Research Of Trading System Of Futures Based On Turtle Trading Rules

The main contents of this paper is divided into two parts. In the first part, in order to overcome the traditional shortcomings of dual moving average system, this paper uses a trend indicator (CYE) as a break condition. Combine the break condition with the "advantage"-volatility filters as the admission system. Then based on the characteristics of turtle trading rules, this paper constructed a complete breakthrough strategy, and made parameter optimization and testing. In the second part, this paper first constructed a portfolio to diversify risk. Then build a model to help determine price trends:With the subjective judgment on the past stock market, this paper uses the Hurst index of the fractal theory and CMI Index and the Sharpe Ratio to constitute a linear combination. With the Logistic Regression of statistical analysis, we obtain a function about market trends, it can directly tell the current probability value of the trend. Compare with subjective judgment, the success rate of the regression function to identify trends was98.3%, only one month misjudgment of57months. With the Turtle Trading Rules, we allocate the capital with risk, and decide when to enter the case, how much to buy by the situation of the trend. Use the Monte Carlo Method to determine whether the strategy is wrong. In conclusion, we give some personal ideas of investment and some suggestions about Chinese quantitative funds.