| dc.contributor.advisor | 廖四郎<br>林士貴 | zh_TW |
| dc.contributor.advisor | Liao, Szu-Lang<br>Lin, Shih-Kuei | en_US |
| dc.contributor.author (Authors) | 陳定遠 | zh_TW |
| dc.contributor.author (Authors) | Chen, Ting-Yuan | en_US |
| dc.creator (作者) | 陳定遠 | zh_TW |
| dc.creator (作者) | Chen, Ting-Yuan | en_US |
| dc.date (日期) | 2023 | en_US |
| dc.date.accessioned | 1-Mar-2024 12:34:23 (UTC+8) | - |
| dc.date.available | 1-Mar-2024 12:34:23 (UTC+8) | - |
| dc.date.issued (上傳時間) | 1-Mar-2024 12:34:23 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0105352502 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/150120 | - |
| dc.description (描述) | 博士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 金融學系 | zh_TW |
| dc.description (描述) | 105352502 | zh_TW |
| dc.description.abstract (摘要) | 一個成功的交易策略需要同時具備兩個要件，一是可獲利的買賣決策系統、二是良好的資金管理模式。然而再好的買賣決策系統，也不可能在每一次的交易都獲利，於是，如何剛好在獲利的那次交易中能投入比較多的資金，就是本文想探討的議題，此時我們想到了傳統的馬丁格爾投注法。馬丁格爾投注法起源於輪盤賭博，概念是如果本次賭輸則下次投注翻倍直到某次贏了為止才回復原始下注金額。理論上在公平的賭局下，這種方式最終一定能贏，但在真實情況下，受限於資金數量、非公平賭局等因素，馬丁格爾投注法並不能成功。本研究中我們提出了一種創新的資金管理方法--改良式馬丁格爾投注法(IMBS)，針對傳統馬丁格爾投注法的槓桿加以限制並加上停損機制。首先我們以美國、德國、台灣三個指數期貨市場，以隨機亂數方式決定買賣訊號進行日內交易，測試結果顯示使用改良式馬丁格爾投注法的資金管理方式相較於每次進行等額投注或採用傳統馬丁格爾投注法的交易，在績效上有顯著的提升。其次我們將改良式馬丁格爾投注法結合三種日內交易策略，以台股指數期貨市場(TX)歷史數據進行測試，結果顯示相較於原始的交易策略，在績效與風險報酬上皆有大幅的提升。因此本文認為改良式馬丁格爾投注法在股價指數期貨日內交易上具有極高的應用價值。 | zh_TW |
| dc.description.abstract (摘要) | A successful trading strategy requires two elements： one is a profitable entry and exit decision-making system, and the other is a good fund management method. However, no matter how good the entry and exit decision-making system is, it is impossible to make a profit in every trade. Therefore, how to invest more funds in the profitable trades is the main objective of this thesis. Martingale betting method has long been considered in roulette gamble, its idea is that if this bet is lost, the next bet will be doubled until a certain win, then the bet will be reset to the original bet amount. Theoretically, under a fair game, this method will eventually win the bet amount for each round, but in reality, limited by the amount of funds, unfair games (super martingale) and other factors, the Martingale betting method is practically not applicable. In this research, we propose an innovative capital management method -- the Improved Martingale Betting System (IMBS), which is to limit the leverage of the traditional martingale betting method and add a stop-loss mechanism. First, we conducted intraday trading tests in three index futures markets of the United States, Germany, and Taiwan, by using random numbers to decide whether or not to trade. The test results showed that using the IMBS has significantly improved performance than trading with the same amount as the case in traditional Martingale betting method. Then we combined the IMBS with three intraday trading strategies and tested it with historical data from the Taiwan Stock Index Futures Market (TX). The results showed that compared with the original trading strategy, our IMBS has a significant improvement in performance as measured in risk-adjusted returns. Therefore, we believe that the IMBS has extremely high application value in day trading of equity index futures. | en_US |
| dc.description.tableofcontents | 1. Introduction 1
2. Previous Research 3
2.1 Literature Review and Betting System 3
2.2 Improved Martingale Betting System -- IMBS 6
3. Research Method 7
3.1 Research Data 7
3.2 Position Opening Decision 7
3.3 Equal Weight Betting System -- EWBS 8
3.4 Stop Loss Mechanism -- SL 8
3.5 IMBS and MBS 9
4. Empirical Results 11
4.1 EWBS without Stop Loss 11
4.2 EWBS with Stop Loss 11
4.3 IMBS without Stop Loss 14
4.4 IMBS with Stop Loss 19
5. Application of IMBS in TX Strategies 25
5.1 Trading Strategies 25
5.2 Monte Carlo Simulation 30
5.3 Transaction Cost 30
5.4 Results of Monte Carlo Simulation 31
5.5 Strategy Settings for TX Test 37
6. Conclusion 42
Reference 43
Appendix 1: Results of Random Numbers Test 44
Appendix 2: Results of Strategies Test in TX 52 | zh_TW |
| dc.format.extent | 2250837 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0105352502 | en_US |
| dc.subject (關鍵詞) | 馬丁格爾投注法 | zh_TW |
| dc.subject (關鍵詞) | 改良式馬丁格爾投注法 | zh_TW |
| dc.subject (關鍵詞) | 股價指數期貨 | zh_TW |
| dc.subject (關鍵詞) | 隨機亂數 | zh_TW |
| dc.subject (關鍵詞) | 日內交易策略 | zh_TW |
| dc.subject (關鍵詞) | Martingale betting system | en_US |
| dc.subject (關鍵詞) | Improved martingale betting system | en_US |
| dc.subject (關鍵詞) | Equity index futures | en_US |
| dc.subject (關鍵詞) | Intraday trading strategies | en_US |
| dc.title (題名) | 改良式馬丁格爾投注系統 | zh_TW |
| dc.title (題名) | Improved Martingale Betting System | en_US |
| dc.type (資料類型) | thesis | en_US |
| dc.relation.reference (參考文獻) | [1] Balsara N.J., (1992), Money Management Strategies for Futures Traders. Wiley Finance, p.122.
[2] Billingsley, p., (1986), Probability and Measure, Section 7, John Wiley & Sons.
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[5] Feller, W., (1971), An Introduction to Probability and Its Applications, Wiley.
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[7] Karlin, S. and Taylor, H.M., (1981), A Second Course in Stochastic Processes, Academic Press.
[8] Kelly, J.L., (1956). A New Interpretation of Information Rate, Bell System Technical Journal, 35 (4): 917–926.
[9] Ohlsson, E. and Oskar, M., (2017). Application of the Kelly Criterion on a Self-Financing Trading Portfolio: An Empirical Study on the Swedish Stock Market From 2005-2015, Working Paper.
[10] Thorp, E.O. and Kassouf, S.T., (1967), Beat the Market: A Scientific Stock Market System. Random House.
[11] Wilder, J.W., (June 1978), New Concepts in Technical Trading Systems, Trend Research.
[12] Wu, M.E. and Chung, W.H., (2018). A Novel Approach of Option Portfolio Construction Using the Kelly Criterion, IEEE Access,6(1), 53044-53052. | zh_TW |
