Trend Following Portfolio Demonstra-Tion Analysis Based On Multi-varieties And Strategies

In foreign countries, with the continuous development of quantitative economics and financial engineering, multi-disciplinary talents-the so called “quant”, invent the Quantitative investment. Quantitative investment developped earlier in foreign countries. Foreign mature financial derivatives market provides fertile soil for the development of quantitative investment. Along with the constant development of the securities market in our country in recent years, and the launch of index futures, securities margin trading, index options, China’s securities market is becoming increasingly mature. More and more abundant trading mechanism and perfect system specification laid the foundation for the development of quantitative investment. Over the next few years quantitative investment will become a new favorite in the capital market, so the research of quantitative investment and quantitative trading, is very necessary. In recent years, quantitative investment is gradually known by people in our country, how to operate the quantitative investment, how to run the quantitative trading system, many scholars have give their answers. However, how to reduce the risks at the same time to obtain the biggest benefit when we run a quantitative trading system, many investors have been thinking of it. This article selects the stock index futures, rubber, Shanghai copper futures market, and three quantitative trading system is constructed with using quantitative techniques. And then we test the single market with single strategy and multi-market with multi-strategy. The main contents are as follows:The first chapter mainly introduces the development of quantitative investment, the present situation of quantitative investment in our country, and the relevant domestic and foreign research literature.The second chapter mainly introduces the quantitative investment theory. The efficient market hypothesis is introduced first.Secondly I introduced the behavioral finance. finally I introduced the application of markowitz’s classic portfolio theory.The third chapter mainly introduces keltner channel trading system, BollingerBand system and the double moving average lines trading system. I Provides detailed information on operation mode, internal mechanism, the historical origin of the trading system and the principle of trading strategies described. And then I introduces show that through the pictures how to buy long position and short position. Then introduces the advantage of strategy of building a portfolio. After these I introduced the principle of parameter optimization and the attentions of parameter optimization. Finally I introduced how to judge a good trading system, and the performance evaluation indexes of trading systems.The fourth chapter is the empirical analysis part. Firstly I introduced the source of data and testing assumptions. Then I tested the single market with single strategy respectively on stock index futures, rubber futures, Shanghai copper futures and figure out the capital curve. Then I tested the multi-market with multi-strategy respectively on stock index futures, rubber futures, Shanghai copper futures and figure out the capital curve. Finally I has analysised the capital curve of single market with single strategy and the capital curve of multi-market with multi-strategy through comparative analysis method.The Fifth chapter made a conclusion and provided some suggestions for the investors. Then the article future research direction was prospected.