双均线择时策略的循环优化与绩效研究——来自上证50指数的证据  

Study on the Optimization and Effect of Moving Average Timing Strategy:Taking the SSE 50 Index as an Example

作　　者：魏来 李杨 WEI Lai;LI Yang(Taiyuan University of Technology,Taiyuan 030024,China;Shanxi Finance and Taxation College,Taiyuan 030024 China;Agricultural Bank of China Taiyuan Branch,Taiyuan 030024,China)

机构地区：[1]太原理工大学,太原030024 [2]山西省财政税务专科学校,太原030024 [3]中国农业银行太原分行,太原030024

出　　处：《中国证券期货》2023年第5期81-88,共8页Securities & Futures of China

基　　金：山西省教育科学“十四五”规划2022年度一般规划课题基于海龟法则的量化交易教学路径研究(GH-220177)。

摘　　要：均线策略是业界趋势择时的常用策略,但由于其参数优化的理论研究匮乏,致使均线策略的预测能力常被学界低估。本文系统地回顾了国内外均线择时的建模方法,按照循环迭代的方式寻找双均线策略的最优化解,并将数据可视化,为科学使用双均线策略提供了思路。本文以上证50指数为标的,实证得出的迭代最优解突破了以往对长短周期的常规限制,一定程度上解决了均线交易信号频繁产生导致高交易成本的弊病,相比买入持有策略,较大程度地提升了交易绩效。The moving average(MA)is widely usedto tracing the stock trendsin the industry.However,Most studies ignore the parameter settings of the MA,which leads to underestimation of the potential of the MA.Therefore,this paper systematically reviews thedomestic and foreign research inMAtrading rules.Our system proposes the cyclical iteration modelto optimize tradingstrategies based on the MA.Furthermore,data visualizationis invented to assist investors to make trading decisions.Based on the SSE 50 index,the experiments remove restrictions and extend the limits of the MA,reduce the transaction costs causing byinvalid signal to take advantage of the MA s capability well.The cyclical iteration model beats the buy-and-hold strategy by yieldingmore profits.

关 键 词：择时策略 参数优化 移动平均 自相关 数据可视化 

分 类 号：F27[经济管理—企业管理]