| Quantitative trading has incomparable advantages over conventionaltrading strategies. It is in the embryonic stage but has high potential fordevelopment in China.R-Breaker trading system, a famous foreign quantitative tradingstrategy, is studied in this paper and applied to domestic stock index futuresmarket. Unfortunately, it doesn’t behave as well as the first2years recently.So I split it into two sub-strategies and optimize them respectively. Thetrend sub-strategy is still based on technical analysis, while in the reversalsub-strategy I tried to use the LPPL Model from geophysics. At length Ihave developed a winning and steady trend sub-strategy but failed to devisea concrete reversal sub-strategy due to the limit of computer facility. WhileI have gained some researching achievements on LPPL Model more or less. |
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