順勢當沖交易策略應用於中國滬深300指數之實證研究

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題名:	順勢當沖交易策略應用於中國滬深300指數之實證研究
作者:	許恩銘;Hsu,En-ming
貢獻者:	財務金融學系在職專班
關鍵詞:	順勢當沖交易;中國滬深300指數
日期:	2015-07-01
上傳時間:	2015-09-23 11:56:52 (UTC+8)
出版者:	國立中央大學
摘要:	金融市場瞬息萬變，而如何透過有系統性或有策略有規則性的投資組合，成為市場投資人以及學術界關心的議題。本研究針對滬深300指數期貨日內交易進行研究，主要以順勢操作的技術分析方法，並運用3種指標，成交量、MACD、與MA區間進行組合式的策略，並比較在趨勢確立後搭配日內加碼以及停損的概念，分別以最佳化回測與考慮交易成本去比較不同時間序列的報酬的差異性。　　本論文實證結果發現，此交易策略運用在時間序列越短總淨利越高，主因日內交易強調瞬間產生的交易機會有關，若時間序列越短越能及時反應，另外若產生停損訊號時，時間序列越短也越能及時反應，避免發生大幅波動行情時，虧損擴大。 ;Changes in financial markets happen very rapidly. Yet how have systematically traded or strategic, regulated investment portfolios become a subject of great interest among investors and the academic world. This study conducts research on futures day trading on the csi 300. using the trend-following method of technical analysis and three indicators—trading volume, macd and moving average interval—to pursue a portfolio style strategy, as well as comparing the concepts of extended hours trading and stop-loss when applied to confirmed trends, the present study compares differences in earnings for different time series on the bases of optimization of backtesting and consideration for transaction costs. The findings of this paper indicate that this trading strategy yields increasing net income when applied to time series of decreasing length. This is principally due to the emphasis within day trading on trading opportunities created moment to moment. As shorter time series are used, it becomes increasingly possible for reactions to be made on time. Similarly, if a stop-loss order is generated, the shorter the time series, the more likely it is that reactions can occur on time. In this way, losses are prevented from expanding during sharp changes in the market.
顯示於類別:	[財務金融學系碩士在職專班] 博碩士論文

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