基于凸组合的移动平均线策略应用研究  

A moving average trading strategy based on convex combination

作　　者：刘晓 丁润莹 王淑慧[2] LIU Xiao;DING RunYing;WANG ShuHui(School of Finance and Banking,University of International Business and Economics,Beijing 100029;School of Economics and Management,Beijing University of Chemical Technology,Beijing 100029,China)

机构地区：[1]对外经济贸易大学金融学院,北京100029 [2]北京化工大学经济管理学院,北京100029

出　　处：《北京化工大学学报（自然科学版）》2019年第2期118-122,共5页Journal of Beijing University of Chemical Technology(Natural Science Edition)

基　　金：国家自然科学基金(71631005/71871062);教育部人文社会科学研究规划基金(16YJA630078)

摘　　要：鉴于随着市场有效性的增强,作为量化投资技术分析中重要指标之一的传统移动平均线策略逐渐失效。基于凸组合思路构建改进移动平均线策略,并给出了策略交易规则。对2005年10月17日—2017年12月31日的日收盘价数据进行不同日期参数的均线策略回测检验,结果表明:基于凸组合的移动平均线策略表现优于传统移动平均线策略,日期参数组合5～20的凸组合策略表现最好,基于凸组合的移动平均线策略具有较好的应用价值。As the effectiveness of the market increases,the traditional moving averages strategy-one of the important indicators in technical analysis-has gradually become invalid.This article describes an improved moving average strategy based on convex combinations and gives the strategy trading rules.The moving average strategy back-testing results of different date parameters of the closing price data from October 17,2005 to December 31,2017 show that our moving average line strategy based on convex combination performs better than the traditional moving average strategy,and the convex combination strategy of date parameter combination 5-20 performs best.Thus the moving average strategy based on convex combination clearly has better application value.

关 键 词：移动平均线 凸组合 策略改进 

分 类 号：F830.59[经济管理—金融学]