本研究主要探討臺灣期貨市場中不同交易群組下散戶交易人績效持續性，檢定是否會因交易次數不同而導致有較顯著性之績效持續性存在，研究期間自2006年3月27日至2008年7月31日，包含國內散戶交易之詳細日內交易資料，散戶將先計算持有部位月數及天數，以至少持有部位兩年（一年為252交易天數，兩年為504天)為選取標準，再以交易次數將剩餘之散戶分層抽樣，並分為三類群組：高頻、中頻及低頻交易群組。於計算報酬績效時，將採取三種結算方式：每日結算法（淨損益、成交損益及部位損益）、先進先出法及後進先出法。
檢測績效持續性之檢定方法採用過去文獻探討基金績效持續性所提及之簡單自我迴歸、Cross Product Ratio、Chi-Square及Spearman Rank Correlation等四種方法，分別檢測於不同結算方式計算下之高、中、低頻散戶績效持續性結果，研究其績效是否具有持續性現象，亦能觀察交易次數與持續性間之相關性。

The purpose of this study is to examine the transaction data of individual investors in Taiwan’s futures markets from March 27, 2006 to July 31, 2008, to explore under the different groups how the performance persistence is. At first, we will calculate the period that each individual investor holds the position. Then delete the holding period under two years, and group the remainders for three groups: high、middle and low frequency. Using three different types to calculate the performance, including: market to market, first in first out and last in last out.
To test the performance persistence, we use the previous studies’ methods-Regression, Cross Product Ratio、Chi-Square and Spearman Rank Correlation, observing that each group of individual investors’ performance persistence under the different types to calculate the performance, and also observe the correlation between the times of transactions and performance persistence.

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