Statistical Analysis Of Quantitative Investment Based On Volume Weighted Technical Indicators

Technical analysis has been an important part of the securities investment analysis.As the main tool of technical analysis,technical indicators provide a great help for investors' decision-making.This paper introduces the different calculation methods and the law of application of the technical indicators,and then the technical indicators are analyzed from both theoretical and empirical aspects.The theory part is based on the assumption of Black-Scholes model,derived statistical properties of statistics derived from average indicators base on the stock price follows Geometric Brownian motion.Empirical study is performed primarily using the idea of price combined with volume,comparing the different performance between the technical indicators joined volume information and the original technical indicators in the stock markets.Data for analysis includeclosing price,opening price and volume of the Shanghai Composite Index and Standard & Poor's Index of 10 years' total transactions from 2006 to 2015.Selected technical indicators include simple moving average SMA,convergence divergence moving average MACD,and the corresponding indicators of VWMA,VW-MACD which added volume information and volume-price confirmation indicator VPCI.The performance evaluation of technical indicators has been analyzed from two aspects,on the one hand,by comparing the returns obtained from buy and hold strategy;on the other hand,this paper proposed the concept of profit factor which use conditional value at risk CVaR as the risk measurement for technical indicators,with total rate of return during the review period divide CVaR to calculate the unit risk return after adjustment-profit factor.Wherein CVaR obtained from Bootstrap sampling method.The empirical results show that VWMA which added volume information performs better than SMA overall in both Shanghai Composite Index and the Standard & Poor's Index.And the double moving average is more reliable than a single moving average on the profitability and stability for trading direction.VW-MACD(12,26,9)don't play a role in improving yields compared to the MACD(12,26,9)on the Shanghai Composite Index,but VW-MACD(12,26,9)did turn from deficits to profit for the Standard & Poor's index,which explained VW-MACD indicator is still have a certain sense of analysis.The empirical analysis of volume-price confirmation indicator VPCI is combined with the double moving average indicator.By using VPCI to confirm the buying point based on the double moving average indicator has original selected.If both VPCI and SMA are sent a signal of shares rose then open a position.The results show that the strategy which combined with VPCI indicators can get higher returns than double moving average indicators.It indicates that VPCI indicators have a certain role to help investors estimate the price trend.From the overall performance of technical indicators used in these two markets,there is a big difference in the effectiveness and performance of parameters when the same technical indicators used in different stock markets.Most technical indicators performs better than buy and hold strategy for Shanghai Composite Index,but technical indicators applied to the Standard & Poor's Index is difficult to obtain excess returns.It illustrates the stronger the effectiveness of stock markets is,the weaker the effectiveness of the technical indicators.