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| 研究生： |
周柏蒼 Po-Tsang Chou |
|---|---|
| 論文名稱： |
外匯期貨交易：以順勢策略為例 Currency Futures Trading: Application of Trend-Following Strategy |
| 指導教授： | 吳庭斌 |
| 口試委員: | |
| 學位類別： |
碩士 Master |
| 系所名稱： |
管理學院 - 財務金融學系 Department of Finance |
| 論文出版年： | 2019 |
| 畢業學年度： | 107 |
| 語文別： | 中文 |
| 論文頁數： | 97 |
| 中文關鍵詞： | 順勢交易 、交易策略 、外匯期貨 |
| 相關次數： | 點閱：8 下載：0 |
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本研究旨在建立一套回測系統來驗證順勢交易策略的有效性，採用以美元為底的外匯期貨作為標的，樣本回測期間為西元1998年至2018年。運用程式建立一個回測系統，分別使用移動平均策略與價格突破策略交易在串接後的連續期貨資料上，透過結果分析其績效。首先經由參數最佳化的方式，挑選最適合期貨的參數組合，接著因應一般投資人的交易心態，透過資金管理的概念操作兩種不同的增減口數的方式，一種為每日衡量可交易之口數，另一種則為在每次交易訊號產生時計算其交易口數，兩種皆透過該契約價值下所需之金額，並經由所設定的槓桿倍數或是策略最大虧損倍數來做口數的增減，最終分析不同槓桿下的策略績效，以挑選最適合該其外匯期貨的順勢交易策略。
This research establishes a back-testing system to verify the effectiveness of trend-following strategy. We take currency futures based on US dollar as the commodity. The back-testing data is collected from May 1998 to September 2018. The back-testing system built by programming uses moving average (MA) strategy and price breakout strategy to trade from connected data of futures and analyze the performance. First of all, we pick the most suitable parameter of two strategies by optimization. For closing to investor’s trade conscious, we make two kinds of ways for trading units from fund management. One considers trading units every day. The other one calculates trading units as appearance of signal. Both of them calculates the contract value to decide the trading units which correspond to the leverage or the maximum drawdown. At last, this research picks the most suitable trend-following trade strategy for currency futures through analyzing the performance of strategies in different leverage.
1. Andreas F. Clenow，2015，Following the Trend，黃嘉斌譯，初版，順勢操作：多元化管理的期貨交易策略，(藍子軒)，寰宇出版股份有限公司，台北市，西元2015年
2. Saulius Masteika and Aleksandras Vytautas Rutkauskas. “Research on futures trend trading strategy based on short term chart pattern.” Journal of Business Economics and Management, Volume 13.5(2012):915-930.
3. Jessica James. “Simple trend-following strategies in currency trading.” Quantitative Finance, Volume 3.4(2003):75-77.
4. Andrew C. Szakmary, Qian Shen, and Subhash C. Sharma. “Trend-following trading Strategies in commodity future: A re-examination.” Journal of Banking & Finance, Volume34.2(2010):409-426.
5. Yong Hu, Bin Feng, Xiangzhou Zhang, E.W.T. Ngai, and Mei Liu. “Stock trading rule discovery with an evolutionary trend following model.” Expert Systems with Applications, Volume 42.1(2015):212-222.
