Design And Optimization Of Trend-based Program-trading Strategies In China Future Markets

Program-trading has developed for more than 30 years as the main quantitative investment tools in overseas markets. Its investment performance is stable, and its market size and market share continues to expand, and has been recognized by more and more investors. At present, foreign program trading accounted for nearly 30% in the total trading volume, however, just less than 10% in China. In recent years, program-trading is gradually being adopted by domestic investors and gain a relatively stable return. Many futures companies have launched various program trading platforms. The number of investors who has engaged in program-trading has gradually increased. In the next few years, program-trading is expected to grow even more rapidly.Program-trading adopts powerful computing facilities, and using a high degree of historical data fitting, and by means of optimization strategy to find best strategy model to adapt to a variety of market conditions and effective verification and improvement in actual trading, to finally provide a complete set of actual investment system include strategy-designing, parameter-optimizing and practical applications. In the futures investment decisions process, program-trading uses quantify control for the opening and closing signal, stop loss and profit, capital managing, risk control. Meanwhile, program trading has substantial advantages over subjective operation in the aspects of execution and executive efficiency.Using futures products listed in the market for more than three years, based on Moving Average principle, and combining with the traditional trend theory, this paper compares the popular trend models to find the best way for designing trend-strategy. In this paper, strategy-designing, parameter-adjustment and performance evaluation are analyzed to find the adaptability of strategies to different products. The results could help investors better understand the methodology of translating the trading logic into machine-language, and form the trading strategy to be automatically executed by the computer.