| 基于技术分析指标组合的程序化交易模型研究 |
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| 引用本文： | 刘伟,沈春根. 基于技术分析指标组合的程序化交易模型研究[J]. 经济数学, 2015, 0(3): 87-92 |
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| 作者姓名： | 刘伟 沈春根 |
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| 作者单位： | （1．上海金融学院 统计与数学学院，上海201209；2．上海市金融信息技术研究重点实验室 上海财经大学，上海200433） |
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| 摘 要： | 程序化交易的兴起对技术分析方法的发展提供了新机遇,利用常见技术分析指标,建立基于指标组合的交易策略,并从统计分析角度讨论了交易策略的理论基础,最后通过实证分析验证了该策略的稳定表现和可观收益,以期为程序化交易模型研究提供新思路.
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| 关 键 词： | 程序化交易模型；MACD指标；KDJ指标；平稳性检验. |
Research on Program Trading Strategies Based on Combination of Technical Analysis Indicators |
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| LIU Wei,SHEN Chun-gen. Research on Program Trading Strategies Based on Combination of Technical Analysis Indicators[J]. Mathematics in Economics, 2015, 0(3): 87-92 |
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| Authors: | LIU Wei SHEN Chun-gen |
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| Abstract: | Program trading provides the new opportunities for the development of the technical analysis methods. This paper utilized the technology indicators, established program trading strategies based on combination of indicators, discussed the theoretic basis of the trading strategy, and verified the stability performance and the considerable income of the strategy by the empirical analysis, which provides a new idea for the research on program trading model. |
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| Keywords: | Program Trading Model MACD, KDJ Stationary Test |
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