考虑交易费用与风险情况下移动平均交易规则的检验

Test of moving average rule considering trading costs and risks

本文在考虑交易费用和风险因素的情况下对移动平均交易规则进行了检验。采用变长移动平均检验发现 ,规则能否带来显著的异常收益受其采用的时间跨度长短的影响。而定长移动平均检验的结果显示 ,该规则不能带来显著的异常收益。上述结果表明移动平均规则的短期预测作用更明显。我们认为 ,技术分析的有效性并不确定 ,历史文献中股票收益可利用过去的收益来预测的论断仍需更进一步的证明。

This paper tests the moving average rule considering trading costs and risks. We adopt two variations of this rule: the variable-length moving average (VMA) and the fixed-length moving average (FMA). Whether the VMA can get significant abnormal returns depends on the rule's time span, while the FMA can't get significant abnormal returns for investors. The results provide strong evidence for the short-term predictability of technical trading rules, but powerful supports when under the condition of longer terms are still lacking. Futher study on the efficiency of technical trading rules and on the return predicability is as always needed.