Applied Research On Program Trading Strategies Of Stock Index Futures

Since Shanghai and Shenzhen 300 stock index futures released in China Financial Futures Exchange on April 2010, stock index futures trading has become the most active varieties in futures market. With the bomming of the stock index futures market, the research will be more in-depth by trading firms and investors,In order to obtain greater profits and hedging,They will discover more and more complex trading strategies, and operation of these trading strategies must rely on the program trading.In overseas markets, ordinary manual trading has been gradually replaced by program trading as a major way on the stock market. In China, due to the financial market development is lagging behind so that the research of program trading still have a great distance compared with the United States and Europe. Further develop the program trading can not only achieve better risk management and portfolio optimization, but also can take advantage of speed to improve market efficiency in the transaction process.Applied research of program trading strategies on stock index futures in this article within the scope of technological innovation in finance field. Keen to the characteristics of stock index futures,it will design a program trading strategy within a day, by reviewing test the historical data, analysis the extrapolation result, and measure the revenue and risk to verify the feasibility of the trading strategy.The main body in this article can be divided into four parts.The first part introduces the basic concepts of program trading. The history and research status of the program trading; also introduce the process. ideas and evaluation index; elaboration on certain aspects that may impact on benefits and risks are also made.The second part will be compared the development of China’s financial markets and program trading with developed countries, reveal the reason why currently the development of program trading in china is relatively backward, and give some suggestions in how to promote program trading. meanwhile,the applications of program trading and market environment is also analyzed.The third section presents a design of day trading strategy, so that the assessment indicators can be analyzed to reveal the reasons for profit. By The Kelly Formula to estimates the best capital proportion of the financial trading strategies as well as by the Sharpe ratio to determine the risk of trading strategies. Ultimately to prove the trading strategy can be effective.The fourth part is to give contrast analysis on several commonly used trading strategies so that to discuss the development trend and feasibility of Chinese program trading and to make some promotion suggestions.