台指期十五分鐘K線之當沖研究:以KD、MA及MV為組合指標建構之操盤策略

Technical analysis is still prevalent in stock markets in more matured countries. The main reason is that the undisclosed information can be detected via technical analysis. Since it has its merits, and the short term trading doesn't need the fundamental analysis, therefore, the short term trading can rely on technical analysis and its operating techniques to achieve the desirable returns. In this study, the 15mintues K-line with the major technical indicators to construct the very short-term futures trading strategies. Then, simulated trading and compare the performance of various trading strategies, and propose the best performance of the trading strategy. For this study, the simulated trading data was from May 1, 2013 to October 31, 2013 in TAIFEX. We Use the Stochastic (KD), moving average (MA) and the volume (MV) index with very short-term trading strategies established by fifteen minutes K line. Under the premise of day trading, the stop loss and stop profit limit is 30 points. Statistical analysis of the results of this investment performance and to check the profit and loss situation under different strategies. The empirical study simulated four portfolio investment strategies. The results of this study show the first strategic investment portfolio was 174.1% return; the second combination strategy was 171.57% return on investment; the third strategic investment portfolio was 184.1% return; the investment rate of return on the fourth portfolio strategy was 222.89 %. Although these four strategies have positive returns it still failed to beat the average salary of $ 45,888. From May to October, the TAIFEX index rose 344 points and the ROI is 82.89%. The four groups of strategies were all defeated by the buy and hold strategy.