大盘牛熊的判别研究及检验

The Research and Examination of Bull Market and Bear Market

为了平衡现货市场中的系统性风险,投资者往往选择通过套期保值进行风险对冲,所以准确判断大盘市场中的牛熊市转换机制成为学者们探研的关键。本文依据相应理论,选取MACD、TRIX、DMI以及MTM指标,通过调整适当参数建立用来判断牛熊转换的模型,产生综合指标TREND来确定进入熊市进行套期保值的时间以及熊市结束进入牛熊转换时期所应平仓时机,为投资者准确决策提供有力依据。

In order to balance the systematicrisk in the spot market,investors often choose to hedge the risk throughhedging.So accurately judging the bull bearmarket conversion mechanism in the market has become the key for scholars toexplore.According to relevant theories,MACD,TRIX,DMI and MTM indexes areselected in this paper.By adjusting the appropriate parameters,a model is establishedto judge the conversion between bull and bear market,and a comprehensive indexTREND is generated to determine the hedging time in the bear market and theclosing time when the bear market ends in the bull and bear transition period,so as to provide a powerful basis for investors to make accurate decisions.