论文标题
在交易系列中累计回报的界限以及使用技术交易规则的验证
On the Bound of Cumulative Return in Trading Series and the Verification Using Technical Trading Rules
论文作者
论文摘要
尽管股票市场上有广泛使用的技术交易规则，但它们的盈利能力仍然存在争议。本文首先介绍并证明了累积回报的上限，然后介绍了许多常规技术交易规则。此外，在Bootstrap方法论的帮助下，我们研究了包括发达市场和新兴市场在内的不同国际股票市场上的技术交易规则的盈利能力。最后，结果表明，技术交易规则很难击败市场，甚至比随机交易策略的盈利甚至更低。
Although there is a wide use of technical trading rules in stock markets, the profitability of them still remains controversial. This paper first presents and proves the upper bound of cumulative return, and then introduces many of conventional technical trading rules. Furthermore, with the help of bootstrap methodology, we investigate the profitability of technical trading rules on different international stock markets, including developed markets and emerging markets. At last, the results show that the technical trading rules are hard to beat the market, and even less profitable than the random trading strategy.
