老树能否再开新花？——经典交易策略的优化探索：来自中国股票市场的一个实证研究

Can Old Trees Bring New Flowers?—A Case Study of Trading Optimization in Chinese Stock Market

摘要: 技术分析的有效性是金融投资界一个永不退热的议题，当今流行的基于技术分析的投资策略产生于欧美较为成熟的证券市场，是这些市场价格运行规律的总结。众所周知，不同的交易机制会对交易者的心理进而对股票价格的运动规律产生影响，而我国当前的“T + 1”的交易制度与欧美证券市场实行的“T + 0”交易制度存在重要差别，这就使得那些在成熟的证券市场行之有效的投资策略在我国证券市场是否依然有效成为一个值得研究的课题。本文随机选取了42个板块指数就2012年5月3日至2013年4月1日这一时间段对移动平均技术的有效性运用统计的方法进行了实证分析；紧接着对移动平均技术从移动步长和穿越幅度两个方向的进行优化，结果表明优化之后的移动平均技术在中国市场是有效的。本文采用的引入适当的参数进入交易策略并对之进行优化也适用于其他经典技术分析。

Abstract: The validity of technical analysis has been a hot topic for several decades, and the technical-based trading strategy originally comes from the western stock market. It is mainly a summary of the price movements of the stocks in these markets. A commonly known fact is that different trading mechanisms may have different influences on the traders, and consequently different trading systems may have rather different stock price movements. Therefore it is of importance to carry out a survey that whether those commonly used trading strategies in the western security market have the same power in the Chinese security market, for the “T + 1” trading system currently used in China is very different from the “T + 0” system used in western countries. In this paper, we randomly choose 42 indexes and then statistically analyzed the average validity of the trading strategies that are based on the classic moving average (MA) techniques, using the daily stock prices from May 5th in 2012 to April 1st in 2013. We then introduce two parameters into the trading strategy, namely, the step length and range extent scope of the average and do the optimization of the trading strategy along these two parameters. Our results suggest that the optimized trading strategies keep their validity in Chinese market. The idea we used in this paper can be easily applied to other popular trading strategies, providing you with the system of suitable parameters.