Day Trading in Taiwan Index Futures with Open-Price BreakoutUsing Optimal Parameter Combinations with Near-Day Sample Data

• Main Authors: WU, CHENG-YEN, 吳政晏
• Other Authors: GUO, CHIA-HSIANG
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/eg4454

碩士 === 東吳大學 === 經濟學系 === 107 === The purpose of this paper is to explore the use of the opening price breakout strategy and the use of Vince (2009) LSM model derived from the opening f breakout strategy for intraday trading, to observe whether these two strategic parameters can be used as a technical indicator, used in the investment platform Futures market. Then analyze the recent investment parameters of the strategy, select the best parameter space, and invest in the future to achieve better performance. The empirical analysis is divided into two phases. The first part analyzes past data and selects the parameters with the highest profitability in past historical data. In the second part, the analyzed data is used for future investments to observe its profitability. Among them, the analysis of how long ago the data should be taken, and the investment in the future will be invested for a few days, which are the focus of this study. The empirical results show that the two methods have a certain degree of concentration in the parameter space. If the optimal parameter space combination is applied to the opening price breakout strategy and the opening f breakout strategy, the performance of the two breakthrough strategies can be effectively improved.