基于MACD与MA比较的价格趋势识别

本文运用趋势识别正确率和跟踪交易收益率两类指标,检验和比较了MACD和MA分析法的有效性。考虑交易费用后的实证结果显示:MACD比MA的价格趋势识别正确率高出5%以上,但两者都不及40%;MACD和中长期MA的跟踪交易都取得了超额收益,中长期MA的跟踪交易收益率比MACD更高;跟踪交易收益率很大程度上受交易费用的影响,并不与价格趋势识别正确率相关。这表明MACD和MA的价格趋势识别能力都很弱,但MACD在一定程度上克服了行情盘整阶段MA可能产生的虚假趋势反转信号,同时也会错失一些小幅度的价格变动趋势。从跟踪交易收益率看,MACD反而不如中长期MA有效。因此,合理使用技术分析法避免频繁交易有助于提高交易者在A股市场中的收益率。

By applying trend recognition accuracy and track trading yields, this paper compares the efficiency between MACD and MA. After considering transaction costs, the results show that the trend recognition accuracy of MACD is 5% higher than that of MA, but both are less than 40%; all MACD and long-term MA track trading obtain excess returns, and long term MA track trading yields are higher than MACD; track trading yield is greatly affected by the transaction cost, and uncorre- lated with trend recognition accuracy. It means that MACD and MA are weak in price trend recognition, but MACD can overcome the false trend reversal signal generated by MA to some extent, and may miss some small price trends. MACD is not more effective than MA in track trading yield. Avoiding frequent transactions with technical analysis can improve the investor return in A-share market.