Quantitative Trading Trend Strategy Research Based On The Bollinger Bands

As the last century computer technology and communication technology developed rapidly, financial markets are also developing and perfecting. Investors need to keep pace with the time to adapt to market changing, and constantly update thinking way, build new trading strategies. The development of computer technology allows us to design a systematic trading strategy, to avoid man-made subjective interference, to perform trading strategies programmatically. Quantitative trading abroad has developed rapidly, according to statistics, in 2009 the United States quantitative trading volume has reached 61% of the stock market, Quantitative trader in the foreign exchange market reached alarming 80%.Quantitative trading legend James Simons received compound annual yield of 34%, far more than warren Buffett and George Soros. However domestic quantitative trade developed rapidly in recent years, the relevant theoretical research is not much, research on trading strategy is more scarce, and commodity futures market in China starts late, Research about quantitative trading strategy of the futures which has practical guiding significance is much less. This article take rebar futures and London gold quantification of commodity futures trading strategy of intensive study, back to the test results show the strategy on the basis of the guarantee yields significantly reduce the risk of retreat, has the very good practice for quantitative trading practice guiding significance.In this paper, we study the theory which is based on the fractal market hypothesis, using the Hurst index of the most effective to verify the selected possess fractal characteristics, the contract price has long-term memory, there is a certain trend, and then expounds the Bollinger Bands theory, and using the Back-Scholes equity pricing formula proved the Bollinger Bands and the relationship between the equity prices before, that the Bollinger Bands used to establish trend trading strategy is a mathematical support. Finally set up based on Boolean line different trading strategies for performance comparison, trying to find out appropriate policies and applicable conditions. Based on the traditional Bollinger Bands trend trading strategies, rebar and the training of the London gold sample is used to determine the parameters, reoccupy prediction samples back from two aspects of income and risk measurement performance evaluation strategy, the results found by iteratively by adjusting the parameters of the trajectory of the appropriate set up traditional Bollinger Bands trend trading strategy is effective, and it has universal applicability.But because the retracement is too bigger, improving traditional Bollinger Bands strategy still exist, so kernel density estimation method is introduced for the probability distribution of signal index, improved up and down line designing, test rebar and London gold forecast samples back in performance measurement and evaluation, the effect is not good. But it found that the results of short-term forecasting data is not good because of the influence of the sample length, eventually found that long-term use of rebar sample data to test improved Bollinger Bands strategy works best, the method on the premise of guarantee yields significantly reduce the risk of volatility, the improved earnings stability, it is the most effective strategy of all. It Also shows that the improved Bollinger Bands trend trading strategy is better for a long time. Finally, it still can be improved.This paper found the appropriate adjustment of traditional trajectory Bollinger Bands trend trading strategy has universal applicability, variety and frequency of data for the deal not too high requirements; And improved Bollinger Bands trend trading strategy has asked to the length of time, in the long run it can guarantee profits on the basis of the profit is more stable, short-term trading effect is not obvious, the quantitative trading practice has the very good reference and guiding significance; Strategy of traditional Bollinger Bands in various improvement methods also has theoretical significance, provides a new thinking for the research of Bollinger Bands direction.