| Summary: | 碩士 === 國立臺灣科技大學 === 資訊工程系 === 92 === When we firmly assure the downtrend of the TAIEX, the active trader can sell the index futures. However, the fluctuation of futures index is always very violent, even you had already known the long-term trend, sometimes you may still lose much money. In order to make a profit safely, the trader should find out the trading principle about timing, and combining feasible trading strategy. So this thesis is to focus on how to find the relative low risk trade timing in the downtrend, and combine effective trading strategy. Our goal is to let the trader take more profit without high risk when the predetermined condition of downtrend situation.
This thesis has two operation systems, Long-Term Strategy Algorithm (LTSA) and Short-Term Strategy Algorithm (STSA). LTSA integrates grey clustering and five technical indexes (KD, RSI, PSY, BIAS, WMS) to produce the GOOD signal, and combines capital allocation strategy to build up a long-term operation system; STSA uses traditional technical analysis method to build up a short-term operation system. According to experiment analysis, LTSA and STSA can find out the relative low risk trade timing effectively, and our trading strategy can protect profit of the trader safely.
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