股指期货在中国的发展速度十分迅速，随着国内沪深300、上证50、 中证500等股指期货的陆续推出，中国股指期货品种日渐丰富，加之沪港 通、深港通的开通，国内投资者可以更加便捷地进行香港股市、恒生指数 股指期货的交易。同时本文研究意在为个人投资者提供一种风险较低，收 益较为稳定的投资策略。因此，选用恒生期指合约作为研究对象，对之字 转向指标投资策略进行研究优化。 本文首先通过选取当前全球成交量较高的股指期货品种：欧洲斯托克 50股指期货、标普500指数期货、新华富时中国A50指数期货、道琼斯指 数期货以及中国国内推行时间最长的沪深300股指期货，分别与恒生指数 期货进行分析，得出恒生指数期货合约与道琼斯指数期货以及新华富时A50 指数期货有着显著的相关性，继而再以股指联动为前提下，将原之字转向 指标策略增加枢轴点支撑阻挡位进行移动止损位判定，进行优化，构建出 新的交易策略模型，并通过模拟交易检验，验证得出优化后的策略比原有 策略具有更好的收益。 关键词：恒生指数期货；之字转向指标；交易策略 II RESEARCHONOPTIMIZATIONOFZIGZAGINDEX TRADINGSTRATEGYBASEDONSTOCKINDEXLINKAGE ABSTRACT ThedevelopmentofstockindexfuturesinChinaisveryrapid.Withthe continuouslaunchofdomesticstockindexfuturessuchasShanghaiand Shenzhen300,ShanghaiSecurities50,andChinaSecurities500,thevarietyof Chinesestockindexfuturesisbecomingmoreandmoreabundant.Traderscan moreeasilyconducttransactionsintheHongKongstockmarketandHangSeng Indexstockindexfutures.Atthesametime,thisstudyisintendedtoprovide individualinvestorswithaninvestmentstrategywithlowerrisksandmore stablereturns.Therefore,theHangSengIndexContractisselectedasthe researchobject,andtheZigZagIndexinvestmentstrategyisresearchedand optimized. Thisarticlefirstselectsthecurrentstockindexfuturesvarietieswithhigh globaltradingvolume:EuropeanStoxx50stockindexfutures,S&P500index futures,XinhuaFTSEChinaA50indexfutures,DowJonesindexfutures,and thelongestdomesticimplementationofShanghaiandShenzhen300stockindex futureswereanalyzedseparatelywiththeHangSengIndexFutures,anditwas concludedthattheHangSengIndexFuturesContracthasasignificant correlationwiththeDowJonesIndexFuturesandtheFTSEA50IndexFutures, andthenonthepremiseofstockindexlinkage,increasethepivotpointinthe strategySupportthebarrierleveltodeterminethemobilestoplosslevel, optimizetheoriginalZigZagindicatorstrategy,constructanewtradingstrategy model,andverifytheoptimizedstrategyisbetterthantheoriginalstrategy throughthesimulatedtradingtestincome. KEYWORDS：HangSengIndexFutures;ZigZagIndex;TradingStrategy III 目录 摘要.........................................................................................................................................I ABSTRACT..............................................................................................................................II 第一章导论.............................................................................................................................1 1.1研究背景.....................................................................................................................1 1.1.1股指期货在国内发展概况.................................................................................1 1.1.2香港恒生指数期货发展概况.............................................................................1 1.1.3国内投资者期指交易现状.................................................................................2 1.1.4投资者在恒生期指合约交易时遇到的问题.....................................................2 1.2研究意义与目的............................................................................................................2 1.2.1研究意义..............................................................................................................2 1.2.2研究目的..............................................................................................................3 1.3研究的框架与方法........................................................................................................4 1.3.1研究框架..............................................................................................................4 1.3.2研究方法..............................................................................................................5 1.4文献综述.......................................................................................................................6 1.4.1不同市场联动性..................................................................................................6 1.4.2交易策略研究......................................................................................................8 1.5论文创新.......................................................................................................................9 第二章相关理论与之字转向策略.........................................................................................11 2.1相关理论.....................................................................................................................11 2.1.1道氏理论............................................................................................................11 2.1.2江恩理论............................................................................................................11 2.1.3艾略特波浪理论................................................................................................11 2.2交易策略.....................................................................................................................11 2.2.1三重滤网交易系统............................................................................................11 2.2.2交易策略排行....................................................................................................12 2.2.3枢轴点分析方法...............................................................................................12 IV 2.3之字转向指标..............................................................................................................14 2.3.1之字转向（Zigzag）指标含义........................................................................14 2.3.2之字转向指标参数说明....................................................................................14 2.3.3之字转向指标算法............................................................................................14 2.3.4之字转向指标使用注意事项...........................................................................16 2.4之字转向交易策略......................................................................................................17 2.4.1趋势策略............................................................................................................17 2.4.2反转策略............................................................................................................19 2.4.3之字转向策略应用于恒生期指收益分析........................................................21 2.4.4之字转向策略不足之处....................................................................................22 2.5本章小结......................................................................................................................23 第三章股指期货联动关系分析............................................................................................24 3.1国际上主要的股指期货.............................................................................................24 3.1.1标普500指数期货............................................................................................24 3.1.2道琼斯工业指数期货........................................................................................24 3.1.3新华富时A50指数期货...................................................................................25 3.1.4恒生指数期货...................................................................................................25 3.2股指间联动的机理分析.............................................................................................26 3.3股指期货间联动实证分析.........................................................................................26 3.3.1实证分析模型........................................................