本研究旨在探討5種加碼策略與不加碼策略之績效。研究期間涵蓋完整多空頭市場之2005年1月至2019年12月，共15年期間之23種近月份海外期貨日資料，並以成對母體平均數t檢定及Mann-Whitney U Test驗證績效優劣。
本研究之績效值為報酬風險比，實證結果顯示，不論在樣本內或樣本外績效，加碼策略都顯著優於不加碼策略。若將各加碼策略樣本內、外績效進行檢定，則樣本外績效顯著優於樣本內績效，而五種加碼策略在樣本外績效以倍數遞減加碼策略表現最佳、定額加碼表現最差，這與加碼部位大小有關，說明在嚴守進出場策略及停損的情況下，加碼部位的縮放相比保守的定額加碼，更能突顯加碼策略的效益。若將商品進行分類，則金融期貨在各個策略中皆顯著優於其他四類期貨。若進一步將研究期間區分多、空頭，則倍數遞減加碼法仍表現最佳，且各加碼策略在多頭市場的績效表現都顯著優於空頭市場。

The purpose of this paper is to explore the performance of strategies with and without average up, by using daily data of 23 nearby oversea futures contracts, which spans from January 2005 to December 2019. The statistical tests used are paired t test and Mann-Whitney U test.
The performance indicator of this paper used returns risk ratio, the empirical result shows that the performance of average up strategies is significantly better than strategy without average up both in in-sample and out of sample approach. The performance of each average up strategy in the out of sample period performs better than that in the in-sample period. The multiple descending average up strategy is significantly better than other average up strategies and the fixed amount average up is significantly worse than others, which are relate to position sizes, shows that following trading strategy and stop loss rigorously, scaling position sizes makes averaging up strategy efficiently rather than fixed amount average up strategy. If we split these futures contracts into four categories, then it is shows that the financial futures outperform the others significantly. The multiple descending average up strategy is significantly better than other average up strategies in out of sample as well as in bull and bear market. The performance of each strategy in a bull market is significantly better than that in a bear market.

中文摘要 .....................................i
英文摘要 .....................................ii
誌謝..................................... iv
目錄.....................................v
表目錄.....................................vii
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、文獻回顧.....................................3
2-1資金管理..................................... 3
2-2最大權益數回落.....................................4
2-3移動窗格分析法.....................................5
第三章、研究設計與方法.....................................6
3-1資料來源與研究期間.....................................6
3-2交易模式設計過程與策略說明.....................................6
3-2-1研究流程說明.....................................6
3-2-2突破策略.....................................7
3-2-3加碼策略說明.....................................7
3-3交易成本..................................... 9
3-4移動窗格分析法.....................................10
3-5趨勢判斷..................................... 10
3-6統計檢定..................................... 10
3-6-1常態分配.....................................10
3-6-2平均數檢定.....................................10
3-6-3Mann-Whitney U Test.....................................11
第四章、實證結果與分析.....................................12
4-1第一階段實證結果.....................................12
4-2第二階段實證結果.....................................13
4-2-1比較加碼與不加碼策略之樣本外績效..................................... 13
4-2-2比較加碼在樣本內、外之績效.....................................15
4-2-3比較五種加碼方式之樣本外績效.....................................15
4-2-4比較五大類別商品期貨之樣本外績效..................................... 17
4-3第三階段實證結果.....................................21
第五章、結論與建議.....................................24
5-1結論.....................................24
5-2研究限制與建議.....................................25
5-2-1研究限制.....................................25
5-2-2後續研究建議.....................................25
參考文獻 .....................................26
Extended Abstract.....................................27

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