摘要
我国期货市场的投资者大多数为采用技术指标分析法的“噪音交易者”。其中,趋势线是最常用的技术指标之一,但趋势线的确定和使用方法因投资者而异,没有统一的标准。因此,现有工作也缺少对趋势线盈利能力的实证研究。文章首先基于拐点构建动态趋势线,其次基于动态趋势线构建Z(Zigzag Trend Line)模型,再次基于模型构建期货投资策略,并使用38个期货品种近10年的1小时价格数据进行实证研究。实验结果显示,Z策略的回撤大、胜率低,但盈利水平比较高,属于高风险、高回报策略。最后通过结合研究成果和Markowitz组合投资理论给出构建投资组合的建议,在保证收益的同时进一步降低投资风险。
The majority of investors in China's futures market are"noise traders"who use technical indicator analysis method.Among them,trend line is one of the most commonly used technical indicators.However,the determination and use of trend lines vary among investors and there is no unified standard.Therefore,existing work also lacks empirical research on the profitability of trend lines.This paper first constructs a dynamic trend line based on inflection points,and then constructs a Z(Zigzag Trend Line)model based on the dynamic trend line.Next the paper constructs a futures investment strategy based on the model and conducts empirical research using 1-hour price data of 38 futures varieties over the past 10 years.The experimental results show that the Z strategy has a large drawdown,low win rate and a relatively high level of profitability,belonging to a highrisk and high return strategy.Finally,by combining the research findings with Markowitz portfolio investm ent theory,suggestions for constructing investment portfolios are provided to further reduce investment risks while ensuring returns.
作者
李爱泉
柯琦
LI Aiquan;KE Qi(Guangxi University of Finance and Economics,Nanning 530000,China;Guangxi Financial Big Data Key Laboratory,Nanning 530000,China)
出处
《商业观察》
2024年第1期61-64,共4页
BUSINESS OBSERVATION
基金
广西高校中青年教师基础能力提升项目(2021KY0649)。
关键词
期货
策略
趋势线
futures
strategy
trend line
