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

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.