碩士 / 國立虎尾科技大學 / 財務金融系碩士班 / 107 / Most investors only focus on enter and exit methods when they construct their trading strategy, and often ignore the important role of fund management. Since the main reason for investment failure is actually the management of funds, this study is trying to find a better fund management approach for trading overseas futures contracts. The data used in this study is the daily data of 22 overseas futures contracts, which spans from January 2006 to December 2017. The performances of seven fund management strategies are investigated, and statistically tested.
The results show that at the first stage, namely the stage using the in-sample test, the fund management strategy with presetting 1% loss outperforms the other six strategies after consideration of transaction costs. At the second stage, where the out-of-sample test is used, the fund management strategy of accepting 1~5% loss risk are superior to the others when the profit factor is set to be performance object, while the one-lot trading strategy outperforms the other strategies when return-risk ratio is used as performance object.
| Identifer | oai:union.ndltd.org:TW/107NYPI0304005 |
| Date | January 2019 |
| Creators | LI, MENG-RU, 李孟儒 |
| Contributors | HSU, CHIANG-HO, 許江河 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 51 |
Page generated in 0.0092 seconds