Design Of Program Trading Strategy For CSI300 Stock Index Futures

In recent years,with the development of computer technology and communication technology,innovations in the financial field have emerged one after another.As a financial innovation,program trading has gradually replaced manual trading in foreign trading markets and has become one of the main trading methods.The program trading in China starts late,but it has also been recognized by more and more investors.In the study of program trading by scholars at home and abroad,one of the research focuses on the design of trading strategies.The trading strategy is a formula and code that reflects the investor's trading philosophy.The investor completes the trading by trading strategies.At present,the application of China's trading strategy is mainly concentrated in institutional investors,and it is difficult for individual investors to use complex trading strategies.Therefore,it has important theoretical and practical significance for guiding investors' trading to analyze the program trading and construct trading strategies.The purpose of the thesis is to design program trading strategies and apply them to the stock index futures market.The first part introduces the background and significance of the research and related research literature at home and abroad,and then expounds the content,research methods and innovations of the thesis.The second part reviews the CSI 300 stock index futures and related content such as program trading and trading strategy design.The third part analyzes the models commonly used in program trading and its application method.The fourth part designs a program trading strategy based on MACD indicator and KDJ indicator,and compares and analyzes the data of different K-line periods.The fifth part analyzes the performance graph of the trading strategy and designs and optimizes the trading strategy.According to the designing and optimizing process of program trading strategy,it is found that the trading strategy based on single technical indicators has shortcomings such as low yield and poor ability in controlling risk.By combining the two technical indicators to design a trading strategy,the above shortcomings can be overcome to better meet the needs of investors.