Using Technical Analysis and Institutional Investors’ Holdings for Taiwan Stock Index Future Trading System

• Main Authors: Chien-Chi Lai, 賴建吉
• Other Authors: Yu-Min Chang
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/v7s9m4

碩士 === 樹德科技大學 === 金融系碩士班 === 104 === This study applies the most basic technical analyses namely Moving Averaging, MACD, ADX and other technical indicators, in coordination with the information of TAIFAX foreign capital open interest and call-put options open interest information announced by Taiwan Futures Exchange to construct futures trading strategies, and carry out a performance back-testing through program trading software MultiCharts on the period from July 2, 2007 to August 31, 2015. Empirical results shows that in the future market if systematic trading can be achieved, under good risk management and strict operational discipline, the profit targets can indeed be obtained. However judging by the maximum drawdown of various trading system, in the future market, it is very difficult to gain great profit with small investment, only good fund control can help traders to go through the risks of uncertainty of the volatile prices. This study has included processing fees and slippage such trading costs and set one million dollars to operate one Taiwan Stock Index Futures. For a trading system with the best profit performance and no parameter optimization, it has already doubled the funds of maximum loss, illustrating the practical execution value of the trading strategies in this study for the traders to reference. Keywords: technical analysis, open information, futures trading strategy, program trading