國立中山大學 金融創新產業碩士專班 碩士論文 Industrial Technology Graduate Program in Financial Innovation National Sun Yat-sen University Master Thesis K 棒策略在 VIX 期貨市場中的價值 Does a candlestick strategy have its value in the VIX future market? 研究生：洪志穎 Chin-Ying Hung 指導教授：蔡維哲 博士 Dr. Wei-Che Tsai 中華民國 108 年 7 月 July 2019 論文審定書 i 摘要 本研究探討 K 棒策略在 VIX 期貨上是否能找尋到一些價值。本文蒐集了芝加哥 交易所（CBOE）VIX 期貨，並使用 9 種單根及 7 種雙根，總計 16 種的燭台策 略做為 VIX 期貨市場的交易策略。我們嘗試利用 6、8、10 個 K 棒持有區間推斷 有效預測週期。此外我們將 VIX 用到期日及指數分群，最後我們所得，到期日 30 天、31 至 60 天、61 至 90 天、VIX 指數 15.00 以下、VIX 指數 15.00 至 25.00 和 VIX 指數 25.00 以上的六種類別。實證結果發現，在日內 VIX 期貨市場中預 測區間建議 50 至 90 分鐘為主。在分群方面的結果發現，距離到期日 30 天內的 期貨相較於其他到期日區間較有顯著的獲利；VIX 指數低於 15.00 的情況相較於 其他分群，較有顯著的獲利。結果讓我們發現在 VIX 期貨市場中，K 棒策略在 近到期日及低 VIX 時較能反映期價值。 關鍵字: K 棒、燭台分析、技術分析、VIX 期貨 ii Abstract This study explores the potential value for a K-bar strategy in VIX futures trading. We collect the VIX futures historical transaction data from the Chicago Board Options Exchange (CBOE) with 9 kinds of single candlestick strategies and 7 kinds of double candlestick strategies, for a total of 16 candlestick strategies. During the back-testing phase, we utilize 6, 8, and 10 K-bar holding intervals to infer an effective prediction period and choose expiration day and index level in order to classify the VIX. Ultimately, we got six categories with above factor. The empirical results clearly recommend that the prediction interval in the VIX futures intraday market be 50 to 90 minutes. In terms of clustering, we note that futures within 30 days of expiration have a more significant profitable performance compared to futures clustered with 60 and 90 expiration day. To be more specific, a VIX index below 15.00 has a more significant profitable performance versus an VIX index between 15.00 to 25.00 and above 25.00. We strongly conclude that a candlestick strategy in the VIX futures market is more reflective in periods at nearer maturities and lower VIX levels. Keywords:. K -bar, Candlestick analysis, Technical analysis, VIX futures iii 目錄 論文審定書..................................................................................................................... i 摘要................................................................................................................................ ii Abstract ........................................................................................................................ iii 目錄............................................................................................................................... iv 圖目錄............................................................................................................................ v 表目錄........................................................................................................................... vi 1. INTRODUCTION ......................................................................................... 1 2. LITERATURE REVIEW ............................................................................... 4 3. DATA ............................................................................................................. 8 3.1 Sample........................................................................................................ 8 3.2 Sequence of order ...................................................................................... 9 4. CANDLESTICK .......................................................................................... 10 4.1 Origin and synopsis of candlestick .......................................................... 10 4.2 Shadow ..................................................................................................... 11 4.3 Real body ................................................................................................. 12 4.4 Pattern ...................................................................................................... 14 5. RESEARCH DESIGN ................................................................................. 15 5.1 Strategy .................................................................................................... 15 5.2 Benchmark ............................................................................................... 16 5.3 Classification............................................................................................ 18 6. EMPIRICAL RESULTS .............................................................................. 20 6.1 Original Data With Time Period .............................................................. 20 6.2 Expiration Day (Tables8-11) .................................................................... 22 6.3 VIX Index (Table12-15) .......................................................................... 24 7. CONCLUSION ............................................................................................ 27 REFERENCES .................................................................................................... 29 FIGURES ............................................................................................................. 32 TABLES ............................................................................................................... 36 iv 圖目錄 FIGURE 1 TWO BASIC TYPES OF CANDLESTICK ............................................................. 32 FIGURE 2 INTRODUCTION OF CANDLESTICK STRUCTURE .............................................. 32 FIGURE 3 THE STRATEGY OF CANDLESTICK CHARTING ................................................. 33 FIGURE 4 DIFFERENT TYPES OF REAL BODY .................................................................. 35 v 表目錄 TABLE 1 COUNT FORMULA OF A SHADOW ..................................................................... 36 TABLE 2 SIZE OF REAL BODIES FOR VIX FUTURES K-CHART ....................................... 37 TABLE 3 DEFINITION OF CANDLESTICK STRATEGY........................................................ 38 TABLE 4 STATISTICS OF THE K-CHART CLASSIFIED BY EXPIRATION DAY ....................... 39 TABLE 5 STATISTICS OF THE K-CHART CLASSIFIED BY VIX INDEX ................................ 41 TABLE 6 FIVE-MINUTE K-BAR STRATEGY OF VIX FUTURES ......................................... 43 TABLE 7 FIFTEEN-MINUTE K-BAR STRATEGY OF VIX FUTURES .................................... 44 TABLE 8 RESULT OF EXPIRATION DAY CLASSIFICATION IN FIVE-MINUTE K-BAR BY HOLDING 30 MINUTES ........................................................................................... 45 TABLE 9 RESULT OF EXPIRATION DAY CLASSIFICATION IN FIVE-MINUTE K-BAR BY HOLDING 40 MINUTES ........................................................................................... 46 TABLE 10 RESULT OF EXPIRATION DAY CLASSIFICATION IN FIFTEEN-MINUTE K-BAR BY HOLDING 90 MINUTES ........................................................................................... 47 TABLE 11 RESULT OF EXPIRATION DAY CLASSIFICATION IN FIFTEEN-MINUTE K-BAR BY HOLDING 120 MINUTES ......................................................................................... 48 TABLE 12 RESULT OF VIX INDEX CLASSIFICATION IN FIVE-MINUTE K-BAR BY HOLDING 30 MINUTES ........................................................................................................... 49 TABLE 13 RESULT OF VIX INDEX CLASSIFICATION IN FIVE-MINUTE K-BAR BY HOLDING 40 MINUTES ........................................................................................................... 50 TABLE 14 RESULT OF VIX INDEX CLASSIFICATION IN FIFTEEN-MINUTE K-BAR BY HOLDING 90 MINUTES ........................................................................................... 51 TABLE 15 RESULT OF VIX INDEX CLASSIFICATION IN FIFTEEN-MINUTE K-BAR BY HOLDING 120 MINUTES ......................................................................................... 52 vi 1. INTRODUCTION The effectiveness of technical analysis has always been inconclusive with some studies suggesting that investors cannot effectively profit in market (Marshall, Young. and Rose, 2006; Marshall, Cahan, and Young, 2008; Horton, 2009). However other studies mention that a candlestick strategy can offer different information values (Goo, Che.n and Chang, 2007; Duvinage, Mazza, and Petitjean, 2013; Zhu, Atri, and Yegen., 2016). Among the various information values, many researches believe technical analysis can correctly illustrate market sentiment (Nison, 1991).The information of market sentiment can help us trading.Thus, the literature has presented that candlestick analysis can help explore market and values from different aspects. The candlestick analysis literature is mainly based on the daily candlestick (Lu, Shiu, and Liu, 2012; Lu, 2014; Zhu et al., 2016; Tharavanij, Siraprapasiri, and Rajchamaha, 2017). Nevertheless, some scholars specialize in intraday candlesticks (Marshall et al., 2008; Fock, Klein and Zwergel. 2005), while many in the literatures argue that short-term candlestick analysis is more effective. Thus this present research; mainly analyzes 5-minute (5-min) and 15-min intraday candlestick strategies in which a transactions are settled on the same day and cross-day trading does not exist within our trading strategy. 1 There are many different classifications in terms of holding time for an investment. For example, there are some holding periods of 1, 3, 5, and 10 candlesticks (Marshall et al., 2008; Tharavanij et al., 2017),or an investor holds a position until the market price is higher (lower) than the interval average price (Caginalp. and Laurent, 1998). Intraday trading