Abstract
This work aims to explore the performance of the MACD Trend Following Strategy within the context of the Chinese market. This paper organizes a universe to study this strategy methodically and applies this traditional hedge fund strategy to the universe. This work gets a generally positive result by running a backtest using historical data. To solve some difficulties, the work includes double Confirmation of MACD and other technical indicators and adjusting the holding period. The strategy has been successful in Chinese futures trading. In addition, additional considerations for the strategy and trading recommendations are discussed. This work enhances the comprehension and application of the strategy.
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