以選擇權與股票交易量比例作為交易策略

Abstract

根據Johnson and So (2012)所使用之OS概念，延伸構築OS指數、Delta OS指數、PS指數、Delta PS指數、CS指數與Delta CS指數，再增加標普500半年均線，共形成12種交易指標，以標普500為交易標的，在所有交易指標中以Delta OS指數與標普500半年均線最為出色，作多方面報酬率皆顯著大於0，勝率皆保持在60%以上。多空轉變的第一個交易訊號是非常強烈的訊號，多空轉變的報酬皆為大於0，單週報酬皆高達以上，多空轉變的第一個交易訊號可當作多頭或空頭起點，供投資人參考。

Using the OS concept of Johnson and So(2012),constructing OS Index, Delta OS Index, PS Index, Delta PS Index, CS Index and Delta CS Index as trading index. With the half year moving average of SP500, there are 12 kinds of trading strategies. Delta OS Index and half year moving average of SP500 is the most outstanding trading strategy. On the buy side, the return is significant large than zero. The wining rate is over 60%. Overall, it is a good trading strategy. The first trading signal of the change between long and short transition is a strong one. It can be the signal when SP500 is going up or going down. It is a very useful information for investors.