A Study on Pair Trading Strategy – The Case of Taiwan Top50 ETF and Taiwan Index Option

• Main Authors: Chen, Hsueh-Min, 陳學民
• Other Authors: Wu, Ching-Tang
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/85r3u6

碩士 === 國立交通大學 === 應用數學系所 === 102 === 　　In this thesis, we discuss the strategies of holding Taiwan Top50 ETF permanently, and investors can sell Taiwan Weighted Index call option to hedge downside risk or make more profit. This study is based on two different investment concepts, using a modified MACD technical analysis indicator to design two strategies which are mainly different in aggressiveness. It might provide a direction for investors. 　　By backtesting from July 1, 2003 to December 31, 2013, totally 2,616 trading days, we discover the strategies which we proposed are substantially profitable. Furthermore, there exists wide ranges of parameters make our strategies accomplished. That is, when parameters in the ranges change a small amount, the performance will not be hugely affected. Hence, the strategies which we proposed are somewhat stable and robust with respect to selection of parameters. Therefore, we can reasonably expect that if we use our strategies in real world, it shall lead to some result we want.