在期貨市場許多投資人都期望能準確預測價格的波動進而獲利，而許多學者也進行了以基本分析或技術分析來探討各種指標與價格波動的關係，希望能找出有效預測未來價格的方法。本研究根據探討影響市場價格變動的基本因素以及市場供需狀況的衡量設計一套以移動平均線及現貨市場委託買賣資訊為主的交易策略，並依據實務市場的規範及交易成本來進行模擬實證。
實證結果發現利用市場委託買賣資訊與移動平均線的確可以捕捉到市場同向變動的趨勢，即利用價格波動的現象與市場供需情況來幫助投資決策可以帶來超額報酬。

Most investors want to make profits by precisely predicting price movement. There has been a lot of research about technical analysis and fundamental analysis, they hope to find out some methods to predict future price movement. This research use some factors which are relative with market price, market supply and demand to design a trading system. In this system we use moving average and orderflow information. Finally we’ll apply market regulation and trading cost to do simulation test.
The result shows that using market orderflow and moving average information can indeed catch price trend. It means that knowing how price change and market supply & demand could help trading decision and making abnormal return.

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