基于移动平均的交易策略在中国市场的盈利能力分析

发布时间：2018-03-13 14:27

本文选题：技术分析　切入点：移动平均　出处：《上海交通大学》2014年硕士论文　论文类型：学位论文

【摘要】：本文阐述了基于移动平均的交易策略在中国股票市场的盈利性，并针对该策略设计了金融产品。回测表明将该策略分别应用到大盘指数、个股及波动组合中，收益远高于买入持有策略，，且风险低，具有高夏普比率及较低回撤。移动平均策略应用到大盘指数中可取得针对资本市场定价模型和法玛三因子模型均显著的正回报；对个股而言，该策略平均可获得显著正回报且可降低回报的波动；对波动组合而言，超额收益均显著且与组合的波动正相关。在针对大盘指数和波动组合的情况下，策略的收益对不同时间段和策略的周期参数具有稳健性，同时策略的超额收益较交易费用率不敏感。最后介绍了基于该交易策略的金融产品的具体执行细节，表明该策略应用在波动组合上的实用性及盈利性。
[Abstract]:This paper expounds the profitability of the trading strategy based on moving average in Chinese stock market, and designs the financial products for the strategy. The backtest shows that the strategy is applied to the large market index, the individual stock and the volatility combination, respectively. The return is much higher than the buy-holding strategy, and the risk is low, with high Sharp ratio and low retreat. The application of the moving average strategy to the market index can achieve a significant positive return for both the capital market pricing model and the Fama three-factor model. For individual stocks, the strategy can achieve significantly positive returns on average and reduce volatility; for volatile portfolios, the excess returns are significant and are positively correlated with the volatility of the portfolio. The return of the strategy is robust to the periodic parameters of different time periods and strategies, and the excess return of the strategy is not sensitive to the transaction cost rate. Finally, the implementation details of the financial products based on the trading strategy are introduced. The results show that the strategy is practical and profitable when applied to the fluctuating combination.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

【共引文献】