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| 題 名 | 前行測試型的交易策略於外匯期貨市場之獲利性研究=Evaluating the Profitability of Trading Strategies with Walk-Forward Analysis in the Foreign Exchange Futures Markets |
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| 作 者 | 王友利; 曾文賢; | 書刊名 | 證券市場發展季刊 |
| 卷 期 | 26:3=103 2014.09[民103.09] |
| 頁 次 | 頁133-171 |
| 分類號 | 563.2 |
| 關鍵詞 | 技術分析; 外匯期貨; 資料探勘偏頗; 白氏真實性檢定; 前行測試分析; Technical analysis; Foreign exchange futures; Data snooping; White's reality check; Walk-forward analysis; |
| 語 文 | 中文(Chinese) |
| 中文摘要 | 本文應用實務交易上九種常見的交易系統,結合隨時間調整參數進行樣本外決策的前行測試分析方法(walk-forward analysis),探討其於六種主要外匯期貨市場之獲利性。研究期間包含2001年5月至2010年10月,將資料以週為單位做決策,並針對樣本外最佳交易系統的獲利表現,進行經定態拔靴處理的白氏真實性檢定(White’s reality check),以避免資料探勘偏頗的問題。在考慮手續費與滑價等交易成本的模擬結果中,本文發現最佳交易系統之樣本外績效,於多個外匯期貨市場皆具有統計上顯著的獲利性。 |
| 英文摘要 | This paper explores the out-of-sample performances of nine commonly used trading systems with parameter-changing algorithm in six major foreign exchange futures markets. Our research sample covers the period from May 2001 till October 2010 on a weekly basis. In order to correct for data snooping biases, we conduct a stationary bootstrap test developed by White (2000). Considering the proper transaction costs including commissions and slippage, the empirical results indicate that the out-of-sample performances of the best trading systems exhibit statistically significant profitability in most of the foreign exchange futures markets. |
本系統中英文摘要資訊取自各篇刊載內容。