Strategies Design by Using Transaction Counts Information – Empirical Studies in Taiwan Futures

• Main Authors: PAN,GUAN-YONG, 潘冠詠
• Other Authors: CHIANGLIN,CHIEH-YOW
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/uf5ev8

碩士 === 國立高雄應用科技大學 === 金融系金融資訊碩士班 === 106 === In this thesis, trading strategies by using transaction counts information were proposed and empirical studies were made in Taiwan Stock Price Index Futures market to test the performance of proposed strategies. During the emperical studies period, from 2012 to 2017, various market styles had occurred. In the proposed strategies, transaction counts information was adopted to design the trading rules as the individual condition and filtering condition. We compared the proposed strategies with other four strategies. The result showed that: (1) When taking transaction counts information as individual trading rules, the performance of proposed strategies were superiored to the other four strategies. (2) No matter what trading frequences were taken, the proposed strategies could remain the superior performance related to the other strategies. (3) When taking transaction counts information as filtering rules, the performance of the four strategies could be improved remarkably.