| Summary: | 碩士 === 國立高雄應用科技大學 === 金融系金融資訊碩士班 === 106 === This study divided a trading strategy into four parts, including Entry Factor, Exit Factor, Weighting Factor and Filter Factor, and then analyzed the relationship between each factor and strategy performance. To analyze how each factor influented on investment performance, we campared them with random simulation strategies. This research used different frequencies data, including daily data and 60 minutes data of Taiwan Futures market from January 1, 2010 to December 31, 2016. Statistics analyses of risk-return ratio, profit factor and net profit were made to verify the impacts of indivisual factors on performance indices. Finally, we combined best factors to form the final strategy and empirically tested whether there existed synergy effects.
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