| Summary: | 碩士 === 國立高雄應用科技大學 === 金融系金融資訊碩士班 === 106 === In order to increase the participation in the futures market, the government provided tax- relief for intra-day traders. However, due to the limited daily fluctuation, it’s not easy to make profit when considering the tangible and intangible transaction cost. Based on data analysis of daily and cross-day price trend, institutional investors' position and volatility, various trading strategies were designed to reap the market profit. Firstly, initial strategy based on threshold breakthrough with stop profit and stop loss rules, so-called Strategy 1, was constructed as benchmark. And then, Strategy 2 limited the number of transactions per day. Strategy 3 restricted strategy startup time. Strategy 4 covered the open positions at the next day. Strategy 5 considered daily volatility changes. Strategy 6 considered the foreign investors’ open positions. Emperical results for different strategies in TAIFEX market showed that:
1. Limiting the number of transactions could avoid overtrading, but it could not effectively improve the performance of the strategy.
2. Limiting trading time periods did not improve performance.
3. When the position was not covered intraday and coverd until the next day opening, the performance will be greatly improved.
4. Tuning the breakthgough thresholds based on the volatility in the previous period could furtherly improve the performance.
5. Raising position by using the foreign investors’ open positions information could improve the strategy performance while reducing the maximum drawdown.
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