台灣期貨市場程式交易之實證研究--策略組合交易模型

Abstract

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