臺灣博碩士論文加值系統

本研究使用2006年1月至2019年12月共二十三種近月份海外期貨的日資料，探討交易策略最佳化參數的決定方式，並比較多商品交易與單一商品交易之績效。使用的統計檢定為成對母體平均數差異t檢定。
實證結果顯示，不論單一商品交易或是多商品交易模式，在報酬風險比與推進效率等績效的表現，高原參數都比高峰參數較佳。若將測試區間分成多頭與空頭時期，除了單一商品交易模式在多頭時高原參數與高峰參數的唐奇安通道策略之推進效率不顯著之外，其他情況的績效皆以高原參數表現較佳。至於在單一商品與多商品的比較方面，報酬風險比與資金消耗比例等績效指標，皆以多商品交易模式表現較佳。區分多、空頭時，所有情況的報酬風險比與資金消耗比例皆以多商品交易模式表現較佳。

The purpose of this paper is to explore how to determine the parameters optimization of trading strategy, and compare the performance of single-commodity and multi-commodity transaction by using the daily data of 23 Nearby Overseas Futures, which spans from January 2006 to 2019 December.
The empirical results show that regardless of the single-commodity or the multi-commodity transaction, the plateau parameter optimization outperforms the peak parameter optimization both in performance and the stability of performance. If the test interval is divided into long and short periods, except for the propulsive efficiency of the plateau parameter optimization and the peak parameter optimization of the Donchian channel strategy in the long, the single-commodity transaction is not significant difference. The performance of the plateau parameter optimization is better in other situations. As for the comparison between a single-commodity and multi-commodity transaction, performance indicators such as the reward-risk ratio and capital destruction ratio all performed better in the multi-commodity transaction. When distinguishing between long and short periods, the reward-risk ratio and capital destruction ratio in all cases are better with multi-commodity transaction.

中文摘要 ……………………………………………………………….. i
英文摘要 ……………………………………………………………….. ii
誌謝 ……………………………………………………………….. iii
目錄 ……………………………………………………………….. iv
表目錄 ……………………………………………………………….. v
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……………………………………………….......... 2
2.1 最佳化參數……………………………….............................. 2
2.2 多商品交易……………………………….............................. 3
2.3 移動窗格分析法………………………………...................... 3
第三章 研究設計與方法……………………………………….......... 4
3.1 資料來源與研究期間……………………………….............. 4
3.2 交易模式設計過程與策略說明………………….................. 4
3.2.1 第一階段：高原參數與高峰參數之比較…............................ 6
3.2.2 第二階段：多商品與單一商品交易模式之比較…................ 9
3.3 交易成本………………………………………...................... 9
3.4 參數定義………………………………………...................... 10
第四章 實證結果與分析……………………………………….......... 11
4.1 第一階段：高原參數與高峰參數之比較結果分析……….... 11
4.1.1 單一商品交易模式………………………………………...... 11
4.1.2 多商品交易模式……………………………………….......... 16
4.2 第二階段：多商品與單一商品交易模式之比較結果分析… 19
4.2.1 多商品與單一商品交易模式之報酬風險比比較………….. 19
4.2.2 多商品與單一商品交易模式之資金損耗比較…………….. 19
4.2.3 區分多空頭……………………………….............................. 20
第五章 結論與建議………………………………………………… 21
5.1 結論………………………………………………….............. 21
5.2 研究限制與建議…………………………………………….. 22
5.2.1 研究限制…………………………………………………….. 22
5.2.2 對後續研究者建議………………………………………….. 22
參考文獻 ………………………………………………………….......... 23
英文論文大綱 ……………………………………………………………….. 24

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