The Empirical Study On The Effectiveness Of Dual Moving Average Crossover Trading Rules, Based On HS300 Total Return Index

Technical analysis takes advantage of charts to identify price pattern and market trends in financial market. Under the circumstance of decreasing performance with actively managed funds and the development of computer programming, quantitative investment may prosper in the near future, which makes the research on technical trading rules meaningful.This research demonstrated the effectiveness of the Dual Moving Average Crossover Trading Strategy by utilizing a long data series, the HS300 Total Return Index from 2006 to 2015. Standard statistical analysis was extended with the use of Bootstrap techniques.Overall, the empirical results, both of standard T test and bootstrap methodology, provided strong support for the effectiveness of Dual Moving Average Crossover Trading Strategy. This research also found out parameters to obtain more excess earnings, like(5, 60),(5, 90),(10, 30),(10,60) and(10, 90).Meanwhile, the effect induced by nonsynchronous trading and transaction cost was also studies. It did not show significant influence on the result.