上财系列金融实证方法（研究生）课件emp4

滤波法则（Filterrules）背景：根据过去价格序列可以设计出无穷多个交易法则。其中流行的最著名的一类，就是滤波法则。Alexander(1961,1964)pioneeredthetechniqueofthefilterrule.百分之y滤波：如果价格至少上升y%，那么买入证券并持有它，直至其价格从前一高位至少下跌y%，这时卖出股票并作空头；保持卖空头寸直至价格从前一低位上涨y%，这时补仓并买进股票。如果股价上涨或下跌低于y%，那么就不作交易。FilterRulesandStock-MarketTradingEugeneF.Fama,MarshallE.BlumeTheJournalofBusiness,1966DataDailyclosingpricesofDowJonesIndustrialAverage,30samplesJanuary,1956---September26,1962Filterrules:24differentfiltersrangingfrom0.5percentto50percentComparisonofRatesofReturn,BeforeComminsionsStock0.0050.020.035FBFBFBAlliedchemical0.1550.0680.0300.0660.0020.064Alcoa0.4010.0250.3300.0210.2700.008AmericanCan0.1210.0850.0880.0780.2010.071A.T&T0.1500.1890.1330.1850.1430.176AmericanTobacco0.1650.1700.0120.1680.0020.163NomonalAnnualRatesofReturn:AverageOverAllCompaniesSomeNewFilterRuleTests:MethodsandResultsRICHARDJ.SweeneyJournalofFinancialandQuantitativeAnalysis,1988Thesignificanceoftechnicaltrading-ruleprofitsintheforeignexchangemarket:abootstrapapproachRICHARDM.LEVICHJournalofInternationalMoneyandFinance,1993AbstractInthispaper,wepresentnewevidenceontheprofitabilityandstatisticalsignificanceoftechnicaltradingrulesintheforeignexchangemarket.…Ourresultssuggestthatsimpletechnicaltradingruleshaveveryoftenledtoprofitsthatarehighlyunusual.DataFuturespricesforfivecurrencies:Britishpound(BP),Canadiandollar(CD),Germanmark(DM),Japaneseyen(JY)andSwissfranc(SF)January1,1976toDecember31,1990,approximately3800dailyobservations.Asingletimeseriesisassembledbybringingtogetherquotationsonsuccessivenear-termcontracts.Samuelson(1976)hasprovedthat'nearfuturescontractsshow

morevariabilitythan(sufficientlyfar)distantones',…Ouranalysisoffuturespricechangesrevealsthatthereisnosignificantdifferencebetweenvolatilityfor'far'maturities(80~<T~<110)and'near'maturities(20~<T~<50).ReturnUnderthehypothesisofnocurrencyriskpremium,TRshouldnotbesignificantlydifferentfromzero.SamplestatisticsofdailyreturnsAutocorrelationfunctionsofdailyreturnsSimulationprocedurebootstrap(解靴带;自举；自助法)approach,whichassumesnothingaboutthedistributiongeneratingfunction.Eachtechnicalruleisthenappliedtoeachofthe10000randomseries,whichhavetheidenticaldistributionalpropertiesastheoriginalseries,andtheprofitsaremeasured.Thisproceduregeneratesanempiricaldistributionofprofits.Underthenullhypothesis,ifthereisnoinformationintheoriginalsequenceofdata,thentheprofitsobtainedfromtradingintheoriginalseriesshouldnotbesignificantlydifferentfromtheprofitsavailableintheshuffledseries.Profitabilityoffilterrules,percentperannummovingaveragerules,percentperannumTransactioncostsThelikelycostoftransactinginthecurrencyfuturesmarketisabout2.5basispoints(0.025percent)pertransactionforalargeinstitution.Amoreconservativeestimatewouldberoughly4.0basispoints.At65tradesperyear,aspeculatorwouldhavehistradingprofitsreducedby1.62percentperyearor2.60percentperyearifwetakeourmoreconservativemeasure.Forthemosttradingrulesweconsider,thevolumeoftradingisconsiderablysmaller,andtransactioncostsdonotsignificantlyaffectprofits.Statisticsonthe10000simulatedsamplesStabilitytestTomeasurethestabilityoftheseresultsovertime,wesplitthesampleperiodintothree,five-yearsub-periodsandrepeatedouranalysis:1976-1980;1981-1985;1986-1990Onaverage,thereissomedeteriorationovertimeintheprofitabilityoftheserules,buttheoveralldeclineissmall.RiskPremiumIfariskpremiumispresent,however,theriskpremiumasaconstantisConclusionTheseresultsstronglysuggestthattheactualexchangerateseriescontainedsignificantdeparturesfromserialindependencethatallowedtechnicaltradingrulestobeprofitable….,butthenatureofthatdependencyremainsunclear.SHCI0.010.050.10FBFBFB12/19/90—12/13/9612.1811.0336.4211.0317.8711.03SHCI:19970101---20100204技术指标实证检验研究背景实证对象：上证综指（SHCI）指标：MA、EMA、MACD、TRIX、BIAS、PSY、W%R、RSI、KDJ佣金：0.35%买卖规则1.算术移动平均线（SMA）高明的趋势波段交易师

[美]AlanS.Farley移动平均线的设定20天：短期趋势50天：中期趋势200天：长期趋势最流行的观点认为：200日移动平均线是股票牛市和熊市划分的参考标准。持股周期和图表相关性交易类型持股周期综合分析小投机商从秒到分钟1分钟,5分钟,15分钟日内交易者从分钟到小时1分钟,5分钟,60分钟价位交易者从小时到天60分钟,日线,周线职业交易者从天到周日线,周线,月线机构交易者从周到年周线,月线,年线TechnicalAnalysisoftheFutureMarkets(纽约金融学院JohnMurphy,1986)天然橡胶期货合约在上海期货交易所上市交易的天然橡胶合约日交易收盘价格数据交割月份为除2月和12月外的其他十个月，每个月份的合约采用分别报价的方式进行交易，本文将持仓量最大的合约称为主力合约。时间是从1998年1月5日到2007年4月19日。移动平均法交易系统参数设置单线模型：如果收盘价格从下往上穿越趋势线，就平掉空头合约并且开仓买进，多头合约一直持有直到收盘价格从上往下穿越趋势线，此时平多开空；保证金比例按照一般期货经纪公司的收取标准设定为12%而不是交易所规定的最低保证金5%；资金占用比例设定为30%，即每次交易使用的保证金不能超过前次交易结束后总资金的30%，这是比较安全的设定；初始资金设定为100,000元；交易手续费按照天然橡胶期货合约文本的规定为不超过成交金额的0.015%。趋势线参数M=19盈利倍数86.33交易次数187月收益率平均值0.0476月收益率标准差0.1208每次交易收益率平均值0.0307每次交易收益率标准差0.1251亏损次数120亏损点数（元/吨）-21065盈利次数67盈利点数61670盈亏总点数40605最大亏损点数-915最大盈利点数5625AQuantitativeApproachtoTacticalAssetAllocationMebraneT.Faber(ThemanagingdirectorandportfoliomanageratCambriaInvestmentManagementInc.inLosAngeles.CA)THEJOURNALOFWEALTHMANAGEMENT,Spring2007IntroductionThisarticleexaminesaverysimplequantitativemarket-timingmodel.Thistrendfollowingmodelisexaminedin-sampleontheU.S.stockmarketsince1900beforeout-ofsampletestingacrossmorethantwentyothermarkets.Theattemptisnottobuildanoptimizationmodel,buttobuildasimpletradingmodelthatworksinthevastmajorityofmarkets.Theresultssuggestthatamarkettimingsolutionisarisk-reductiontechniqueratherthanareturn-enhancingone.THEQUANTITATIVESYSTEMSimple,purelymechanicallogic.Thesamemodelandparametersforeveryassetclass.Price-basedonly.BUYRULE:Buywhenmonthlyprice>10-monthSMA.SELLRULE:Sellandmovetocashwhenmonthlyprice<10-monthSMAS&P500:1900-2005CAGR:compoundannualgrowthrate.MaxDD:maximumpeaktovalleydrawdown,measuredmonthlyMARRatio:absolutevalueof(CAGR/MaxDD)UlcerIndex(UI):squareroot[thesumofallR'^2values/N);Where:R=thepercentafundisbelowitshighestpreviousv