Technical analysis, according to john murphy's definition, is "a study of market behavior with the purpose of predicting the future trend of market price changes and charts as the main means." The three basic assumptions or premises of technical analysis are: 1, market behavior is inclusive and digests everything; 2. The price evolves in a trend way; 3. History will repeat itself. Point 1 is the basis of technical analysis, which means that in the commodity futures market, any factors that can affect the price of a commodity futures, including fundamentals, political aspects, psychological aspects and other factors, are reflected in the price, which is the so-called "efficient market". The second and third points are to ensure the operability of technical analysis. The core of technical analysis is to grasp the trend. When a technical index is recognized and followed by the market, there is a positive feedback effect between the index and the market. Technical indicators affect trading behavior, and trading behavior verifies technical indicators.
Technical indicators are mainly divided into trend analysis indicators and swing indicators, and we conduct quantitative tests one by one. Due to the strong linkage between soybean contracts in different months, in general, the contracts in recent months have risen, and the contracts in subsequent months have also risen accordingly; In recent months, the contract has fallen, and in the following months, the contract has also fallen accordingly, and the general price trend is basically the same. Therefore, in order to facilitate the analysis, we only choose September contracts with large turnover and positions as the analysis object. Judging from the listing year, September is the first month of the northern hemisphere soybean listing year, and China and the United States are from September of that year to August of the following year. Judging from the crop year, for China and the United States, in September of each year, the soybeans of that year have entered the mature stage, and the output is basically determined. The contract price in September is more critical to the soybean price in this market year. Therefore, we choose the September contract as the analysis object. The analysis interval was from 1.2 in 2003 to 1.2 in 2004. Among them, the daily trading price of Dalian Soybean 0309 is from June 5438+0 to September 55438+05, September 16 to September 14, and September 15, 2004 to 2004. That is, the contract in September of that year will be selected immediately after the contract expires.
First, the effectiveness of trend analysis indicators.
Trend analysis indicators mainly include: 1, moving average (ma); 2. Stop loss index (SAR); 3.BOLL)； Channels; 4. Pubu; Wait a minute. Because 1 and the second trend analysis index are commonly used and easy to quantify, the effectiveness of these two trend analysis indicators is quantitatively tested here.
1, single moving average
Generally speaking, the short-term moving averages that investors pay more attention to are the 5-day, 10 and 20-day moving averages, while the 50-day and 60-day moving averages in the medium-term moving averages attract more attention. The value of long-term moving average is not as good as the first two, but it is also of great significance to grasp the basic direction of soybean price. Only one technical index is more concerned by the market and has a greater impact on the market. We choose 10 moving average, 60-day moving average and 120 moving average for specific analysis. Because the domestic moving average system is a simple moving average, we choose a simple moving average for analysis. In addition, in order to facilitate the analysis, we only take the closing price as the analysis object, and the position of each transaction is set to 1 lot.
Trading principle: if the price breaks through the bottom-up moving average on that day, buy the contract and hold it until the price breaks through the top-down moving average, and close the position with a backhand short position until the price breaks through the bottom-up moving average, and hold it with a backhand bull. So repeatedly. According to the above principle, the following results are obtained:
As can be seen from the above table, during our inspection period, the 60-day moving average has the best profitability. It can be considered that according to the medium-term moving average operation, there is a high probability of false indicators, but because of better grasping the general trend of soybean futures prices (unilateral market), it can get good returns when it appears in the general direction, and it also has a good performance in controlling the total continuous losses. Short-term moving averages are easily affected by price fluctuations, and even unilateral markets are prone to false breakthroughs, which may cause great losses. Short-term average performance is the worst in controlling losses, and due to frequent operations, the handling fee expenditure in actual transactions is the largest. On the other hand, although the long-term moving average has the lowest probability of false breakthrough, it will lose some good profit opportunities, especially the mid-term price trend, because of its weakest response to prices.
In 1970s, the research department of Merrill Lynch made an in-depth study on the profitability of moving average in futures trading. The results show that the best single average of soybean futures is 55 days (see: john murphy's Technical Analysis of Futures Market, page 2365438 +0-233), which is also a medium-term average.
2. Double moving average
We can also use two moving averages to generate trend signals, with a longer period for identifying trends and a shorter period for selecting opportunities. Using the interaction between the two moving averages and the price, the trend signal is generated.
Generally, there are two application methods of double EMA:
The first one is called "double-line crossing method". When the short-term moving average crosses the long-term moving average upward, it constitutes a buy signal; When the short-term moving average crosses the long-term moving average downward, it constitutes a sell signal.
The second way to use double EMAs is to treat the middle of them as some kind of neutral zone. Then, only when the closing price crosses two moving averages at the same time will it constitute a buying signal. Then, if the price falls back to the neutral zone, cancel the above signal. Similarly, only when the closing price crosses two moving averages at the same time will it constitute a selling signal. Then, if the price rises to the neutral zone between the two moving averages, close the position. As long as the price stays in the neutral zone, just wait and see. The system designed by this method also has some advantages over other systems.
The common and intuitive method is the first method, namely "double-line crossing method". This paper adopts this method for analysis.
Generally speaking, in the double-line crossing method, one moving average is a short-term moving average and the other is a medium-term or long-term moving average. If the period of the short-term moving average is m and the period of the medium-term or long-term moving average is n, there is the following relationship between them: the greater the n-m, the smaller the probability of intersection between them, so the short-term moving average has a weaker guiding role in market opportunity selection; The smaller the N-M is, the greater the probability of intersection between them, and the greater the probability of misoperation of signals. In order to balance the advantages and disadvantages of the above two, we choose a double moving average system consisting of a short-term moving average and a medium-term moving average.
Trading principle: when the short-term moving average crosses the medium-term moving average, buy soybean futures contracts and hold them until the former crosses the latter, close positions, reverse short positions, hold empty orders until the former crosses the latter again, and close positions and reverse long positions and hold them. So repeatedly. Here we test the double moving average system consisting of 10 moving average and 50-day moving average. In addition, we verify the research results of Merrill Lynch, that is, the so-called best two-line cross combination on the 20th and 45th days, and the 10 and 20-day double moving average systems commonly used in actual trading.
During our investigation, the double moving average system consisting of 10 moving average and 50 moving average has the best cumulative profit. But even so, the overall profitability of the double moving average crossing method is not as good as that of the single moving average. The system composed of 20-day moving average and 45-day moving average even accumulated losses. Moreover, the cross method of double moving averages is poor in controlling losses. In most concepts, the double moving average system is more effective than the single moving average, which is not the case through the above test. This conclusion is worthy of attention in practical operation.
3. Stop loss index
Stop loss index, also known as parabolic turning index, is a technical analysis tool to adjust the position of stop loss point at any time and observe trading points by parabola. In futures trading, how to improve profitability is very important, and how to control risks and stop losses in time is also very important. However, the stop loss index is incredible, which is outstanding in stop loss and also has the characteristics of tracking trends.
Trading principle: when the price falls below the SAR line from top to bottom, sell soybean futures contracts, hold empty orders until the price breaks through the SAR line from bottom to top, buy and close positions, go long in reverse, hold long orders until the price falls below the SAR line from top to bottom, and go short in reverse. So repeatedly.
The famous GET technical analysis software has the function of optimizing and accurately adjusting the stop loss index when it is used for analysis. So as to conveniently solve the parameter setting problem of the index. In the study interval, the parameters of optimization and precise adjustment are (46, 37, 250). According to the above principle, the following results are obtained:
Stop loss index has good profitability and excellent ability to control losses. At the same time, because it has the advantages of intuition and easy operation, it should perform well in actual transactions.
Secondly, the validity analysis of swing index.
In addition to the above trend analysis indicators, the swing index is also widely used to guide the operation in futures trading. There are many swing indexes, but the most commonly used ones are KD index, MACD index, RSI index and ROC index. Because KD indicator and RSI indicator mainly observe whether the price is overbought or oversold in actual use, the extent of overbought or oversold will be quite different in bear market or bull market, so it is difficult to test its effectiveness by statistical methods, and it can only be determined and grasped by investors' personal experience. Here we mainly examine the effectiveness of MACD indicators and ROC indicators.
1, moving average convergence divergence (MACD)
It uses two exponentially weighted moving averages, namely the fast moving average DIF and the slow moving average DEA. The constructed index can be used as both swing index and trend signal, and can also be combined into one. MACD needs to set parameters. MACD (13,26,9) is commonly used, and the default parameters of GET technical analysis software are also (13,26,9). Here, let's check this.
Trading principle: When DIF goes up through DEA, buy soybean futures contracts and hold them until DIF goes down through DEA, close positions, and reverse short positions and hold empty orders until DIF goes up through DEA again, close positions and reverse long positions. So repeatedly.
According to the above principles, the trading results of MACD (13,26,9) are as follows:
During our investigation, the profitability and MACD index of risk control of Dalian soybean contract in September were average.
2. Change rate index
The change speed index is the quotient (parity) between the current closing price and the closing price a certain number of days ago to express the change speed of the market. It goes up or down through the zero line (standardization) as a signal to buy or sell futures contracts. The change speed index also involves the problem of how to choose parameters. In order to choose the appropriate parameters, it is necessary for us to investigate the price cycle of this variety first.
GET software has the function of analyzing cycles. During our investigation, we can set the parameter of this change speed index to 23, that is, ROC(23).
Trading principle: When the ROC index crosses the zero line upwards, buy the soybean futures price and hold it until the ROC index crosses the zero line downwards, close the position, and reverse short, hold an empty order until the ROC index crosses the zero line again, reverse long and hold multiple orders. So repeatedly.
According to the above trading principles, the trading results of ROC(23) are as follows:
Trading according to ROC(23) index can achieve cumulative profit, but the profitability is not as high as MACD index, and it is also a swing index.
Through the effectiveness analysis of trend analysis indicators and swing index, we can find that the profitability of a single moving average is stronger, and the medium-term moving average is better than other moving averages. However, the profitability of double cross method of double moving average is not as strong as that of single moving average. The stop loss index in the trend analysis index has the strongest profitability and better ability to control risks, so it can be focused on in actual transactions. MACD index and ROC index in swing index can achieve overall profitability, but their profitability is not as strong as that of single moving average and stop loss index, but better than that of double moving average crossing method.
It should be pointed out that the technical indicators are a summary of the previous trading rules. Because the market operation is a comprehensive process involving politics, economy, society, psychology and many other aspects, the ever-changing environment requires investors to have dialectical thinking when using technical indicators, which not only respects the role of technical indicators, but also does not completely stick to technical indicators. Only in this way can we maintain a high investment success rate and obtain an ideal return on investment.