Research And Design Of The "Shanghai Stock Composite Index Trading System"

This dissertation, using the financial experiment and the computer imitation as the main method, under the guideline of the experimental financial idea, makes a trading system research of the Shanghai Stock composite index.This paper discusses the designing principle of the "Shanghai Stock composite index trading system", including the theory of the market supply anddemand relationship------the price of the stock is decided by the supply anddemand relationship, and the elastic theory of the stock price------the price wouldgo down after a big rising, go up after a big falling, and the history replayingtheory------one of three hypothesis of the technical analysis, the trend of the stockprice would replay historically. And this dissertation makes a deep experimental analysis of the historical replaying characteristic of the Shanghai Stock composite index.The keystone of this dissertation is the conformation of the trading model, including the buying signal model, and the selling signal model. In the formation process of the model, the computer tech index will be used to make the imitation experiment of the K line of the Shanghai Stock composite index, and to get a trend characteristic with statistical reliability in the experimental result, and then conclude the trend traits to two species, bottom or top, and in the end, transforms this two kinds of traits to trading model with program language and math formula.This dissertation makes the efficiency test of the trading system directed to the trading model, including the buying up test in Entire market, The buying up test in Bull market, The buying up test in Bear market, The short sales test in Entire market. the testing process utilize the testing platform of the FoxTrader trading system, to do the statistical test of the historical data of the Shanghai Stock composite index through the computer imitation, and then analyze the testing result comparatively, to corroborate the validity and the stability of the "Shanghai Stock composite index trading system" in different market status and different operation manner.This paper expresses the historical replaying characteristic of the price trend of the Shanghai Stock composite index in a very condition; explains the...