实证指数平滑移动平均线在中国股市的有效性
发布时间：2018-11-11 18:05
【摘要】：技术分析是指运用证券的价格、成交量等历史信息,预测证券价格未来走势的投资分析方法。经过多年的应用,技术分析已经与基本面分析一起形成金融市场中两大重要的投资分析流派,而技术指标是技术分析不可缺少的分析工具。但普通的投资人大多有过使用技术指标投资失败的经历,从而认为技术指标并不如书上介绍的那么有效,特别是在中国这样的新兴市场中。如何证明技术指标在沪深股市中的可靠性?如何正确的使用其稳定获利?如何使用技术指标从而形成一套完整的交易策略?本文将一一阐述。 本文选用了技术指标中最常用的指数平滑移动平均线(EXPMA)作为研究对象,对其买卖点的可靠性做了大量的统计学分析。首先本文介绍指数平滑移动平均线(EXPMA)的理论分析基础和数学算法,为了使本文的结论具有充分的说服力,本文从沪市抽取了最近两年超过五百只股票的样本,并严格定义抽样的条件和方法,尽可能的减少由于抽样条件设定而引起的系统误差。 在大量有效数据的基础上,对比了不同参数设定以及买入持有条件下的指数平滑移动平均线(EXPMA)的盈亏率,以期优化参数的设定达到收益最大化。同时分析了每次交易的时间周期从而计算出盈亏率与时间周期之间的相关性,进一步由简单的买卖点的盈亏率的统计形成一套完整的,包括有入场头寸,加仓,减仓,止损,仓位控制,资金管理等等,基于指数平滑移动平均线(EXPMA)的交易策略,同时考虑到交易费用和心态控制等等,完全真实模拟的实际的交易,并且使用样本个股进行完全的测试。以期最可靠的证实普通投资人使用简单的技术指标可以在中国股市中得到稳定的收益。
[Abstract]:Technical analysis refers to an investment analysis method that uses historical information such as stock price and turnover to predict the future trend of securities price. After years of application, technical analysis and fundamental analysis have formed two important investment analysis schools in financial market, and technical index is an indispensable tool for technical analysis. But most ordinary investors have had the experience of failing to invest in technology indicators, so that they are not as effective as the book suggests, especially in emerging markets like China. How to prove the reliability of technical index in Shanghai and Shenzhen stock market? How to use it properly to make a steady profit? How to use technical indicators to form a complete set of trading strategies? This article will explain one by one. In this paper, the index smoothing moving average line (EXPMA), which is the most commonly used technique index, is chosen as the research object, and the reliability of its buying and selling point is analyzed by a lot of statistics. First of all, this paper introduces the theoretical analysis basis and mathematical algorithm of exponential smooth moving average line (EXPMA). In order to make the conclusion of this paper fully convincing, more than 500 stocks were sampled from Shanghai Stock Exchange in the last two years. The conditions and methods of sampling are strictly defined to minimize the systematic errors caused by the setting of sampling conditions. On the basis of a large number of valid data, the profit and loss ratio of the index smooth moving average (EXPMA) under different parameter setting and buying and holding condition is compared in order to maximize the profit by setting the optimized parameters. At the same time, the time period of each transaction is analyzed so as to calculate the correlation between profit and loss ratio and time cycle. Further, the statistics of profit and loss ratio of simple trading point form a complete set, including entry position, position addition, position reduction, stop loss, etc. Position control, fund management, trading strategy based on exponential smoothing moving average (EXPMA), taking into account transaction cost and mentality control, etc. And the use of sample stocks for complete testing. Hope that the most reliable proof that ordinary investors can use simple technical indicators to achieve stable returns in the Chinese stock market.
【学位授予单位】：华东理工大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51
本文编号：2325699
[Abstract]:Technical analysis refers to an investment analysis method that uses historical information such as stock price and turnover to predict the future trend of securities price. After years of application, technical analysis and fundamental analysis have formed two important investment analysis schools in financial market, and technical index is an indispensable tool for technical analysis. But most ordinary investors have had the experience of failing to invest in technology indicators, so that they are not as effective as the book suggests, especially in emerging markets like China. How to prove the reliability of technical index in Shanghai and Shenzhen stock market? How to use it properly to make a steady profit? How to use technical indicators to form a complete set of trading strategies? This article will explain one by one. In this paper, the index smoothing moving average line (EXPMA), which is the most commonly used technique index, is chosen as the research object, and the reliability of its buying and selling point is analyzed by a lot of statistics. First of all, this paper introduces the theoretical analysis basis and mathematical algorithm of exponential smooth moving average line (EXPMA). In order to make the conclusion of this paper fully convincing, more than 500 stocks were sampled from Shanghai Stock Exchange in the last two years. The conditions and methods of sampling are strictly defined to minimize the systematic errors caused by the setting of sampling conditions. On the basis of a large number of valid data, the profit and loss ratio of the index smooth moving average (EXPMA) under different parameter setting and buying and holding condition is compared in order to maximize the profit by setting the optimized parameters. At the same time, the time period of each transaction is analyzed so as to calculate the correlation between profit and loss ratio and time cycle. Further, the statistics of profit and loss ratio of simple trading point form a complete set, including entry position, position addition, position reduction, stop loss, etc. Position control, fund management, trading strategy based on exponential smoothing moving average (EXPMA), taking into account transaction cost and mentality control, etc. And the use of sample stocks for complete testing. Hope that the most reliable proof that ordinary investors can use simple technical indicators to achieve stable returns in the Chinese stock market.
【学位授予单位】：华东理工大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51
【参考文献】
相关期刊论文 前2条
1 林玲,曾勇,唐小我;移动平均线交易规则检验[J];电子科技大学学报;2000年06期
2 唐雨虹,曾勇,唐小我;量价配合的技术分析交易规则有效性研究[J];电子科技大学学报;2005年05期
，本文编号：2325699
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