Research On The Application Of Quantitative Trading Strategies Based On Trend Theory In China's Stock Market

The trend theory in technical analysis has been a widely used investment trading strategy for most A-share investors.This article applies a method of quantifying transactions and selects the index and stock data of the A-share market from January 1,2011 to December 31,2016.A simulation transaction was conducted to empirically test the effectiveness of the moving average strategy in the A-share market.Taking into account that individual stocks may be artificially manipulated or subject to regulatory intervention,this paper first applies a more market-oriented Shanghai Stock Exchange Index,Shenzhen Stock Exchange Index,and Shanghai and Shenzhen 300 Index as trading assets to simulate transactions.The results show that in addition to too short-term and long-term moving averages Strategy,other moving average strategies can obtain considerable excess returns in the A-share market.The reason why the short-term moving average strategy has performed poorly is that it misjudges the number of transactions and the transaction costs are excessive.The reason for the poor performance of the long-term moving average strategy is that it has retraced at the time of the stock crash,and it is unable to capture the small-band profit during the turbulent period.However,the long-term moving average strategy is more able to capture the major rising bands such as bull markets,in addition to lower transaction costs.The 20-day and 30-day moving averages generally performed well.Longer-term moving average strategies perform better on securities with larger market capitalization.In addition,this article uses the 20-day moving average strategy to simulate trading of all stocks that have been listed since 2010.The transaction period is from January 1,2011 to December 31,2016.The results show that the 20-day moving average strategy can also obtain significant excess returns on individual stocks.