趋势跟随、止损策略分析.docVIP

趋势跟随、止损策略分析 BREAKING INTO THE BLACKBOX: Trend Following, Stop Losses, and the Frequency of Trading: the case of the Samp;P500 Andrew Clare, James Seaton and Stephen Thomas Cass Business School, London Peter N. Smith University of York, UK This Version:10th March,2012 Abstract In this paper we compare a variety of technical trading rules in the context of investing in the Samp;P500 index. These rules are increasingly popular both among retail investors and CTAs and similar investment funds. We find that a range of fairly simple rules, including the popular 200-day moving average trading rule, dominate the long only, passive investment in the index. In particular, using the latter rule we find that popular stop loss rules do not add value and that monthly end of month investment decision rules are superior to those which trade more frequently: this adds to the growing view that trading can damage your wealth. Finally we compare the MA rule with a variety of simple fundamental metrics and find the latter far inferior to the technical rules over the last 60 years of investing. Key words: trend following, Samp;P500, stop losses, trading frequency,