| 摘要: |
| 技术分析是现代金融市场中一种重要的投资分析工具。本文基于沪深两地的证券市场，对双重移动均线交错、交易区间突破、亚历山大过滤规则、相对强度指数等常用的技术交易规则进行了全面的实证检验，采用了参数优化和样本外测试的方法来解决数据过度挖掘的问题，考虑了交易成本和风险因素，发现技术分析确实能够产生显著的经济收益，这说明我国证券市场尚未达到弱式有效。 |
| 关键词: 技术分析 经济收益 市场有效性 |
| DOI： |
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| 基金项目: |
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| The Economical Profit of Technical Analysis and Market Efficiency |
| WANG Tian-du,SUN Qian |
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| Abstract: |
| Technical analysis is an important tool for investment in security market. This paper tests many technical trading rules in Shanghai and Shenzhen stock markets, including Dual Moving-average Crossover, Trading Range Break, Alexander Filter Rule and Relative Strength Index. Parameter optimization and out-of-sample test are employed to solve the data snooping problem. The results show that, after the deduction of transaction cost, technical analysis can still generate significant economical profit, which proves that the Chinese stock market is not efficient in weak form. |
| Key words: technical analysis economical profit market efficiency |
