Author(s)

Zhaojian Li, Fengyuan Jing, Huaxia Yu, Lijun Jin, Weiqing Qu, Tiejun Pan

Corresponding Author

Zhaojian Li

Abstract

With the gradual maturity of electronic trading in the current stock and foreign exchange markets, the Quantitative Trading has become a hot spot in the field of investment research at home and abroad by virtue of its procedural, short positions and multiple transactions, overcoming the subjective weaknesses of human nature, and analyzing the characteristics of a large number of historical data winning by probability. Because the Moving Average (MA) is a very widely used and sensitive technical analysis indicators at present. This paper will take XAUUSD (Gold to Dollar) as an example to illustrate the application rules of the Moving Average, and discuss how investors can grasp the market trend and achieve higher long-term returns according to the MA technical analysis indicators. This paper simulates the intelligent transaction with historical data, and makes a clear contrast with Linear Weighted Moving Average (LWMA) in different cycle, and then discusses the practicability of this indicator. The test results show that when the short average cycle is 5 hours and the long average cycle is 30 hours, the strategy is more stable than the extreme strategy, thus can achieve the goal of relatively stable profitability.

Keywords

Quantitative Strategy, Moving Average, Cycle