【摘要】趋势追踪策略是一种常见的量化投资策略。本文检验了趋势追踪策略在中国商品期货市场上的绩效。研究发现，趋势追踪技术指标在单合约和分组组合上均能取得比买入并持有策略更优的绩效。该超额绩效相对于交易成本、数据频度、次贷危机、卖空限制、延迟执行、流动性和参数稳健。最后，趋势追踪策略的盈利性可能受到数据挖掘的影响。

　　【Abstract】We examine the performance of trend following strategies in Chinese commodity futures markets. We provide evidence that trend following-based technical trading rules yield better performance than the buy and hold strategy on both individual contracts and sorted portfolios. The outperformance is robust to transaction costs, data frequency, sub-prime crisis, shorting constraint, delayed execution, liquidity and parameters. Finally, the profitability of the trend following strategy may be subject to data snooping bias.

　　【关键字】量化投资、趋势追踪、商品期货、样本外绩效

　　【Keywords】Quantitative Investments, Trend Following, Commodity Futures, Out-of-sample Performance

　　本文2017年刊登在Journal of Futures Markets，37(12): 1226–1254，该杂志为学院英文B类奖励期刊，张迪为金融工程2015级硕士生。