波動率對交易策略績效之影響：以期貨程式交易為例

Abstract

本研究探討波動率對期貨程式交易投資組合績效的影響，實證對象包含五種期貨商品（臺指期貨、黃金期貨、原油期貨、十年美債期貨及美元指數期貨）與五種技術指標策略（價格突破、移動平均線交叉、布林通道、MACD、威廉指標），並分析樣本內與樣本外的績效表現。研究以夏普比率（Sharpe Ratio）為核心績效評估指標，並透過馬可維茲效率前緣（Markowitz Efficient Frontier）理論中的夏普比率最大化與波動率調整權重配置，驗證不同權重配置對風險調整後報酬的影響。實證結果顯示：單一策略績效不穩定：各商品的技術指標策略於不同樣本期間的績效表現，其一致性與穩定性均未達顯著水準。權重配置調整提升績效：無論採用等權重或夏普比率最大化之投資組合配置，權重調整後均能顯著提升整體策略績效。波動率加成再優化：納入波動率調整後，策略權重再平衡之投資組合可進一步優化夏普比率。建議依商品特性選擇策略，並結合波動率指標定期執行權重再平衡，以強化程式交易策略的績效與穩健性。This study investigates the impact of volatility on the performance of futures program trading strategies. Using five futures contracts (Taiwan Index Futures, Gold Futures, Crude Oil Futures, 10-Year U.S. Treasury Futures, and U.S. Dollar Index Futures) and five technical indicator strategies (Price Breakout, Moving Average Crossover, Bollinger Bands, MACD, and Williams %R), we analyze in-sample and out-of-sample performance. The Sharpe Ratio serves as the core performance metric, while the Markowitz Efficient Frontier theory—specifically Sharpe Ratio maximization and volatility-adjusted weight allocation—is applied to evaluate how different portfolio weight configurations affect risk-adjusted returns.Key findings include: Single-strategy performance: The consistency and stability of individual technical indicator strategies across different sample periods were insignificant. Portfolio weight adjustments: Both equal-weighted and Sharpe-maximizing portfolio configurations significantly improved overall strategy performance. Volatility optimization: Incorporating volatility adjustments further enhanced the Sharpe Ratio of rebalanced portfolios. The study recommends selecting strategies basedon commodity characteristics and integrating volatility indicators for periodic weight rebalancing to improve the efficacy and robustness of program trading strategies.