A Comparative Study On The Trend Trading Strategy Of Moving Average On Shanghai 50ETF And Its Constituent Stock

With the increase of GDP and resident income,the demand for asset allocation is increasing,and the securities market in China has continued to develop.When people invest in the stock market,they expect more and more stable access to excess returns,and the investment and theoretical circles are extremely interested in it,and have made a continuous study and discussion.However,in the past few decades,the history of China's securities market has no exception to a conclusion that can not be ignored,the active management of investment methods is difficult to steadily outperform the market or index funds.In recent years,the technology of computer programming and program has also been considerable development,the data analysis method of programming based technology,also known as passive quantitative investment strategies in China's capital market has been rapid development of explosive.Technology analysis is one of the main investment methods,both institutions and individuals,are keen on technical analysis.Based on the analysis of the market key information of the past price and trading volume of the underlying asset of the securities,in order to judge the future price,the corresponding trading strategy is designed.In this paper,the Shanghai index funds based on 50ETF(Code: 510050.SH)and some stocks(the 18 stocks)total return standard of financial time series,studied and discussed the moving average trading strategies to guide investment in stock selection and timing,the comparative analysis of whether can obtain excess returns.Through the test and statistical analysis,found that the moving average trading strategy of some sub strategies in Shanghai 50 ETF Index Fund(code: 510050.SH)to take than buy and hold strategy better and more stable excess return,excellent trading sub strategies are: MA(30,90),MA(60,90),MA(5,60).In the use of 18 stocks analysis,moving average trading strategy is also very prominent in the performance of stocks,of which there are 13,accounting for 72.2% of the stocks,the moving average trading strategies hold strategy higher relative income than buying;but there are still 5,accounting for 27.8% of the shares,maintain buy hold strategy is optimal,i.e.moving average trading strategy cannot achieve relative gains relative buy and hold.The average moving average trading strategy of stocks is different from individual stocks.Furthermore,the study of 5 stocks with the best buy and hold strategy shows that the optimal trading strategy with the index optimal strategy can obtain higher relative income than the buy and hold in the 3 stocks.Thus,the amount of technical analysis can lead to excess returns to 16 stocks,accounting for 88.89% of constituent stocks.Therefore,according to the inference of efficient market theory,we reasonably make the conclude that China's A share market has not yet reached the weak efficient market,and technical analysis still has the potential to obtain excess earnings.Moving average as a technical indicator of trend discovery,trend tracking,trend reversal discrimination,has a good quantitative guidance effect.The moving average trading strategy has a good guiding role in stock selection and timing.