| Security investment researches about strategies are more and more widely and sophisticatedly with development in Chinese Market. Technical analysis about momentum is still a very important tool in equity market analysis due to its clear signals and intuition. Take this phenomenon as a starting point for research trends characteristic of Chinese stock market. This paper researches trends characteristics on Chinese Equity markets, then shows a new method to judge momentum strategy from a different perspective.Firstly the paper constructs trend strength indicator on the theoretical basis of the moving average stock price metrics to reflect the strength of the trend, and give theoretical interpretation to its applicability logic behind it. Then the research builds multi-variable regression model to make the study of the relationship between objective equity basic factors, such as price, circulation market value, turnover rate with trending indicator. So based on the trending characteristics on different stocks, the model gives suggestions for momentum oriented investors. Finally get the conclusion to support the investors to choose appropriate trend trading strategy.The research shows (1) the new indicator can explain trends for different stocks, (2) different types of stocks have definitely different trend value, (3) for given stocks, trends have significant relationship with stock basic factors, (4) back-testing shows the momentum strategies indeed have better performance in momentum market. This research has important empirical meaning for not only reform in financial markets and development of stock derivatives in macroeconomic level, but also understanding investors' trading behavior and providing suggestion about stocks choosing when they use trend strategies. |
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