| Summary: | 碩士 === 國立中興大學 === 高階經理人碩士在職專班 === 104 === The purpose of this study is to investigate the TAIEX futures trading performance combined with option-based portfolio insurance (OBPI). We conduct a two-stage empirical analysis as follows:
To begin with, we construct the naked futures trading strategies using the Triple Screen Trading System proposed by Elder (1986), and carry out their performance backtesting through programming in “R” on the period from January 2, 2001 to December 31, 2015; The next step is to backtest the portfolio performance combined with Protective Put or Reverse Covered Call strategies as well as analyzing the return changes on the period from January 2, 2006 to December 31, 2015.
The empirical results are as follows:
1. The Triple Screen Trading System can create excess returns if selecting the appropriate time frame and technical indicators. The time structure “1-5-30” and “1-5-25” work best among all selected time parameters inside the candlestick chart. They lead the top two profitable 15-year cumulative ROIs which are 340.13% and 186.35% respectively.
2. After combining the naked futures trading strategies with OBPI, which is able to exert the effect of increasing positive return if the naked positions are originally profitable. It performs best when using the relatively short time frame parameters, with the strike price of option at the money (ATM), and taking “Delta” as the hedge ratio to calculate how many lots the hedging position should be.
3. If the naked positions are originally with negative return, OBPI is invalid for improving the profitability, on the contrary, it raises the risk of loss. That is an unexpected finding from empirical evidence in this study.
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