Day Trading in Taiwan Index Future with Open-Price Breakout Using Effective Filter and Optimal Parameter Combinations Analysis

• Main Authors: CHEN,KUAN-JU, 陳冠儒
• Other Authors: GUO,CHIA-HSIANG
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/ahg8en

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 breakthrough strategy, join different time and trend filters. Observe whether its performance is better than the unadjusted opening price breakthrough strategy. Using the 5.5-year target period data, the first three years were used as the in-sample period, and 208 different parameters were established. Will be made for the next 2.5 years during the out-of-sample period, use the data from the previous day or days to find the optimal combination of parameters and invest 8 in the next trading day or days. The empirical analysis is divided into three parts. The first part to observe its future investment performance, and draw the parameter space. In the second part, analyze the profitable parameter space range, for which you want to know what is the content? The third part compares with the parameter space of the original strategy. The empirical results show that after the adjustment of this study, the parameter space presents several profitable plains, and the degree of profit and scope are better than the original strategy. Representing this study using different approach time and trend filters, it can effectively filter false breakthroughs and improve their investment performance.