均线偷鸡法的理论证明 - 未名空间MITBBS历史存档

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均线偷鸡法的理论证明

均线偷鸡法的理论证明# Stock

r*m2010-11-19 08:11

1 楼

为了简单起见，用spy为例。
前提（假设）：在足够长的时间内，spy的价格是往上走的。
均线偷鸡法：当spy价格严重往下偏离均线时（最好是同时低于长期中期短期均线，至
少要低于中期短期均线）买入。当spy价格同时满足以下两个条件时卖出：1.当前价格
高于上次买入价，2.当前价格往上偏离均线。
期待结果：1.beat 大盘 2.不需止损不需盯盘百战百胜坚决不被MM骗钱

P*B2010-11-19 08:11

2 楼

实际结果:

A*e2010-11-19 08:11

3 楼

这么搞和FX里面常见的mean reversion strategy类似，
FX长期均线一般用SMA200。
不过在股市这个未必行得通，如果股指一路平稳上涨，
没有机会入场就会错过收益。
SPY的数据很容易拿到，做个简单的backtesting就知道能不能beat
index

【在 r*m 的大作中提到】

: 为了简单起见，用spy为例。
: 前提（假设）：在足够长的时间内，spy的价格是往上走的。
: 均线偷鸡法：当spy价格严重往下偏离均线时（最好是同时低于长期中期短期均线，至
: 少要低于中期短期均线）买入。当spy价格同时满足以下两个条件时卖出：1.当前价格
: 高于上次买入价，2.当前价格往上偏离均线。
: 期待结果：1.beat 大盘 2.不需止损不需盯盘百战百胜坚决不被MM骗钱

b*32010-11-19 08:11

4 楼

同意。
楼主是wishful thinking。这个早有人做过，不能beat buy and hold.

【在 A****e 的大作中提到】

: 这么搞和FX里面常见的mean reversion strategy类似，
: FX长期均线一般用SMA200。
: 不过在股市这个未必行得通，如果股指一路平稳上涨，
: 没有机会入场就会错过收益。
: SPY的数据很容易拿到，做个简单的backtesting就知道能不能beat
: index

b*22010-11-19 08:11

5 楼

我感觉你对均线的理解还要学习学习。

d*e2010-11-19 08:11

6 楼

rim你有钱赚就行了，何必非要找理论信仰呢。:)

m*02010-11-19 08:11

7 楼

so naive,
from 2009/11/19-2010/11/19
for SMA50
Statistics Long Short Total
Trades
Trades 6 6 12
Wins 2 1 3
Losses 4 5 9
P&L 7.1k -1.8k 5.3k
% P&L 7.1 -1.8 5.3
Avg.P&L 1.18k -300.72 441.59
Total Wins 13.43k 5.65k 19.08k
Total Loss 6.33k 7.46k 13.78k
Avg Wins 6.72k 5.65k 6.36k
Avg Loss 1.58k 1.49k 1.53k
Max Wins 10.12k 5.65k 10.12k
Max Loss 2.44k 2.09k 2.09k
SMA200
Statistics Long Short Total
Trades
Trades 4 4 8
Wins 1 0 1
Losses 3 4 7
P&L -1.65k -13.18k -14.83k
% P&L -1.65 -13.18 -14.83
Avg.P&L -412.52 -3.3k -1.85k
Total Wins 5.52k 0 5.52k
Total Loss 7.17k 13.18k 20.35k
Avg Wins 5.52k N.A. 5.52k
Avg Loss 2.39k 3.3k 2.91k
Max Wins 5.52k 0 5.52k
Max Loss 3.74k 4.47k 3.74k
SMA20
Statistics Long Short Total
Trades
Trades 9 10 19
Wins 3 5 8
Losses 6 5 11
P&L 9.93k -560.98 9.36k
% P&L 9.93 -0.56 9.36
Avg.P&L 1.1k -56.1 492.89
Total Wins 16.71k 8.49k 25.2k
Total Loss 6.79k 9.05k 15.83k
Avg Wins 5.57k 1.7k 3.15k
Avg Loss 1.13k 1.81k 1.44k
Max Wins 7.73k 5.18k 7.73k
Max Loss 2.1k 2.87k 2.1k
B&H
Statistics Long Short Total
Trades
Trades 1 0 1
Wins 1 0 1
Losses 0 0 0
P&L 10.1k 0 10.1k
% P&L 10.1 0 10.1
Avg.P&L 10.1k N.A. 10.1k
Total Wins 10.1k 0 10.1k
Total Loss 0 0 0
Avg Wins 10.1k N.A. 10.1k
Avg Loss N.A. N.A. N.A.
Max Wins 10.1k 0 10.1k
Max Loss 0 0 0

m*02010-11-19 08:11

8 楼

if you consider 2000-2005 or 2005-2010,
it beats B&H. but really proves nothing.
depends on the starting point and range.

x*n2010-11-19 08:11

9 楼

你这个头像不好看，感觉是in Halloween costume

【在 m********0 的大作中提到】

: if you consider 2000-2005 or 2005-2010,
: it beats B&H. but really proves nothing.
: depends on the starting point and range.

c*l2010-11-19 08:11

10 楼

你这个稍微修正下就可以很好的替代所谓的dollar cost average:
如果比期望的高就少买或者不买，如果比期望低就多买。用到退休账户，只做多，轻松
beat DCA.

【在 r*m 的大作中提到】

f*y2010-11-19 08:11

11 楼

有这个前提，还要啥证明
买个股票有盈利就卖就百分之百胜率了

【在 r*m 的大作中提到】

M*t2010-11-19 08:11

12 楼

Anyone can help to implement this condition in AFL
当前价格高于上次买入价.
I tried this in Amibroker but seems not working
Cond1 = Close < MA( Close, 15);
Cond2 = Close < MA( Close, 45);
Cond3 = Close < MA(Close,100);
Cond4 = Close > MA( Close, 15);
Cond5 = Close > MA( Close, 45);
Cond6 = Close > buyprice;
Buy = Cond1 AND Cond2 AND Cond3;
Sell = Cond4 AND Cond5 AND Cond6;
Thanks a lot

【在 r*m 的大作中提到】

u*e2010-11-19 08:11

13 楼

Good number prove.
You are right, it is naive to believe any simple moving average method can
beat the market ( Buy & Hold).
According to the efficient theory and arbitage theory, the trading method
must be "advanced enough" that only a very small group of people can use it.
Otherwise, the best result for the method will be just match the market (
buy & hold).
To be specific, if the "simple moving average trading" strategy did beat
market consistently as expected, then I can always construct a portfolio to
short the market for the whole period and long the market according to the
simple moving average trading rules and get a risk free high return.
Because this kind of things will be expoited by a lot of traders if it did
exist, as the result, the trading strategy will NOT have the ability to beat
the market.

【在 m********0 的大作中提到】

: so naive,
: from 2009/11/19-2010/11/19
: for SMA50
: Statistics Long Short Total
: Trades
: Trades 6 6 12
: Wins 2 1 3
: Losses 4 5 9
: P&L 7.1k -1.8k 5.3k
: % P&L 7.1 -1.8 5.3

w*s2010-11-19 08:11

14 楼

you need to watch the understanding RIM I and II.
you need to pay attention about the part that when market move against him ,
he average down.
change the strategy and backtest again. hehe

m*02010-11-19 08:11

15 楼

嗯，funny video。
from -- if you can text, you can make a movie?
I just copied and pasted, these strategies are too basic.
it's included automatically.
Trades Profit (Loss) Statistics
Strategy Long Short Total Total %Total
Long Short P/L %MaxDD Sharpe Avg Dur
BuyAndHold 1 0 1 10.10k 10.10
10.10k 0.00 0.00 15.37 0.30 364.0
Boll 2 3 5 18.86k 18.86 13.02k
5.84k 0.00 11.96 0.36 65.2
CMCI 5 6 11 -2.12k -2.12 4.38k
-6.50k 0.91 22.51 -0.49 30.7
DMI 9 10 19 7.20k 7.20 8.77k
-1.56k 1.41 9.08 -0.45 18.6
MACD 11 12 23 7.06k 7.06 8.42k
-1.36k 1.34 11.00 0.64 15.4
RSI 1 2 3 24.65k 24.65 16.24k
8.41k 12.44 7.08 0.42 80.7
TAS 5 6 11 -366.43 -0.37 4.98k
-5.35k 0.98 15.16 0.19 31.5
Wm 4 5 9 -22.89k -22.89 -6.27k
-16.61k 0.14 25.43 -2.61 40.4
PTPS 11 12 23 -626.73 -0.63 4.73k
-5.36k 0.98 20.54 0.14 15.4
SMAvg 6 6 12 5.30k 5.30 7.10k
-1.80k 1.38 13.51 -0.45 24.8
EMAvg 6 6 12 10.25k 10.25 9.83k
419.28 1.90 13.02 0.74 24.8
WMAvg 8 9 17 5.31k 5.31 6.71k
-1.41k 1.32 17.50 0.80 17.7
VMAvg 10 11 21 7.55k 7.55 8.07k
-520.93 1.40 13.27 0.83 14.3
TMAvg 5 5 10 3.56k 3.56 6.18k
-2.62k 1.25 16.22 0.00 29.8
ADOsc 67 66 133 6.01k 6.01 8.73k
-2.71k 1.08 25.32 0.57 2.7
GOC 4 4 8 -1.89k -1.89 3.32k
-5.21k 0.90 19.53 -0.04 37.3
KBand 5 5 10 -16.12k -16.12 -4.56k
-11.56k 0.29 22.63 -2.11 32.6
MAE 3 3 6 12.96k 12.96 12.78k
178.10 2.16 13.73 0.58 49.7
MAO 12 13 25 11.40k 11.40 10.99k
409.14 1.43 13.55 0.27 14.4
Radar1FG 7 8 15 19.40k 19.40
14.60k 4.80k 3.94 8.16 1.37 20.1
Rex 43 44 87 10.36k 10.36 11.92k
-1.55k 1.22 9.69 0.09 4.2
ROC 62 61 123 2.67k 2.67 5.90k
-3.23k 1.04 19.09 -0.33 2.9
TE 2 2 4 7.98k 7.98 8.62k
-634.38 4.44 11.97 0.12 74.5

him ,

【在 w******s 的大作中提到】

: you need to watch the understanding RIM I and II.
: you need to pay attention about the part that when market move against him ,
: he average down.
: change the strategy and backtest again. hehe