The Quantitative Trading Strategy Research Of Gold Futures

In this paper,MATLAB programming is used to establish a pratical timing quantitative trading system based on the Contract 1606 of Shanghai gold futures with five minutes high-frequency trading data.First,each of MA?MACD?RSI?KDJ four kinds of single-index strategies were studied.Then,the strategies are combined so that the yield is further increased,reaching 132% yield.This paper is divided into five chapters: The first chapter is the introduction part.At the first,it introduces the background and the significance of the paper.Then it reviewes some of the relevant literature to quantify transactions.At last,it make clear the contents and framework of this article.The second chapter introduces quantitative model.We develop quantitative trading,the type of quantitative trading and quantitative trading platform to do a comb.The third chapter introduces quantitative trading process.Chapter IV of quantitative trading strategy selection theory and empirical research on the method described 1606 Shanghai gold futures contract.Introduced the MA,MACD,KDJ,RSI four metric point and open positions,and introduced quantitative trading portfolio strategy theory and advantages.The fifth chapter Conclusions and investment advice.