The Effectiveness Test Of MACD In A Share

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 than100years 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.Empirical test to China’s A-share market in Shanghai and Shenzhen300Index constituent stocks and the small board index constituent stocks for the sample, were selected prior to January1,2006all listed on the Shanghai and Shenzhen300Index constituent stocks (207) and a small plate (50) index constituent stocks, the sample time interval between January1,2006to November30,2011, nearly six years a total of1437trading days, the relevant data. A conventional paired testing, the main test in the net of transaction costs, the two most commonly used trading rules to variable-length MACD trading rules and fixed-length MACD trading rule, by comparing the MACD technical indicator strategy and the buy and hold strategy before and after comparison of the yield criteria to test the MACD technical indicator to investors excess returns. The second t-test, test net of transaction costs and net market risk, after deducting the handling of market risk, mainly according to the Fama French model, the three-factor model fit the A-share market. Fit the needs of a loss of200trading days of the relevant data, so the test of time interval from November2,2006until November30,2011, test variable-length MACD trading rule whether the excess returns. And concluded, after deducting transaction costs, variable-length MACD technical specifications regardless of the CSI300index of stocks in small cap stocks as represented by small and medium-sized board index stocks or the stocks of large and mid-represented by valid statistical significance. CSI300Index and small board index in a bull phase, variable-length MACD technical indicator is invalid, but also on the small board index more pronounced compared to the CSI300index is invalid; but entered a bear market, variable length MACD technical indicatoreffective, and very small board index. Net of transaction costs, the fixed-length MACD technical indicators set fixed length range (5days,10days and15days), both the Shanghai and Shenzhen300Index and small board index, or CSI300Index stocks and The small board index stocks are not direct investors to obtain excess returns. And from the point of view of the yield curve of the index underperformed the buy and hold strategy, the situation is quite stable, stable underperform in bull and bear markets, and with the fixed-length magnitude decreases, underperforming buy hold strategy, even more serious. Net of transaction costs and after deduction of market risk based on the return to a three-factor model to test207CSI300stocks and50small board stocks, only seven-up holding a stock T-test value greater than0significant T value of the remaining stocks were significantly less than0, that is, after deducting transaction costs and market risk, stocks MACD trading rule action can not be over-income. So to conclude, after considering transaction costs and risk, the inspection and the result does not prove that the technical rules.Overall, the inspection, we found that, net of transaction costs in the sample period, the MACD technical indicators to guide investors to trade, does not give investors the excess rate of return of more than buy and hold strategy. The only place worthy of deep space, we found two large bull market in the sample period, the variable-length MACD technical rules guiding significance on the Shanghai and Shenzhen300Index and small board index is poor especially for the index of small plates, but in the two larger bear market, the longer MACD technical rules effect ideal, especially in the small board index staggering, and can even get a good absolute return.This article, there are many inadequate and needs to be improved. In the inspection process, this paper does not consider the impact of trading volume did not consider the impact of the cost implications, but the importance of both the actual investors is very important, it will affect the technical indicators stock trading in guiding the formation of the actual rate of return. In addition, we also did not consider the impact of changes in parameter settings. In reality use the MACD technical indicators process, some users have found that different parameter settings will lead to better guiding significance. Can be found in the data mining technology by leaps and bounds, we have the ability to share the highest return on investment rate of return parameters set program, but space is limited, we do not have to find a best parameter set we use is the single parameter settings MACD (12,26,9). In the study, we also used the graphic method, depicts in accordance with the MACD rule strategy of the yield curve and the buy and hold strategy of the yield curve compared to find the longer MACD technical indicator in a bear market, stock index instructive, even small board index in the bear market manipulation to obtain stable According to the proceeds from the figure, the long term, the yield stability, the retracement is very small, has a very important practical significance. However, because many stocks within the sample, we do not have11depicts the situation of the stocks, because of limited space, this paper does not this dig, perhaps this one there is the important significance of the discovery.