Profitability of simple stationary technical trading rules with high-frequency data of Chinese Index Futures
arXiv:1710.07470 · doi:10.1016/j.physa.2017.11.088
Abstract
Technical trading rules have been widely used by practitioners in financial markets for a long time. The profitability remains controversial and few consider the stationarity of technical indicators used in trading rules. We convert MA, KDJ and Bollinger bands into stationary processes and investigate the profitability of these trading rules by using 3 high-frequency data(15s,30s and 60s) of CSI300 Stock Index Futures from January 4th 2012 to December 31st 2016. Several performance and risk measures are adopted to assess the practical value of all trading rules directly while ADF-test is used to verify the stationarity and SPA test to check whether trading rules perform well due to intrinsic superiority or pure luck. The results show that there are several significant combinations of parameters for each indicator when transaction costs are not taken into consideration. Once transaction costs are included, trading profits will be eliminated completely. We also propose a method to reduce the risk of technical trading rules.
arXiv comment24 pages,11 figures, 19 tables
References in corpus (6)
- Profitability of simple technical trading rules of Chinese stock exchange indexes
- Time series momentum and contrarian effects in the Chinese stock market
- Profitability of contrarian strategies in the Chinese stock market
- Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets
- Testing the performance of technical trading rules in the Chinese market
- Time-varying return predictability in the Chinese stock market