本論文探討以虛擬貨幣為價格追蹤標的的差價合約(Contract for Difference，
簡稱(CFD)以傳統股市常見交易策略進行交易時所產生的可能變化與結果，
分別從資金最大回落狀況、獲利與虧損、期望值與風險報酬比率等指標來
評估交易策略的績效，進一步掌握交易策略特性，文中分別探討三種交易
策略，分別為海龜交易系統、馬丁格爾加碼法為策略交易系統以及逆勢布
林通道交易系統。比較這三個交易系統在 MetaTrader5(MT5)軟體回測加密
貨幣差價合約、指數差價合約時資金的損益狀況，並以這三種策略回測後
的結果來探討交易策略選擇的要素以及如何影響到績效，實證發現海龜交
易策略是三種交易策略中獲利金額最高之交易策略，卻也是資金虧損金額
最大的策略，評估是與該策略的交易頻率及移動停利的設計有關，此外也
發現到 BTCUSD 的標準差高達平均值的 155 倍之多，對順勢交易策略十分
有利。

This paper discusses the possible changes and results of CFDs (Contract for Difference, referred to as (CFD)) that use virtual currency as the price tracking target to trade with common trading strategies in the traditional stock market. , Expected value and risk-reward ratio and other indicators to evaluate the performance of the trading strategy, and further grasp the characteristics of the trading strategy. This article discusses three trading strategies, namely the turtle trading system, the martingale method as a strategy trading system, and the counter-trend Bollinger Channel Trading system. Compare the profit and loss status of these three trading systems when MetaTrader5 (MT5) software backtests cryptocurrency CFDs and index CFDs, and uses the results of these three strategies to discuss the elements of trading strategy selection and How to affect the performance, empirically found that the turtle trading strategy is the trading strategy with the highest profit amount among the three trading strategies, but it is also the strategy with the largest amount of capital loss. The evaluation is related to the trading frequency of the strategy and the design of the mobile stop profit. In addition It is also found that the standard deviation of BTCUSD is as high as 155 times the average value, which is very beneficial to the homeopathic trading strategy.

目錄
第一章 緒論	1
第一節 研究目的與動機	1
第二節 研究流程 	3
第二章 文獻探討	5
第一節 虛擬貨幣	5
第二節 交易策略	6
第三節 差價合約 	8
第三章 研究方法與資料	9
第一節 研究架構	9
第二節 研究變數與定義	9
第四章 實證結果	15
第五章 結論與建議	17
第一節 結論	17
第二節 建議	18
表1 BTCUSD 、SPX 敘述統計量(至 2014.04.19 至 2021.12.31)	19
表2 BTCUSD、ETHUSD、SPX敘述統計量(至 2017.04.20 至 2021.12.31)	19
表3 BTCUSD回測數據(由 2014.04.19 為測到 2021.12.31)	20
表4 SPX回測數據(由 2014.04.19 回測到 2021.12.31)	21
表5 BTCUSD回測數據(由 2017.04.20 回測到 2021.12.31)	22
表6 SPX回測數據(由 2017.04.20 回測到 2021.12.31)	23
表7 ETHUSD回測數據(由 2017.04.20 回測到 2021.12.31)	24
參考文獻	25
一 、中文參考文獻	26
二 、英文參考文獻	27

參考文獻
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