英文标题：
《Profitability of simple stationary technical trading rules with
high-frequency data of Chinese Index Futures》
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作者：
Jing-Chao Chen, Yu Zhou, Xi Wang
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最新提交年份：
2017
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英文摘要：
Technical trading rules have been widely used by practitioners in financial markets for a long time. The profitability remains controversial and few consider the stationarity of technical indicators used in trading rules. We convert MA, KDJ and Bollinger bands into stationary processes and investigate the profitability of these trading rules by using 3 high-frequency data(15s,30s and 60s) of CSI300 Stock Index Futures from January 4th 2012 to December 31st 2016. Several performance and risk measures are adopted to assess the practical value of all trading rules directly while ADF-test is used to verify the stationarity and SPA test to check whether trading rules perform well due to intrinsic superiority or pure luck. The results show that there are several significant combinations of parameters for each indicator when transaction costs are not taken into consideration. Once transaction costs are included, trading profits will be eliminated completely. We also propose a method to reduce the risk of technical trading rules.
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中文摘要：
长期以来，金融市场从业人员广泛使用技术交易规则。盈利能力仍然存在争议，很少有人考虑交易规则中使用的技术指标的稳定性。我们利用2012年1月4日至2016年12月31日沪深300股指期货的3个高频数据（15s、30s和60s），将MA、KDJ和Bollinger带转换为平稳过程，并研究这些交易规则的盈利能力。采用多种绩效和风险度量直接评估所有交易规则的实际价值，而ADF检验用于验证平稳性，SPA检验用于检查交易规则是否因内在优势或纯粹运气而表现良好。结果表明，在不考虑交易成本的情况下，每个指标都有几个重要的参数组合。一旦将交易成本包括在内，交易利润将被完全消除。我们还提出了一种降低技术交易规则风险的方法。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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