以交易策略辨識景氣循環各階段及運用於指數買賣之研究—以美股市場為例;A Study on Applying Trading Strategies to Identify Business Cycle Phases and Index Trading - A Case Study of the U.S. Stock Market

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題名:	以交易策略辨識景氣循環各階段及運用於指數買賣之研究—以美股市場為例;A Study on Applying Trading Strategies to Identify Business Cycle Phases and Index Trading - A Case Study of the U.S. Stock Market
作者:	劉展邑;Liu, Zhan-Yi
貢獻者:	資訊管理學系
關鍵詞:	景氣循環;量化交易;Business Cycle;Quantitative Trading
日期:	2023-07-10
上傳時間:	2024-09-19 16:43:55 (UTC+8)
出版者:	國立中央大學
摘要:	總體經濟的變化會很大程度影響金融市場的交易情況，其中，股市迎來重挫的時期被視為景氣循環理論中的衰退期。為了避免在量化交易策略中因衰退期所導致的巨額虧損，本研究以量化交易的技術指標運用於相關商品以及總經數據，對個別景氣循環週期進行驗證。本研究使用布林通道技術指標，觀察S&P500和美國十年期公債期貨商品資料，依資料交互情況建立五個Case，並以合理最佳化參數的方式，以這些Case建立有效獲利的長期交易策略。完成交易策略後，同樣以布林通道技術指標以及相對強弱指標，針對景氣循環理論所使用的總體經濟數據建立總體經濟指標模型，檢驗其與金融市場漲跌的時期同步程度以及準確度，以確認其解釋量化交易策略有效性的功能。本研究完成量化交易策略以及景氣循環週期的檢驗後，將兩者時期進行交互比較，可以得知總體經濟指標的所區分的個別景氣循環階段，對應量化交易策略中的不同Case的發生，依此本研究可以得知量化交易策略背後的總體經濟意涵，提升該交易策略的可靠度及合理性。未來本研究結合細分產業類別以及加入避險產品的投資策略，檢驗不同產品於景氣循環內的變化，協助投資人依景氣循環理論進行長期投資得以建置合適的投資組合，進一步提升獲利。 ;The fluctuations in the macroeconomy have a significant impact on the trading conditions in the financial markets, with stock market declines being regarded as the recession phase in the business cycle theory. To avoid substantial losses in trading strategies during recession periods, this study validates individual business cycle phases by applying quantitative trading technical indicators to relevant commodities and macroeconomic data. In this study, the Bollinger Bands technical indicator is used to observe data from S&P 500 and US 10-year Treasury bond futures. Based on the interaction of the data, five cases are established, and long-term trading strategies that yield reasonable profits are developed. The Bollinger Bands technical indicator and the relative strength index are also employed to establish a macroeconomic indicator model based on the macroeconomic data used in the business cycle theory. The synchronicity and accuracy of this model in predicting market movements are examined to verify its function in explaining the effectiveness of the proposed quantitative trading strategies. After completing the quantitative trading strategies and validating the business cycle phases, a comparison is made between the two periods to determine the correspondence between the macroeconomic indicators and the occurrence of different cases in the quantitative trading strategies. By doing so, this study can uncover the macroeconomic implications behind the quantitative trading strategies, thereby enhancing their reliability and rationality. In the future, this study aims to combine industry-specific analysis and incorporate hedging products into investment strategies to examine the variations of different products within the business cycle. This will assist investors in constructing suitable investment portfolios based on the business cycle theory and further improve profitability.
顯示於類別:	[資訊管理研究所] 博碩士論文

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