Program Trading Research In The Futures Market Based On Passive Investment Strategy

Carry out step by step being accompanying forward market winning stock index future appear in the market and investing in advisory service being member of the futures company’s, Program trading begins to be on the rise in domestic futures market, this not only gives each institutional investor, security company and futures company to have brought about new challenges, but also new opportunities at the same time, because the index of investment in passive tactics have self s superiority, researching on Program trading will combine the Index contract in futures market in this article, including Quantitative trading ideas, checkout and optimization, And on this basis to prepare two kinds of procedures applied to the index contracts to detect program trading system, test results are considerable.The overall framework is divided into four parts, which are made up of the introduction, passive investment strategy, program trading’application in the futures market, passive investment strategy of program trading apply in futures market. The introduction part roughly introduced research background of domestic program and significance of using the index of passive investment strategy. In part of passive investment strategy summarize passive investment, and introduces in detail the three major theoretical origin of passive investment, namely the modern portfolio theory, capital asset pricing theory, efficient market theory, as well as the index of the investment motivation and advantages. Modern portfolio theory is mainly aimed at resolving the investment risk, capital asset pricing model is given in the market equilibrium state, determining method of the risk assets expected rate of return and system risk pricing, efficient market theory points out that the effective market is current market prices to reflect related information to the capital market, then there is no use of predictable information gain excess profit opportunity. In the futures market related breed effectiveness chapter, breed’s validity test method including alignment auto-correlation examines, run test, unit root and cointegration test carries on the simple analysis, at the same time review in various journals published on the futures market breed effectiveness research during2005-2011years literature. Moreover, the article introduces the theory and the development situation of index futures, in the theory aspect mainly elaborated index futures pricing formula and demonstrate the way about two investment strategies of spot and futures index, in the index futures development make a description of commodity index futures and the only financial futures stock index futures. In program trading in the futures market application, provides an overview of program trading, analyzes the advantages and disadvantages of program trading mainly reflect in which respects, summed up the program trading profit two basis, that is, historical trading profit expectations are positive number and decide based on emerged information, program trading of the futures market development present situation, the necessity, considerable differences of program trading historical simulation and actual transaction and common misunderstanding in program trading will be gradually elaborated. Also focuses on the analysis of program trading system platform, to quantify the preparation systems, and show a set of process system about program trading through specific procedures examples.On the basis of setting forth the passive investment theory origin, implementation motivation and advantages, the discussion of index futures, analysis of the current domestic futures development present situation, combined with the summary of program trading, development status, analysis of the pros and cons, preparation process, summed up the program trading and passive investment strategy links between them and advantage of program applied on index contracts, and to work out a set of tendency transaction system and oscillation type transaction system program, which are applied to the stock index and the wenhua commodity index, verify the transaction system is good or bad. In the tendency transaction system, used in the stock index futures with15minutes for K cycle, detection interval is form April16,2010to March30,2012. used in wenhua commodity index with one day for K cycle, form April7,2008to March30,2012for the detection period, the test results were good. In the Oscillations transaction system, used in stock index futures with5minutes for K cycle, detection time is from April16,2010to April5,2012, used in wenhua commodity index with5minutes for the K cycle, detection time is from April15,2011to April5,2012, test results are still, for the two class of program trading system from the historical simulation effect point of view, trend trading system is better than oscillating trading system. Which may be associated with the stock index, wenhua commodity index stage trend trend, So that the different market needs different program trading strategies to match.