上财系列】金融实证方法（研究生）课件emp5.pptVIP

Simple technical trading rules and the stochastic properties of stock returns;Data;Summary statistics for daily and 10-day returns;Technical trading rules;VMA(Variable-Length Moving average)可变长度移动平均规则 ;Standard test for VMA;FMA(Fixed-Length Moving average)固定长度移动平均规则;Standard test for FMA;TRB(trading range break-out,交易区间突破,支撑阻力分析方法);Standard test for TRB;Bootstrap Methodology;Simulation tests for 500 replications;Bootstrap Methodology;;Bootstrap Methodology;;Bootstrap Methodology;;Conclusion;SHCI：12/19/1990—12/13/1996;;N=20;SHCI:-;(1, 50, 0.00);交易的盈亏;;;;;;;Profiting from Technical Analysisin Indian Equity Markets: UsingMoving Averages;Displaced Moving Average (DMA,置换移动平均线) Trading Rule;普通移动平均线以某种时间单位向后平移，以减少毛刺。 The simplistic assumption behind displacing todays actual moving average value forward in time is that the future periods actual moving average value that has not yet occurred will, in fact, be equal to todays moving average value. A BUY signal is generated when the current SMA is greater than the predicted moving average. Conversely, when the SMA falls below the predicted value a SELL signal is closed.;Data;Mean, Deviation and Sharp Ratio on Nifty;七、相对强弱指标RSI;High probability ETF trading: 7 professional strategies to improve your ETF trading;Chapter six;Rules on the long side;Rules on the short side;Shci:-续上涨和下跌天数;连续输后的胜率;TPS;Rules on the long side;;Rules on the short side