Investing in TW Future by Using High-Frequency Data – Open Price Breakout Strategy

• Main Authors: WU, SHUO-DING, 吳碩鼎
• Other Authors: GUO, JIA-XIANG
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/ms8tna

碩士 === 東吳大學 === 經濟學系 === 105 === The purpose of this thesis is to find out whether the optimal f, which is estimated by Vince (2009)'s LSM model, can be used as a technical indicator for high frequency data of futures as a way to judge the entry and exit of transactions. Therefore, this thesis is based on the 1-minute price and volume data of TAIEX futures, and the empirical analysis is carried out from 2012 to 2016. Empirical analysis is divided into two parts. The first part is an estimate of the performance of the open price breakout strategy, which uses the price 5-minunte right after TAIFEX opened as a signal for entry to the market. The second part is to analyze the performance of the Vince strategy, which uses the optimal f derived from LSM model as an important indicator for entry to the market. The empirical results show that no matter what kind of trading strategy, the performance of buy trades will be better than that of sell trades. Meantime, the performance of the cases without a stop-loss setup is mostly better than those with the establishment of a stop-loss. This holds whether the performance is measured in terms of winning rate, profits, rate of return, or Sharp Ratio. Finally, comparing the performance between the two trading strategies, we find that the overall performance of the open price breakout strategy will be better than Vince strategy. Though Vince strategy’s winning rate is relatively high and its risk is small, profits and the rate of return are not as good as the open price break strategy.