| 中文题名： | 双均线策略的动态有效性研究 |
| 姓名： | |
| 保密级别： | 公开 |
| 论文语种： | 中文 |
| 学科代码： | 071102 |
| 学科专业： | |
| 学生类型： | 硕士 |
| 学位： | 理学硕士 |
| 学位类型： | |
| 学位年度： | 2021 |
| 校区： | |
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| 研究方向： | 金融工程 |
| 第一导师姓名： | |
| 第一导师单位： | |
| 第二导师姓名： | |
| 提交日期： | 2021-06-28 |
| 答辩日期： | 2021-05-26 |
| 外文题名： | Research on dynamic effectiveness of double moving average strategy |
| 中文关键词： | |
| 外文关键词： | technical analysis ; adaptive market hypothesis ; double moving average strategy ; Sharpe ratio |
| 中文摘要： |
量化策略的有效性探究对应用领域的量化投资以及理论领域的金融市场的有效性都 具有重要意义。把金融市场看作一个演化的复杂系统，因而量化策略的有效性以及相应的 金融市场的有效性就是一个动态演化的市场特征。本文基于新兴市场和发达市场中共 10 个 股票市场价格指数日数据，对双均线策略在以上股票市场中的动态有效性进行探究。首先， 本文利用了回测模拟及BLL[1]的检测方式，分别对 10 个股票市场的不同时间段进行回测， 得出双均线策略在股票市场中总体上有效的结论。其次，运用夏普比率作为交易策略有效 性的测度指标，在不同长度的时间窗口内对双均线策略有效性进行测定，并通过时间窗口 的滑动得出显示双均线策略有效性动态变化的时间序列。其中，为探讨BLL的文章发表（该 论文发表于 1992 年）可能对双均线策略有效性的影响，本文以 1992 年为界将时间序列划 分为BLL前区间（1992 年前）与BLL后区间（1992 年后），发现在 1992 年之后，有效性动态 曲线会发现显著的变化，这可能意味着投资者对双均线策略的广泛使用会对策略有效性有 影响。最后，进一步研究了双均线策略交易触发信号出现的当天及其附近日期的收益率， 发现在 1992 年后信号出现当天不再产生超额收益，而信号出现的前一天具有超额收益，这 可能意味着投资者对双均线策略的使用有着更复杂的适应性特征。
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| 外文摘要： |
The research on the effectiveness of the quantitative strategy is of great significance to the quantitative investment in the application field and the effectiveness of the financial market in the theoretical field.The financial market is regarded as an evolutionary complex system, so the effectiveness of the quantitative strategy and the effectiveness of the corresponding financial market is a dynamic evolution of the market characteristics. Based on the daily price index data of 10 stock markets in emerging markets and developed markets, this paper explores the dynamic effectiveness of the double moving average strategy in the above stock markets. First of all, this paper uses the back test simulation and the detection method of BLL to test back 10 stock markets in different time periods, and draws the conclusion that the double moving average strategy is effective in the stock market as a whole. Secondly, the Sharpe ratio is used as the index to measure the effectiveness of the trading strategy, and the effectiveness of the double moving average strategy is measured in different time windows. Through the sliding of the time window, the time series showing the dynamic change of the effectiveness of the double moving average strategy is obtained. In order to explore the possible impact of BLL's paper published in 1992 on the effectiveness of the double moving average strategy, this paper divides the time series into the pre-BLL interval (before 1992) and the post-BLL interval (after 1992). It is found that significant changes will be found in the effectiveness dynamic curve after 1992, which may mean that the widespread use of the double average strategy by investors will affect the effectiveness of the strategy. Finally, we further study the rate of return on the day on which the double average strategy trigger signal appears and the date near it, and find that there is no excess return on the day after 1992, but there is excess return on the day before the signal emerges, which may mean that investors have more complex adaptive characteristics to the use of double moving average strategy.
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| 参考文献总数： | 55 |
| 馆藏号： | 硕071102/21006 |
| 开放日期： | 2022-06-28 |
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