applying 2x leverage， Strategy D amplified the cumulative return to 9 times the initial capital， while precisely controlling the MDD within a safe margin of 19%. In conclusion， utilizing a 55-day long-term channel as a defensive moat， combined with a no stop-loss mechanism and appropriate leverage， provides investors with a long-term trading model that features controllable downside risk and maximized upside potential.
