| Summary: | 碩士 === 國立中興大學 === 資訊科學與工程學系 === 103 === Taiwan’s futures market has been running for more than 10 years since 1997. So far, numerous investment methods and indices have been developed, all for the purpose of helping investors beat the efficient market to gain excess returns. Futures trading is characterized by high leverage, meaning that with a good trading strategy, one is likely to gain high returns with a small investment. However, it is also characterized by faster price fluctuation and lower predictability compared to stocks trading.
Previous research has proposed methods involving use of neural network, genetic algorithm or other statistical analyses along with indices of technical analysis to compute optimal parameters for investment. These methods are feasible but may lead to over-fitting or require time-varying adjustments. In this study, a pattern mining method was proposed. Instead of the traditional M-head, W-bottom or flag patterns, this method analyzes N patterns, created by linking the candlesticks, in the trends of Taiwan Futures Exchange (TAIFEX) prices to find profitable ways of futures trading. This method views the breakthrough beyond the ending tip of an N pattern as a signal for buying and the turning point after a slump outside the N pattern as a signal for selling. The effectiveness of this method combined with different investment strategies was also tested using historic data of TAIFEX during 2011~2014. In this test, the best cumulative return was used as the optimal condition for day-trading.
Empirical evidence showed that the proposed N-pattern method combined with other investment strategies can generate positive cumulative returns from day-trading across all the four years. In other words, the trading principles provided by the proposed N-pattern method can be feasible strategies for day-trading in TAIFEX.
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