The majority of investors in China's futures market are"noise traders"who use technical indicator analysis method.Among them,trend line is one of the most commonly used technical indicators.However,the determination and use of trend lines vary among investors and there is no unified standard.Therefore,existing work also lacks empirical research on the profitability of trend lines.This paper first constructs a dynamic trend line based on inflection points,and then constructs a Z(Zigzag Trend Line)model based on the dynamic trend line.Next the paper constructs a futures investment strategy based on the model and conducts empirical research using 1-hour price data of 38 futures varieties over the past 10 years.The experimental results show that the Z strategy has a large drawdown,low win rate and a relatively high level of profitability,belonging to a highrisk and high return strategy.Finally,by combining the research findings with Markowitz portfolio investment theory,suggestions for constructing investment portfolios are provided to further reduce investment risks while ensuring returns.
维普
万方数据