摘要
我国股票市场的交易人员结构中个人投资者所持股票交易账户
数量占绝对优势。从成交量上来看，持股 20%的散户贡献了 80%的成
交量，由此可以推断出散户喜欢短线交易、频繁交易。大部分中小
投资者频繁交易同时又没有自己的盈利模式。鉴于上述因素，本文
研究适合 A 股市场的系统化短线股票交易策略，以为中小投资者股
票正确投资的借鉴

本文从交易系统、系统化交易的理论入手，阐述了交易策略设计
的原理。通过中长线、短线优缺点的比较，选择有一定波动幅度的股
票进行短线交易研究，结合本人16年股票交易生涯经验总结，以系统
分析、科学统计、理论与实践相结合的方法，总结出四大短线交易策
略。以周盈利2%为目标结合技术关键点设计，及固定比例止盈法等交
易规则，并且通过实证明确四大策略的实现路径

研究的四大短线交易策略发现：中小投资者可以通过一定的盈利
模式，严格执行系统化短线交易策略来取得相应收益；系统化交易策
略在我国股票市场中，能减少因投资者主观因素及市场客观因素造成
的交易风险，改变原来的盲目交易、频繁交易的错误行为，能实现一
定的股票投资收益

关键词：A股市场，短线交易，交易策略，波动幅度
论文类型：应用/专题研究II
RESEARCH ON THE SYSTEMATIC SHORT-TERM
TRADING STRATEGY OF A STOCK MARKET
ABSTRACT
The number of stock trading accounts held by individual investors in China&39;s
stock market is an absolute advantage. From the volume point of view, holding 20%
of the retail contribution of a turnover of 80%, which can be inferred that the retail
investors like short-term trading, frequent trading. Most of the small and
medium-sized investors frequently traded without their own profit model. In view of
the above factors, this paper studies the systematic short-term stock trading strategy
suitable for the A stock market, which is a reference to the correct investment of
small and medium investors.
This paper starts with the theory of transaction system and systematic
transaction, and expounds the principle of the design of trading strategy. By
comparing the advantages and disadvantages in the long-term, short-term, short-term
trading of a certain choice of volatility of stock, combined with my 16 year career
experience summary of stock trading, using system analysis method and scientific
statistical analysis, combination of theory and practice, summed up the four
short-term trading strategies. Take the week profit 2% as the goal to combine with
the technical key point design, and the fixed proportion and so on trade rules, and
through the empirical confirmation clear realization of the four strategies.
The study found four short-term trading strategies: small investors can through
a certain profit model, the strict implementation of the system of short-term trading
strategies to obtain the corresponding revenue system; trading strategy in China
stock market, as investors can reduce the subjective factors and objective factors
caused by market transaction risk, transaction behavior change, the original blind
error the frequent trading, to achieve a certain return on stock investment.
Key words: A share market; short-term trading; trading strategy; Volatility
Thesis type: Application Research浙江工业大学硕士学位论文 A 股市场系统化短线交易策略的研究
III
目 录
1 绪论...........1
1.1 问题的提出.....1
1.2 研究的目的和意义.....1
1.3 研究内容及研究方法.1
1.3.1 研究内容..........1
1.3.2 研究方法..........3
1.4 研究的创新点.3
2 相关理论和文献综述.....5
2.1 相关理论.........5
2.1.1 系统化交易与交易系统..........5
2.1.2 系统化交易的特征......6
2.1.3 系统化交易策略的种类..........7
2.2 文献综述.........8
国外相关研究现状和趋势......8
国内相关研究现状和趋势....10
3 系统化短线交易策略设计的理论支持...........13
3.1 波动幅度理论...........13
3.1.1 股票市场的波动幅度理论....13
3.1.2 四种波动幅度的计算14
3.1.3 ATR 的系统化设计原理.........15
3.2 交易策略设计原理...17
3.2.1 Dual-Thrust 策略.....18
3.2.2 R-Breaker 策略.........19
3.2.3 Dynamic Breakout II 策略...........22
3.3 小结...24
4 系统化短线交易策略的实证研究.......25
4.1 短线交易的定性分析...........25
4.1.1 A 股市场相关交易规则.........25
4.1.2 短线交易与中长线交易各自的利弊26
4.1.3 对短线交易的正确认识........26
4.1.4 短线交易不适合的人群........27
2.2.1
2.2.2浙江工业大学硕士学位论文 A 股市场系统化短线交易策略的研究
IV
4.1.5 短线交易需要良好的心态....28
4.1.6 短线交易关注大盘环境........29
4.1.7 关注集合竞价到开盘半小时的重要时段....30
4.2 策略系统化的关键点设计...32
4.2.1 买入与卖出....32
4.2.2 盈利目标、止盈、止损的设计........35
4.2.3 资金仓位........36
4.3 四大短线交易策略及实证...36
4.3.1 涨停回马枪....36
4.3.2 二板介入........41
4.3.3 龙头股首阴....45
4.3.4 回调介入........50
4.4 小结...54
5 结论........55
参考文献....57
致 谢........
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