  Technical trading rules have been widely used by practitioners in financial
markets for a long time. The profitability remains controversial and few
consider the stationarity of technical indicators used in trading rules. We
convert MA, KDJ and Bollinger bands into stationary processes and investigate
the profitability of these trading rules by using 3 high-frequency data(15s,30s
and 60s) of CSI300 Stock Index Futures from January 4th 2012 to December 31st
2016. Several performance and risk measures are adopted to assess the practical
value of all trading rules directly while ADF-test is used to verify the
stationarity and SPA test to check whether trading rules perform well due to
intrinsic superiority or pure luck. The results show that there are several
significant combinations of parameters for each indicator when transaction
costs are not taken into consideration. Once transaction costs are included,
trading profits will be eliminated completely. We also propose a method to
reduce the risk of technical trading rules.
