The Application of Program Trading to TAIEX Futures Trading Strategy

• Main Authors: Chuan-Tsai Lee, 李全才
• Other Authors: Teng-Tsai Tu
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/c4x35t

碩士 === 銘傳大學 === 財務金融學系碩士在職專班 === 94 === Abstract This study targets the TAIEX (Taiwan Capitalization Weighted Stock Index) futures traded on Taiwan Futures Exchange. Using Trade Station programming language, we design two program trading systems - oscillator indicator strategy and reversal pattern strategy, in which trading decision is made entirely based on the technical analysis derived from chart analysis and quantified technical indicators. The technical analysis predicts the future price movement of TAIEX futures. Complemented by a stop-loss mechanism, the programs calculate the buy/sell execution levels. Based on the signal of whether generating excess returns,, we carry out buying, selling or waiting and observing decision, and then compare the monthly performances of two trading strategies created by program trading and various data. The study uses daily transaction data over a span of seven years and four months from July 21, 1998 to December 31, 2005. The empirical results reveal that the two program trading systems designed by the study could allow traders to profit from TAIEX futures trading, while the performance of oscillator indicator strategy is superior to that of reversal pattern strategy, and displaying greater stability.