【作者】 陈杰；

【导师】 袁宇；

【作者基本信息】 上海交通大学 ， 机械工程， 2017， 硕士

【摘要】 中国在2010年推出了国内第一只股指期货,即沪深300指数期货IF,之后在2015年推出了上证50指数期货IH和中证500指数期货IC。相比股票和指数ETF,股指期货允许做空、可以进行日内交易、允许保证金交易,这为国内投资者提供了一个极具吸引力的投资市场。本文在中国股指期货上基于相对强弱指标(RSI)开发了趋势追踪的日内交易策略。具体而言,每个交易日待股指期货开盘60分钟后,如果RSI向上穿过80,并且该趋势经由平均趋向指数(ADX)确认,则做多,而如果RSI向下跌破20,则做空,每日收盘时如有持仓则强制平仓,从而避免隔夜风险。在2010年至2014年回测期内,该策略在IF上取得了37.0%的年化收益和2.02的夏普比率,并在样本外2015年至2016年也取得了49.4%的年化收益和1.68的夏普比率。该策略在推出时间较短的IH和IC上也有良好的表现。稳健性分析和敏感性分析表明该策略在不同的RSI参数、ADX参数等各参数下均有稳定的回测表现。策略回测结果表明,文章中开发的基于RSI的日内趋势跟踪策略可以在中国股指期货市场上取得稳健的收益,从这可以看出,技术分析在国内股指期货市场具有一定的收益预测作用。本文也为学术研究中关于技术分析有效性的讨论带来了中国股指期货市场的证据。更多还原

【Abstract】 China launched its index futures products named IF on April 16,2010,and IH and IC on April 16,2015.The index futures market allows short selling,intraday trading,and margin trading,which makes it an attractive market for domestic investors.This paper develops a trend following technical trading strategy based on Relative Strength Index(RSI)in the intraday datasets of the Chinese index futures market.In this trading strategy,on each day starting from 60 minutes after the market opens,if RSI goes above 80 and this uptrend is further confirmed by Average Directional Index(ADX),a long signal is triggered,and if RSI goes below 20,a short signal is triggered.Any remaining position at the end of each trading day is forcefully closed out to avoid overnight risk.This strategy generates an annualized return of 37.0% with the Sharpe ratio of 2.02 in IF during the look-back period from April 16,2010 to December 31,2014.It also achieves an annualized return of 49.4% with the Sharpe ratio of 1.68 in the out-of-sample from 2015 to 2016.The strategy also performs well in IH and IC whose history is relatively short.The robustness and sensitivity analysis shows that this strategy is insensitive to different RSI parameters,different ADX parameters,and other key parameters.The back-test results suggest that technical analysis does have predicting power in the intraday Chinese index futures market,and the trend following trading strategy described in this paper is able to generate risk-adjusted returns in the intraday Chinese index futures market.The back-test results of this paper also provides evidence of the profitability of technical analysis in the context of the Chinese financial market.更多还原