本文以G证券公司经纪业务投资创业板股票的客户为研究对象，以创业板指数ETF 为研究内容，研究创业板ETF投资策略的构建，并对策略构建进行应用验证，形成针对 创业板ETF投资的“中长线优化策略”以及“短线加强策略”，为G证券公司创业板投资者 提供参考借鉴。 G证券公司以往投资策略及投研服务主要以股票选股为主，针对ETF的择时策略研 究较少，本文研究有助于加强对G证券经纪业务客户的服务逻辑、并丰富该公司的财富 管理及投资顾问服务模式。 本文研究主要包括以下三个方面： 第一，本文以G证券经纪业务投资创业板股票的客户为研究对象，通过对G证券 经纪业务创业板客户的服务现状进行分析、发现服务过程中存在的关键问题，形成以创 业板ETF作为创业板投资服务的补充方案。 第二，本文选择创业板指数ETF作为研究内容，选取创业板ETF（159915）为工 具。创业板指数（399006）由市值最大、成交最活跃的100家创业板上市企业股票组成， 指数样本股中“九大战略新兴行业” 权重占比高达七成、成长性突出，一定程度上解 决了客户的选股问题。该指数在上市以来呈现了高波动特点且中长期趋势明显，为获得 超额收益提供了可能性。 第三、在创业板ETF投资策略的构建方面，本文主要采用移动平均线的技术分析方 式，通过对均线组合构建、操作频率、仓位控制等方面进行重点考虑，形成两种应用在 创业板ETF上的具体投资策略——“中长线优化策略”、“短线加强策略”。对G证 券公司经纪业务客户在创业板ETF买卖决策信号、仓位控制、操作节点等方面形成了比 较明确的策略模型参考。 关键词：创业板指数； ETF；投资策略；移动平均线 II Abstract This essay is aimed at developing effective investing strategies, including medium-and-long-term investing strategy and short-term investing strategy, for customers in G Securities Company who involve in Growth Enterprise Market (GEM) investment. Based on the investment effect analysis of GEM customers in G Securities Company, we choose GEM Index ETF as a tool to construct the investing strategies, and then conduct series of back-testing to prove the effectiveness. Currently, G Securities Company’s investment services available to customers mainly focus on shares communication, with few ETF strategies communication on market timing. This essay helps G Company to strengthen its services to brokerage customers and enrich its system of the wealth management services and investment advisory services. The content of this essay consists of the following three parts： 1. The investment services that GEM customers receive in G Securities Company, the key problems found in the services. 2. The introduction of GEM Index ETF as a supplementary tool to currently service system. GEM Index ETF is formed of 100 GEM shares of companies with highest market value and trading activity. The nine Strategic Emerging Industries account for more than 70% market value of GEM, which gives high-growth feature to the GEM index and to some extent, helps customers to solve the problem of selecting companies shares. 3. The construction of GEM Index ETF investing strategies. This essay adopts the moving average (MA) technical analysis as the basic analyzing method. By improving aspects including the combination of different moving averages, trading frequency, position adjusting, we construct two investing strategies: medium-and-long-term investing strategy and short-term investing strategy. For GEM customers in G Securities Company, the above two improved strategies give clear guidance and suggestions for trading direction, trading timing and position adjusting. Key words: GEM Index, ETF, investing strategies, moving average(MA) III 目 录 摘要 ......................................................................................................................................... I Abstract .................................................................................................................................... II 第一章 绪 论 ............................................................................................................................ 1 1.1研究背景及意义 .............................................................................................................. 1 1.1.1研究背景 .................................................................................................................... 1 1.1.2研究意义 .................................................................................................................... 3 1.2移动平均线理论与国内外研究情况 .............................................................................. 4 1.2.1移动平均线相关理论 ................................................................................................ 4 1.2.2 国外研究现状 ........................................................................................................... 5 1.2.3 国内研究现状 ........................................................................................................... 6 1.3研究目的与内容 .............................................................................................................. 8 1.3.1研究目的 .................................................................................................................... 8 1.3.2研究内容 .................................................................................................................... 8 1.4研究方法与技术路线 ...................................................................................................... 9 1.4.1研究方法 .................................................................................................................... 9 1.4.2技术路线 .................................................................................................................... 9 1.5 本文结构 ....................................................................................................................... 10 第二章 创业板市场特点及G证券公司创业板客户服务情况分析 .................................. 11 2.1创业板市场特点 ............................................................................................................ 11 2.1.1创业板市场基本情况 .............................................................................................. 11 2.1.2创业板指数构成及历史运行情况 .......................................................................... 12 2.2 G证券公司创业板客户服务情况分析 ........................................................................ 14 2.2.1 G证券公司简介 ...................................................................................................... 14 2.2.2 G证券公司客户服务内容分析 .............................................................................. 15 2.2.3 G证券公司活跃交易型客户情况分析 .................................................................. 18 2.2.4 G证券公司创业板客户服务痛点及改进思路 ...................................................... 22 2.3 本章小结 ....................................................................................................................... 24 第三章 G证券公司创业板ETF中长线优化策略构建及应用研究 .................................. 26 IV 3.1创业板ETF简单均线应用回测及优化分析 ............................................................... 26 3.1.1回测基本要素确定 .................................................................................................. 26 3.1.2简单均线回测实证 .................................................................................................. 27 3.1.3简单均线策略回测结果分析 .................................................................................. 31 3.2创业板ETF中长线优化策略的构建及回测实证检验 ............................................... 37 3.2.1中长线优化策略要素构建 ...................................................................................... 37 3.2.2中长线优化策略回测实证检验 .............................................................................. 39 3.3中长线优化策略在G证券公司的服务应用 ............................................................... 41 3.4本章小结 ........................................................................................................................ 42 第四章 G证券公司创业板ETF短线加强策略研究及应用研究 ...............................