毕 业 论 文 中 文 摘 要技术分析的有效性一直是一个饱受争议的话题。本文选取常用的技术指标BOLL指标为研究对象，通过定量分析验证其在A股市场上预测股价走势的有效性。首先，本文以上证指数历史数据为样本，选取不同计算周期的BOLL指标分别构建布林线策略，分析其相较于买入持有策略的超额收益率，并将样本期按照股市所处阶段（上涨阶段，盘整阶段和下跌阶段）的不同进行划分，分析股市阶段对BOLL指标有效性的影响。然后，针对上述分析中发现的问题，引入成交量指标对布林线策略进行修正。最后，使用BOLL指标对MACD指标策略进行修正，通过分析修正效果进一步验证BOLL指标的有效性。本文发现在A股市场上BOLL指标具有一定的有效性，适当的使用其他指标与其配合，能获得更多的收益。79348

毕业论文关键词  BOLL指标  趋势预测  技术分析

毕 业 论 文 外 文 摘 要

Title  The efficiency analysis of BOLL’s prediction of stock trends:  An empirical analysis based on the Chinese A share market   

Abstract The effectiveness of technical analysis has been a highly controversial topic。 This paper selected commonly used technical indicators, BOLL, as the object of this study。 I used quantitative analysis to verify the validity of BOLL’s predicting capability in Chinese A share market。 Firstly, I regarded the historical data of the Shanghai Composite Index as the sample, chose three kinds of BOLL based on different calculation periods to construct the Boll strategy and analyzed its abnormal return compared to the return of the buy and hold strategy。 I also pided the sample period into three types in accordance with the stage of the stock market, namely the up, the down and the consolidation, then analyzed the influence of the market’s stage on the effectiveness of BOLL。 Secondly, I introduced another indicator, the volume, to amend the BOLL strategy。 Ultimately, I used BOLL to amend the MACD strategy, through analyzing the correction effect to further verify the validity of BOLL。I found that in the A share market BOLL do possess validity, while appropriately using other indicators to cooperate with BOLL can lead to higher revenues。

Keywords  BOLL  trend prediction  technical analysis

目   次

1  引言 1

1．1  问题的提出 1

1．2  选题目的和意义 2

2  文献综述 4

2．1  针对单个技术指标的有效性检验 4

2．2  针对多个技术指标的有效性检验 5

2．3  小结 6

3  指标体系及投资标的概述 7

3．1  BOLL指标 7

3．2  其他指标 7

3．3  上证指数ETF基金 8

4  买卖策略及实证分析 9

4．1  布林线策略 9

4。1。1  M1前提 9

4。1。2  M1实证分析结果 10

4．2  成交量修正布林线策略 12

4。2。1  M2前提 12

4。2。2  M2实证分析结果 13

4．3  布林线修正MACD策略