Guide:
The moving average is a commonly used indicator in the field of quantitative analysis, and the smart moving average is an adaptive moving average that is suitable for different underlying varieties calculated based on the basic principle of the moving average using a series of algorithms. Data backtesting based on the "Short-term Smart Moving Average Breakout Strategy" shows that this strategy is more effective for short-term trading.
Text: Brother Kunpeng
The moving average is a commonly used technical indicator for ordinary investors, and it is also a common data in the field of quantitative analysis, its role is to judge the stock price trend and trading points, based on the principle of its trend judgment, different varieties are suitable for different moving average parameters, for example, some investors will set the moving average parameters to 7, 14, 21 and other non-default parameters according to the variety they analyze, in order to identify the trend state of the variety.
The basic principle of the smart moving average is to use the algorithm to dynamically calculate the adaptive moving average suitable for different varieties at different stages, compared with manual parameter adjustment, the smart moving average is automatically calculated by the program is more accurate and time-saving.
The moving average breakout strategy is a common quantitative strategy, and the general quantitative strategy will use the breakout of conventional moving averages such as 5 days, 10 days, and 20 days for strategy backtesting, and the smart moving average breakout strategy has not been publicly studied in the market at present.
The results show that the cumulative return of the stock price on the other day after breaking through the short-term smart moving average has excess returns relative to the Shanghai Composite Index in the past 10 days, 60 days and 250 days, and the shorter the backtest time, the higher the winning rate, which is related to the overall trend of the market.
In terms of 5-day returns, the data in the past 10 days is better, while the data in the past 60 days and the past 250 days have underperformed the Shanghai Composite Index, and the winning rate has decreased, indicating that the strategy of breaking through the short-term smart moving average is more effective for short-term trading, and long-term trading requires segmented analysis of the market.
A segmented analysis of the market in the past year shows that the period of decline in excess returns mainly occurred in the period of general decline of the whole market and the rapid decline of the index from January to February this year, which lowered the excess returns of the past year.
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