Study On Trading Strategy Of Quantitative Investment

Quantitative investment has thirty or forty years of history of development inoverseas. It has been recognized by more and more investors for its stableperformance in investment and continuous growth of scale and share in the market.Especially in the last ten years, quantitative investment has developed rapidly inabroad. The top level masters of quantitative investment represented by Simonscreated myths one after another. The increase of quantitative investment fund has alsooutnumbered the traditional investment fund gradually.However, the quantitative investment in China is still in its initial developmentstage. Quantitative investment counts less than5%in financial investment. With thecome of stock index futures in April2010, quantitative investment starts to show itsdevelopment potential in the domestic market gradually. The major brokers andinstitutional investors have launched in-depth studies of quantitative trading.Quantitative investment funds became hot again in these two years. The performanceof some of the quantitative funds even takes the leading position. They bring moreoptions for the domestic investors.This thesis illustrates and analyzes quantitative investment in a practical wayfrom the aspects of its basic concept, current development situation, investmentplatform and trade strategy, etc. Also a quantitative investment platform has beendeveloped by myself to do simulation analysis on the strategies of quantitativeinvestment to meet the demand of the current research in a flexible and convenientway. Based on this platform and the historical data of Shanghai and Shenzhen300stock index futures, by applying quantitative investment method, the investmenttransaction strategy of trend following has been analyzed and studied in depth. Thetrend following strategy mainly focuses on analyzing the market trend and directionby virtue of technical indicators. This paper focuses on optimizing, analyzing andcomparing the four indexes of the trend following strategy, which are moving average(MA), moving average convergence divergence (MACD), difference of movingaverage (DMA), three exponential smoothing average (TRIX). Through thesimulation, by applying trend following trading strategy, we can expect good returnsobtained in Shanghai and Shenzhen300stock index futures market. The quantitativeinvestment platform developed in this thesis has certain practical value and canprovide references for stock index futures investment.