本研究以指數期貨，匯率期貨，公債期貨等共25檔以美元計價期貨為研究對象，分析資料來自國外付費資料庫TradeStation，期間長度為2003年1月2日至2012年12月31日，共計10年資料日資料，這份研究旨在使用通道突破系統下比較「隨機挑選」與「波動率篩選」兩種挑選方法，回測「波動率篩選」的期貨組合是否能夠顯著擊敗「隨機挑選」的期貨組合。實證結果指出，經過篩選的期貨組合歷史回測的績效能顯著大於隨機挑選的期貨組合，由於投資人花了很大的功夫在改善交易策略，而本研究結果顯示運用適當方法挑選適合投資人交易策略的市場，也是影響交易績效的重要因素。

In this study we use stock futures, commodity futures, currency futures, bond futures, a total of 25 different futures markets in U.S. Dollar. The daily data which is obtained from TradeStation database cover from January 2, 2003 to December 31, 2012, with 10 year data in total, This study utilize Donchian channel breakouts trading strategies to evaluate two set-ups, “random select” futures portfolio and “low volatility select” futures portfolio, The empirical evidence indicates there is significant difference between futures portfolio performance of “random select” portfolio and “low volatility select” portfolio, Generally, investors take a lot of effort in improving the trading strategy. The study shows that using methods to filter appropriate markets for investors trading strategy is also an important factors affecting trading performance.

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