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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/39081| 標題: | 台灣期貨市場程式交易之實證研究--策略組合交易模型 Computer Program Trading Applied for Taiex Futures--Portfolio of Technical Indicator Model |
| 作者: | Yuan-Chou Chiang 江淵舟 |
| 指導教授: | 林筠 |
| 關鍵字: | 技術分析,程式交易,期貨, Futures,Technical Analysis,Program Trading, |
| 出版年 : | 2005 |
| 學位: | 碩士 |
| 摘要: | 論文摘要 Abstract The purpose of this study is to construct portfolio of technical indicator model using quantum technical analysis method and portfolio concept. The trading decision of buying or selling signal is totally generated by computer program trading system. Using computer trading records and report to analysis and construct Combination Trading Strategy.This research use Taiwan Stock Exchange Capitalization Weighted Stock Index futures(TX) intraday data, begins from January 1, 2000 to December 31, 2003. Testing period is divided into two separate period, the simulating period begins from January 1, 2000 to Jun 30, 2003 and the checking period begins from July 1, 2003 to December 31, 2003. The evidence and analysis show following findings：1.There are excess profit using trading system on Taifex Futures. 2.The portfolio model trading system is much more stable signal indicator trading system. Keywords: Efficient Market Theory, Technical Analysis, Program Trading, Optimize, Back-Testing , Trading Strategy |
| URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/39081 |
| 全文授權: | 有償授權 |
| 顯示於系所單位： | 財務金融學系 |
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