臺灣博碩士論文加值系統

本研究旨在探討單商品單策略、多商品單策略以及多商品多策略三種不同交易模式之績效比較，另外更以上述三種交易模式為建構基礎，將其進行權益曲線交易的策略管理方法，除了比較使用權益曲線交易的策略管理方法，是否能帶來更好的績效表現外，也進一步分析在選擇使用技術指標化與非技術指標化之權益曲線交易策略時，是否會因判斷標準不同，而使某一判斷標準之績效表現較好。本研究採納2007年1月至2021年3月底之七種近月份海外期貨日資料為樣本，並以Mann-Whitney U Test檢定方式，對樣本之報酬風險比的績效結果進行分析。

實證結果顯示，在單商品單策略、多商品單策略以及多商品多策略的三種交易模式中，績效結果之優劣排序為，多商品多策略優於多商品單策略優於單商品單策略，由此可知，透過多商品多策略的交易模式，除了能分散其交易風險外，多策略的組合也得以因應盤勢或市場格局的變化。若進一步將上述三種交易模式加入權益曲線交易的策略管理機制，其結果顯示進行權益曲線交易之策略管理的方法，能獲得較好的績效表現，另外選擇以非技術指標化的方式進行權益曲線交易的判斷標準，將能帶來更佳的績效表現，因而使策略獲得更有效的管理。

In this article the authors use the daily data of seven nearby overseas futures, which spanned from January 2007 to March 2021, to investigate the performances of three kinds of transaction, which include single-commodity with single-strategy, multi-commodity with single-strategy, and multi-commodity with multi-strategy. Furthermore, the authors also examine the performances of equity curve trading strategies based on these transactions to verify whether the equity curve trading strategies outperform the basic transactions. Two kinds of approaches, namely technical indicator approach and non-technical indicator approach, are employed to determine whether the equity curve trading strategies should be turned on or turned off. The performance indicator used is the reward-to-risk ratio, which would be tested by the Mann-Whitney U Test.

The empirical result shows that the performance of multi-commodity with multi-strategy transaction is the best in all transactions. By contrast, the single-commodity with single-strategy transaction performs the worst. The equity curve trading strategies outperform all the basic three transactions, and the non-technical indicator approach is a better method for equity curve trading.

中文摘要 ......i
英文摘要.......ii
誌謝...........iv
目錄...........v
表目錄.........vii
圖目錄.........viii
第一章、緒論.......... 1
1.1研究背景與動機......1
1.2研究目的........... 1
1.3研究假說........... 2
第二章、文獻探討....... 3
2.1商品與交易策略組合...3
2.2權益曲線交易........4
2.3移動窗格分析法......5
第三章、研究設計與方法... 7
3.1資料來源與研究期間....7
3.2研究流程說明.........7
3.3交易模式設計過程與策略說明........8
3.3.1進出場策略..................8
3.3.2權益曲線交易之策略管理機制....8
3.3.3採用的技術指標與策略.........9
3.3.4參數定義....................10
3.4交易成本........... 11
3.5移動窗格分析法......12
3.6績效評估與統計檢定方法...12
3.6.1報酬風險比..................12
3.6.2 Jarque－Bera Test.........13
3.6.3 Mann－Whitney U Test......13
第四章、實證結果與分析................14
4.1第一階段實證結果................14
4.1.1檢定單商品單策略之績效數列是否符合常態分配......14
4.1.2七種商品期貨之最適策略選擇.....................15
4.2第二階段實證結果................20
4.2.1單商品單策略與多商品單策略交易比較.............20
4.2.2多商品單策略與多商品多策略交易比較.............20
4.3第三階段實證結果................21
4.3.1檢定採用策略管理機制之績效數列是否符合常態分配...22
4.3.2不採用策略管理機制與採用策略管理機制之比較......22
4.3.3技術指標化與非技術指標化之策略管理機制比較......24
第五章、結論與建議.........26
5.1 結論................26
5.2 研究限制與建議......27
5.2.1 研究限制........27
5.2.2 對後續研究建議...27
參考文獻...................28
英文論文大綱

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