The Effectiveness Test Of MACD In The Technical Analysis Of Stock

The stock market occupies the extremely important status in the capital market, in under the market economy condition, the stock market already became the important domain now which enterprise financing, the populace invested, is the economical barometer, to optimized the resources disposition and the economy develops to the limit the big promoter action.For many years the domestic and foreign scholars have craved in to stock market's research, the negotiable securities investment technology analysis method are invested frequently the populace to love to talk about.The technical analysis has the mystical color frequently, attraction more and more many scholars conducts the research regarding this, in the multitudinous technical analysis tool, the MACD target is used frequently by the investor, therefore this article must based on the MACD target classics definition, conduct the real diagnosis research to its function in the Chinese Shanghai Stock market's validity.This article real diagnosis research was read the massive domestic and foreign literature in author, carried on to the correlation theories knowledge and in the statistical model full study foundation.MACD is one of commonly used technical analysis methods, therefore has the necessity before the research first carries on the statement to the technical analysis theory development course.The negotiable securities investment technology analysis origins from Wall Street's road theory, until now some more than 100 years history, have been very few in the practice operation some people not to use the technology to analyze completely.The technical analysis theory development has experienced the traditional technology analysis theory stage and the modern technology analysis theory stage.Based on to the technical analysis theory development course understanding foundation in, this article starts to cut into the subject.Looks over the domestic and foreign literature to the MACD validity check, mainly is the examination uses the MACD target carries on time the stock investment whether can obtain the excess profit, the condition returns ratio which by MACD an important way is the examination which has the transaction signal obtains whether obviously is higher than unconditionally the returns ratio.At present to moves the average rule the validity to carry on the examination the method to be possible to induce is four kinds:Double sample mean T-test, Bootstrap law, non-parameter method of average as well as front artificial nerve network method.At present also mostly concentrates to stock market's research in to the stock returns ratio research in, the multitudinous research indicated the stock returns ratio sequence can display the undulation accumulation, the peak thick tail as well as the undulation asymmetrical characteristic.But in view of these three characteristics, the general linear model has been unable to explain that, only can the application non-linear model (for example ARCH race model) explain the returns ratio these undulation characteristic.In to the technical analysis as well as the MACD target correlation theories, the returns ratio sequence characteristic as well as is suitable the model in the full study foundation, this article starts to enter the real diagnosis research stage.This article real diagnosis research selects card index and 30 sample stock (including bulk lots stock, central disk stock and small dish stock each 10) takes the sample from January 1,2004 to December 31,2009 closing price.First carries on the descriptive statistical analysis to it, obtains (i.e. buys up and has strategy) unconditionally descriptive statistics target values and so on returns ratio average value, standard deviation, kurtosis, skewness, has confirmed on card index and 30 sample stock which elects displays the undulation accumulation in the sample time returns ratio, the peak thick tail, therefore chose GARCH(1,1) non-linear model to carry on the examination, whether further confirmed this model to explain returns ratio these characteristics.The MACD target displayed certain forecast ability in sample time Shanghai Stock market, was especially strongest to the central disk stock instruction function.GARCH(1,1) model cannot catch the undulation asymmetry which the present stage Shanghai stock returns ratio displays.Although the MACD target displayed certain validity, but because the target own attention long-term trend characteristic and the present China Stock market investor pays attention to the short-term tendency the characteristic, MACD by no means most effective.Compares with the MACD target, the short line rule can instruct the present stage China Stock market investor to make a profit.This article also proposed some practices operates the suggestion, will have the enlightenment by the time to the investor and the next researcher.In the practice the investor wants to pay attention to the MACD target with the short line MA coordination use, as far as possible long-term investment, the intermediate stage investment and the short line operation unify, must consider the risk during pursue income the size; The MACD target with other technical specification coordination use, the trend analysis, ultra buys ultra sells the phenomenon analysis as well as the quotation reverse signal analysis and so on unifies, simultaneously pays attention to various technical specification to confirm mutually, the increase forecast confidence level; The technical specification with other technology analysis method coordination use, the technical specification and the morphological analysis, the wave theory, the tangent theory as well as the base unit weight analysis unifies, and confirms mutually various technologies analysis method forecast result; The technology analysis method and the fundamental plane analysis coordination use, two method union use may make up the insufficiency mutually, like this can realize the medium and long-term investment and the short line operation unifies, changes the congenial custom for the good investment custom.In addition, this article also has very many insufficiencies, this article only is embarks from the MACD target classics definition conducts the research, the research premise too is simple and the idealization, in the very many operation realistic question all has not added the consideration, like asynchronous transaction question, transaction cost as well as turnover and so on influence.In the MACD target validity check considered the asynchronous transaction, the transaction cost as well as the turnover influence, in to the returns ratio undulation characteristic explanation model choice in considered the artificial intelligence the method, the MACD target lag exponent number question, as well as the MACD length of stride parameter choice question, these will all be the text needs further place of the thorough discussion in the next research.