以三大法人留倉量建構臺灣指數期貨交易策略

Abstract

本論文研究目的為探討三大法人的期貨留倉量以及選擇權的買賣權比例，對應於臺股期貨是否有能夠預測漲跌的功能。針對能承受一定風險、持續穩定投資之投資者為基準進行推測，依照大戶籌碼數據是否能制定一套進出場策略，長期下來能獲得超額報酬。擷取期交所官方歷史資料進行均線、KD指標、參數最佳化、凱利公式、資金控管，以及自行建構之法人籌碼指標進行回測與投資策略分析。觀本研究之結論，法人等鉅額交易人期貨未平倉量，作為指標長期期望值為正。投資人可進行長期定期定額的資金配置，並持續追蹤外資投資臺股走勢，因外資已然成為主導臺股行情的重要影響力，跟緊外資操作手法，並進行回策與分析，了解外資投資以期可得更大的獲利空間。

This thesis investigates whether the open interest of three institutional investors and put/call ratio options can predict TAIEX trends, set put and call strategy which could allow investors who can bear certain risks and can invest sustainably gain abnormal returns according to main-stock data.We collected official data from Futures Exchange and had conducted back testing and analysis according to moving average, KD parameter, parameter optimization, Kelly formula, fund management and self-construct institutional stocks indicators.To Summary, futures open trust of block traders such as institutional investors can use as long-term positive expected value. Investors can conduct long-term RSP fund allocation and keep tracks of foreign investment trends in Taiwanese stock market. As foreign investment become a strong influence on Taiwanese stock markets, keep up with foreign investment strategy and conduct back test and analysis may gain more profit.