卖空约束下动量策略在牛市中的盈利性分析

众多实证研究发现,通过持有赢者组合多头和输者组合空头的动量套利策略可以获取显著的超额收益。考虑到我国A股市场卖空约束,选取沪深300样本股和中小板股票设置不同的对照组和投资期限,采用假设检验方法分析了2005年股改以来两次牛市行情中单一赢者组合及输者组合多头策略的盈利性特征,并检验了A股市场中是否存在动量套利交易的盈利模式。实证显示,即使不考虑交易成本,两种多头策略也都很难有显著的高于样本总体的收益率。  

A probabilistic analysis of the trading the line strategy

We provide analytic models for which the appropriate statistics of the trading the line strategy, N _h , can be derived in closed form. In particular, we provide closed-form expressions concerning the average duration of the open position, E(N _h ), the variance of the open duration, Var(N _h ), the average of the stopped log price, E(S _{N h} ), the variance of the stopped log price, Var(S _{N h} ), the correlation, Corr(N _h , S _{N h} ), and the Laplace transform, E(e^{−s N _h} ). These results are obtained, in discrete time settings, for binomial and other price scenarios. Furthermore, when analytic results are not possible, such as the case of a normal distribution for log returns, we show by simulation that our general conclusions still hold. Using these statistics we point out some of the subtle features of the trailing stops strategy.