ETF交易策略研究–以台灣50為例

Abstract

本研究採取ETF成交量、ETF折溢價、ETF規模與VIX四項指標，擬定四十八種策略，作為台灣50ETF(以下簡稱0050)買入與賣出依據，在交易訊號出現後隔日一開盤買入或賣出，以「全曜資訊CMONEY法人決策支援系統」為資料來源，並以該系統做實證回測，研究期間近十年，並將各策略回測之報酬率透過統計檢定方式與無風險報酬率、大盤報酬率比較。 實證結果，七種策略績效顯著優於大盤年度報酬率。根據回測資料顯示上述七項策略交易資料中，總交易次數共71次，其中獲利次數達59次(考慮完交易成本後)。

This study examines the ETF trading strategies based on four indicators: (1) Stock trading volume, (2) ETF premium/ discount, (3) ETF scale and (4) VIX. Using Taiwan Top 50 ETF and CMONEY Trading Decision Support System for back test over the period from 12/2006 to 07/2016, this empirical study investigates 48 trading strategies and compares the performance of the strategies with market benchmark. It is found that seven trading strategies significantly perform better than the market index does. According to the back-testresults, the total number of transactions is 71 times over the period from 12/2006 to 07/2016, and the number of profit is 59 times after trading costs are considered.