移动平均线交易策略有效性比较研究
发布时间：2018-07-27 21:03
【摘要】：本文主要研究移动平均线交易策略在历史上的投资有效性、某些重要因素对其投资有效性的影响、基于历史数据确定的有效策略用于未来投资的有效程度及对50ETF指数基金有效的策略用于成分股投资的有效性。通过本文的研究得出了一些对理论界和实务界均有意义的研究结论。研究发现在过去8年中部分移动平均线投资策略可以获得显著的超额收益，移动平均线策略具有一定的使用价值；时间长度越短的投资策略效率越低下，，短于10日的均线组合获利效率非常低下；交易成本的存在大幅度减少了移动平均线投资策略获取的累计收益和超额收益，但只是降低策略的绝对效率，不影响相对效率；在一种大势情形下表现好的策略在其他大势情形不一定表现好，但是表现差的策略在其他大势情形表现也差；基于历史数据确定的策略在未来投资时具备一定的参考性；在50ETF指数基金中表现好的策略用于成分股中投资也较为有效。 本文的研究对实务界的启示主要有：移动平均线作为投资参考指标有一定价值，尤其是止损效果良好，认为该指标完全无效的观点是不科学的；就单个移动平均线策略而言，获利的稳定性不能确定。所以一直盲目崇拜和使用某一个移动平均线指标也是不科学的；不同的市场时期，同一个移动平均线策略组合效果不一样。建议在实际开发量化策略过程中，如果要使用移动平均线策略，更多的精力应当放在如何识别和转换至当前最有效的移动平均线策略上；时间长度太短的移动平均线交易策略不论交易成本如何效果都不好，在实际运用中建议使用时间长度较长的移动平均线策略；交易成本对移动平均线策略的相对效率影响不大，在开发量化策略时，可以不用花费太多精力和模型去模拟计算交易成本的影响；在开发个股的量化策略时，因为对指数有效的策略对个股也相对有效，所以可以先研究最小范围整体指数，然后再针对个股的特点修正策略。这种路径开发量化策略可以有效的节约开发成本和开发时间。
[Abstract]:This paper mainly studies the investment efficiency of the mobile average line trading strategy in history, and the influence of some important factors on the investment efficiency. Based on the historical data, the effective degree of the future investment of the effective strategy and the effectiveness of the effective strategy for the 50ETF index fund to invest in the constituent stock are determined. Through the study of this paper, some research conclusions of significance to the theoretical and practical circles are obtained. It is found that in the past eight years, some of the moving average investment strategies can obtain significant excess returns, and the moving average line strategies have some useful value, and the shorter the length of time, the lower the efficiency of investment strategies. The profit efficiency of the average portfolio less than 10 days is very low, the existence of transaction cost greatly reduces the accumulated income and excess income obtained by the mobile average investment strategy, but only reduces the absolute efficiency of the strategy and does not affect the relative efficiency. The strategy that performs well in one situation may not perform well in other situations, but the strategy with poor performance is also poor in other situations, and the strategy determined based on historical data has some reference value in the future investment. Good performance in the 50ETF index fund strategy used in the composition of the investment is also more effective. The main implications of this study are: moving average as an investment reference index has certain value, especially the effect of stop loss is good, the view that the index is completely ineffective is not scientific; as far as the single moving average strategy is concerned, The stability of profit is uncertain. Therefore, it is not scientific to blindly worship and use a moving average index. In different market periods, the combination effect of the same moving average strategy is not the same. It is suggested that in the process of developing quantization strategy, more attention should be paid to how to identify and convert to the most effective moving average strategy if the moving average strategy is to be used. However, no matter how effective the transaction cost is, the mobile average strategy with long time length should be used in practice, and the transaction cost has little effect on the relative efficiency of the moving average line strategy. In developing quantification strategies, you don't have to spend too much effort and model to simulate the impact of calculating transaction costs; in developing quantification strategies for individual stocks, the strategy that works for an index is also relatively effective for individual stocks. Therefore, we can first study the minimum range of overall index, and then the characteristics of individual stocks to modify the strategy. This path development quantification strategy can save development cost and development time effectively.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224
本文编号：2149129
[Abstract]:This paper mainly studies the investment efficiency of the mobile average line trading strategy in history, and the influence of some important factors on the investment efficiency. Based on the historical data, the effective degree of the future investment of the effective strategy and the effectiveness of the effective strategy for the 50ETF index fund to invest in the constituent stock are determined. Through the study of this paper, some research conclusions of significance to the theoretical and practical circles are obtained. It is found that in the past eight years, some of the moving average investment strategies can obtain significant excess returns, and the moving average line strategies have some useful value, and the shorter the length of time, the lower the efficiency of investment strategies. The profit efficiency of the average portfolio less than 10 days is very low, the existence of transaction cost greatly reduces the accumulated income and excess income obtained by the mobile average investment strategy, but only reduces the absolute efficiency of the strategy and does not affect the relative efficiency. The strategy that performs well in one situation may not perform well in other situations, but the strategy with poor performance is also poor in other situations, and the strategy determined based on historical data has some reference value in the future investment. Good performance in the 50ETF index fund strategy used in the composition of the investment is also more effective. The main implications of this study are: moving average as an investment reference index has certain value, especially the effect of stop loss is good, the view that the index is completely ineffective is not scientific; as far as the single moving average strategy is concerned, The stability of profit is uncertain. Therefore, it is not scientific to blindly worship and use a moving average index. In different market periods, the combination effect of the same moving average strategy is not the same. It is suggested that in the process of developing quantization strategy, more attention should be paid to how to identify and convert to the most effective moving average strategy if the moving average strategy is to be used. However, no matter how effective the transaction cost is, the mobile average strategy with long time length should be used in practice, and the transaction cost has little effect on the relative efficiency of the moving average line strategy. In developing quantification strategies, you don't have to spend too much effort and model to simulate the impact of calculating transaction costs; in developing quantification strategies for individual stocks, the strategy that works for an index is also relatively effective for individual stocks. Therefore, we can first study the minimum range of overall index, and then the characteristics of individual stocks to modify the strategy. This path development quantification strategy can save development cost and development time effectively.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224
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