Evaluation Of Trading Strategies In Stock Index Futures Market Based On The Agent-base Computational Finance

China CSI300stock index futures contracts began to be traded on the April16th,2010, which means cross-market structure including stock and stock index futuresmarket initially formed, and promotes China capital market diversified transformation.With the introduction of stock index futures, investment products and tradingstrategies in the China market increase, so evaluating trading strategies not onlyprovides investment decisions basis to investors, but also gives regulatory agencies asupervision and management reference, which is of practical significance.In this paper, the author does the simulating trading experiment to get5secondshigh-frequency data, using the cross-market Agent-base computational financeplatform of stock and stock index futures market. The author analyzes the return, risk,capital occupied amount and market impact cost of four types trading strategies in themarket, which is value investing, technical trading, liquidity trading and arbitragetrading.Compared to the previous studies, the author uses the emerging Agent-basecomputational finance method, and not only focuses on the profitability of a singlestrategy, but researches various aspects of four types trading strategies, constructinga evaluation framework of trading strategies in the stock index futures market, whichis innovate.The study find that value investing strategy performs well in all aspects, the riskof technical trading strategy is high, arbitrage trading strategy’s capital occupiedamount and market impact cost is big, and the wealth of the noise traders usingliquidity trading strategy is almost lost. Therefore, investors should analyze themarket information frequently, and improve learning and prediction mechanism toseek a balance between the benefits and risk with their own situations. Regulatoryagencies should enhance investor education to reduce noise traders in the market,avoiding investors bearing huge losses because of blind investment, and ensure thehealthy development of the stock index futures market.