Technical trading rules have been widely used by practitioners in financialmarkets for a long time. The profitability remains controversial and fewconsider the stationarity of technical indicators used in trading rules. Weconvert MA, KDJ and Bollinger bands into stationary processes and investigatethe profitability of these trading rules by using 3 high-frequency data(15s,30sand 60s) of CSI300 Stock Index Futures from January 4th 2012 to December 31st2016. Several performance and risk measures are adopted to assess the practicalvalue of all trading rules directly while ADF-test is used to verify thestationarity and SPA test to check whether trading rules perform well due tointrinsic superiority or pure luck. The results show that there are severalsignificant combinations of parameters for each indicator when transactioncosts are not taken into consideration. Once transaction costs are included,trading profits will be eliminated completely. We also propose a method toreduce the risk of technical trading rules.
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