期货投资中技术分析有效性的实证研究——基于沪铜与伦敦铜的比较分析

Empirical Research on Effectiveness of Technical Analysis in Future Investment——Comparison of Copper Future between SHFE and LME

技术分析是期货投资者进行投资决策的一项重要工具,因此研究技术分析的有效性以及对不同技术分析手段进行比较有着重要现实和理论意义。本文着眼于移动平均策略和区间突破策略两类有代表性的技术分析手段之间的比较,选择沪铜合约作为研究对象,并以LME的伦敦铜为参照,类比研究了两个市场不同技术分析手段的有效性问题。研究发现区间突破策略相对固定期移动平均策略更为有效,选择长期阻力支撑线的区间突破策略,投资收益率相对更高。研究侧证了我国期货市场逐步成熟,但与国际成熟市场相比,仍有一定的差距。

It has important practical and theoretical value to study the effectiveness of technical analysis and compare different technical measures because technical analysis is an important decision making tools for future investors. The paper chooses copper future as research target to test the effectiveness of FMA and TRB on SHFE and LME. The paper finds that TRB is more effective than FMA. Investors can obtain a higher investment return by long range TBR. The research proofs china future market tends to be mature but still lag behind the international future market.