中文摘要：

通过设计移动平均线分析法买卖点组合预测准确率与移动平均线交易策略累积收益率两个指标，本文考察了移动平均线分析法及其交易策略的有效性。考虑到交易费用调整后的统计结果显示移动平均线买卖点组合预测能力很弱，中长期移动平均线交易策略是有效的，移动平均线交易策略牛市表现较差而熊市表现较好，A股市场可以利用历史信息“策略取胜”，风险更低的投资策略反而可能获得更高的长期累积收益。

英文摘要：

Through designing a predictive accuracy rate and a cumulative return yield, the effectiveness of moving aver-age analysis and its trading strategy have been examined.The statistical results after adjusting trading cost show that the predictive accuracy rate of moving average analysis is very weak, medium-long term moving average trading strategy is effective, the performance of moving average trading strategy is poor in bull markets and better in bear markets, A-stock market can use historical information to“win with strategy”, and less risky investment strategy may obtain higher long-term cumulative return.