【摘要】：技術(shù)分析是指運(yùn)用證券的價(jià)格、成交量等歷史信息,預(yù)測證券價(jià)格未來走勢(shì)的投資分析方法。經(jīng)過多年的應(yīng)用,技術(shù)分析已經(jīng)與基本面分析一起形成金融市場中兩大重要的投資分析流派,而技術(shù)指標(biāo)是技術(shù)分析不可缺少的分析工具。但普通的投資人大多有過使用技術(shù)指標(biāo)投資失敗的經(jīng)歷,從而認(rèn)為技術(shù)指標(biāo)并不如書上介紹的那么有效,特別是在中國這樣的新興市場中。如何證明技術(shù)指標(biāo)在滬深股市中的可靠性?如何正確的使用其穩(wěn)定獲利?如何使用技術(shù)指標(biāo)從而形成一套完整的交易策略?本文將一一闡述。 本文選用了技術(shù)指標(biāo)中最常用的指數(shù)平滑移動(dòng)平均線(EXPMA)作為研究對(duì)象,對(duì)其買賣點(diǎn)的可靠性做了大量的統(tǒng)計(jì)學(xué)分析。首先本文介紹指數(shù)平滑移動(dòng)平均線(EXPMA)的理論分析基礎(chǔ)和數(shù)學(xué)算法,為了使本文的結(jié)論具有充分的說服力,本文從滬市抽取了最近兩年超過五百只股票的樣本,并嚴(yán)格定義抽樣的條件和方法,盡可能的減少由于抽樣條件設(shè)定而引起的系統(tǒng)誤差。 在大量有效數(shù)據(jù)的基礎(chǔ)上,對(duì)比了不同參數(shù)設(shè)定以及買入持有條件下的指數(shù)平滑移動(dòng)平均線(EXPMA)的盈虧率,以期優(yōu)化參數(shù)的設(shè)定達(dá)到收益最大化。同時(shí)分析了每次交易的時(shí)間周期從而計(jì)算出盈虧率與時(shí)間周期之間的相關(guān)性,進(jìn)一步由簡單的買賣點(diǎn)的盈虧率的統(tǒng)計(jì)形成一套完整的,包括有入場頭寸,加倉,減倉,止損,倉位控制,資金管理等等,基于指數(shù)平滑移動(dòng)平均線(EXPMA)的交易策略,同時(shí)考慮到交易費(fèi)用和心態(tài)控制等等,完全真實(shí)模擬的實(shí)際的交易,并且使用樣本個(gè)股進(jìn)行完全的測試。以期最可靠的證實(shí)普通投資人使用簡單的技術(shù)指標(biāo)可以在中國股市中得到穩(wěn)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.
【學(xué)位授予單位】：華東理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51

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本文編號(hào)：2325699