Currency Futures Trading: Application of Trend-Following Strategy

• Main Authors: Po-Tsang Chou, 周柏蒼
• Other Authors: 吳庭斌
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/dptm3g

碩士 === 國立中央大學 === 財務金融學系 === 107 === This research establishes a back-testing system to verify the effectiveness of trend-following strategy. We take currency futures based on US dollar as the commodity. The back-testing data is collected from May 1998 to September 2018. The back-testing system built by programming uses moving average (MA) strategy and price breakout strategy to trade from connected data of futures and analyze the performance. First of all, we pick the most suitable parameter of two strategies by optimization. For closing to investor’s trade conscious, we make two kinds of ways for trading units from fund management. One considers trading units every day. The other one calculates trading units as appearance of signal. Both of them calculates the contract value to decide the trading units which correspond to the leverage or the maximum drawdown. At last, this research picks the most suitable trend-following trade strategy for currency futures through analyzing the performance of strategies in different leverage.