Profit analysis of futures trading strategy with stock price spread、volume and technical indicators in Taiwan

碩士 === 國立政治大學 === 統計學系 === 105 === This study focus on profit analysis of futures trading strategy with stock price spread, quantity and technical indicators in Taiwan. With the price spread between the stock index and the futures as main topic, we fusion traditional technical analysis indicators an...

Full description

Bibliographic Details
Main Author: 莊文傑
Other Authors: 林士貴
Format: Others
Language:zh-TW
Online Access:http://ndltd.ncl.edu.tw/handle/arc2qd
id ndltd-TW-105NCCU5337024
record_format oai_dc
spelling ndltd-TW-105NCCU53370242019-05-15T23:25:04Z http://ndltd.ncl.edu.tw/handle/arc2qd Profit analysis of futures trading strategy with stock price spread、volume and technical indicators in Taiwan 台股期現貨價差、成交量與技術指標融合之期貨交易策略獲利分析 莊文傑 碩士 國立政治大學 統計學系 105 This study focus on profit analysis of futures trading strategy with stock price spread, quantity and technical indicators in Taiwan. With the price spread between the stock index and the futures as main topic, we fusion traditional technical analysis indicators and the relationship of trading volume and price as our signal and indicator to setup a futures trading strategy. Our research data use one-minute data frequency of Taiwan weighted stock index and Taiwan index futures from 2001 to 2016 as analysis period. The empirical result shows that to short sale if bull spread is occurred and to going long if bear spread shows up have better performance than its opposite activity, which is different from the method people use in general. This study also finds that if we attempt to utilize the relationship of trading volume and price as trading strategy and indicator, going long if trading volume increase and to short sale if trading volume decrease will work better in long run period. If we are going to use the moving average as trading strategy and indicators, that we go long for price above the moving average of the stock index and short sale for price below the moving average of the stock will more proper in long run period. Empirical results also demostrate that through spread filter and ex-dividend factor consideration spread strategy can be adjusted accordingly so that spread strategy performance can be more prominent. On the other hand, this study also proves that the performance of new strategy, formed through integration of spread strategy and trading volume strategy, is better than the integration of spread strategy and moving average strategy. Finally, this study integrates the spread strategy and trading volume strategy to formed new strategy, taking into account the improvement of the spread filter and the ex-dividend factor, then compares it with the market performance. The results show that the spread strategy integration with trading volume as a trading strategy and performance indicators can beat the market. We first divide the data into two cycles, then we perfom robustness test to the integration of spread strategy and trading volume strategy. We find out that under both cycles the strategy shows similar result. Thus, we can conclude that this strategy is stabile in long run and would be beneficial in future trading. 林士貴 蔡紋琦 學位論文 ; thesis 39 zh-TW
collection NDLTD
language zh-TW
format Others
sources NDLTD
description 碩士 === 國立政治大學 === 統計學系 === 105 === This study focus on profit analysis of futures trading strategy with stock price spread, quantity and technical indicators in Taiwan. With the price spread between the stock index and the futures as main topic, we fusion traditional technical analysis indicators and the relationship of trading volume and price as our signal and indicator to setup a futures trading strategy. Our research data use one-minute data frequency of Taiwan weighted stock index and Taiwan index futures from 2001 to 2016 as analysis period. The empirical result shows that to short sale if bull spread is occurred and to going long if bear spread shows up have better performance than its opposite activity, which is different from the method people use in general. This study also finds that if we attempt to utilize the relationship of trading volume and price as trading strategy and indicator, going long if trading volume increase and to short sale if trading volume decrease will work better in long run period. If we are going to use the moving average as trading strategy and indicators, that we go long for price above the moving average of the stock index and short sale for price below the moving average of the stock will more proper in long run period. Empirical results also demostrate that through spread filter and ex-dividend factor consideration spread strategy can be adjusted accordingly so that spread strategy performance can be more prominent. On the other hand, this study also proves that the performance of new strategy, formed through integration of spread strategy and trading volume strategy, is better than the integration of spread strategy and moving average strategy. Finally, this study integrates the spread strategy and trading volume strategy to formed new strategy, taking into account the improvement of the spread filter and the ex-dividend factor, then compares it with the market performance. The results show that the spread strategy integration with trading volume as a trading strategy and performance indicators can beat the market. We first divide the data into two cycles, then we perfom robustness test to the integration of spread strategy and trading volume strategy. We find out that under both cycles the strategy shows similar result. Thus, we can conclude that this strategy is stabile in long run and would be beneficial in future trading.
author2 林士貴
author_facet 林士貴
莊文傑
author 莊文傑
spellingShingle 莊文傑
Profit analysis of futures trading strategy with stock price spread、volume and technical indicators in Taiwan
author_sort 莊文傑
title Profit analysis of futures trading strategy with stock price spread、volume and technical indicators in Taiwan
title_short Profit analysis of futures trading strategy with stock price spread、volume and technical indicators in Taiwan
title_full Profit analysis of futures trading strategy with stock price spread、volume and technical indicators in Taiwan
title_fullStr Profit analysis of futures trading strategy with stock price spread、volume and technical indicators in Taiwan
title_full_unstemmed Profit analysis of futures trading strategy with stock price spread、volume and technical indicators in Taiwan
title_sort profit analysis of futures trading strategy with stock price spread、volume and technical indicators in taiwan
url http://ndltd.ncl.edu.tw/handle/arc2qd
work_keys_str_mv AT zhuāngwénjié profitanalysisoffuturestradingstrategywithstockpricespreadvolumeandtechnicalindicatorsintaiwan
AT zhuāngwénjié táigǔqīxiànhuòjiàchàchéngjiāoliàngyǔjìshùzhǐbiāorónghézhīqīhuòjiāoyìcèlüèhuòlìfēnxī
_version_ 1719148139965841408