Study On Trend Following And Statistical Arbitrage In Chinese Commodity Futures Market

With the development of Financial theories and computer technology, quantitative investment is becoming more and more important, compared to traditional discretionary investment strategies. Especially in the recent years, quantitative investment has made great progress in our country due to the continuous revolution of financ ial markets and the introduction of oversea quantitative investment philosophy.Firstly, this paper substitutes adaptive moving average for ordinary moving average to improve the Bollinger Channel trend following system, and adds money management system into it. Then I carry out historical test with South Copper Index data, analyze the perfomance and compare that to systems which us ing ordinary moving average or without stop-loss module. The result shows that trend following system runs well in the copper future contracts, the adoption of money management virtually improves the performance of the original system, but unexpectedly, stop-loss system worsens the system's risk-adjusted return. Secondly, this paper uses high-frequency of the copper futures in recent month and next month to examine the performance of statistical arbitrage system, the outcome indicates the system holds excellent and steady risk-return characteristics. Finally, I combine trend following with statistical arbitrage system, and conduct empirical examination on the new system. The results illustrates that combined system performs better than each single one.