| Summary: | 碩士 === 國立高雄應用科技大學 === 金融系金融資訊碩士班 === 103 === The empirical object of this research is Taiwan futures market, focusing on the Sinewave Indicator. Through the program trading software, it was attempted to construct the trading system focusing on the Sinewave Indicator and to view the performance differences under different operating modes and different bar time periods.
Through the construction process of the systematized transaction module, at first, it was attempted to understand the calculation ways of Sinewave Indicator; then, the calculations of pressure, support lines, and length of circulating periods were further developed. After the definition of market timing as well as stop loss rules and then through repeated testing and correction, finally the Parabolic Stop and Reverse indicator was chosen to be added as the auxiliary of trading decisions. After the back-testing of the nearby-month quote data of Taiwan Stock Price Index Futures from 2001 to 2014, its profit feasibility was confirmed.
Finally, the back-testing performance of the system was reviewed. On the overall risk degree, the strategy of short positions entry, the logic of leaving the futures market, initial funds management, and transaction frequency, the potential problems were induced, possible reasons were explored and feasible solutions and recommendations were proposed accordingly.
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