Research On The Optimization Of Trend Following Programme Trading System

Program trading refers to the process that trading signals are issued in accordance with the trading rules set in advance in trading system and then trading instructions are given by program trading software.In this definition,the importance of trading system for program trading is highlighted.Program trading has a high efficiency,which can reduce the negative impact of human psychological fluctuations on trading,help control the risks during trading,and more effectively seize the fleeting opportunities on the market.The main application fields of program trading include arbitrage trading,trend trading and other trading strategies.This dissertation mainly uses the method of empirical research and comparative study,compares the back-test results of the trend following programmed trading system in different conditions and investigates the changes of the optimizing circumstances and empirical results.Basing on the above analysis,the author then sets up position combination of the selected transaction varieties and looks for methods to further optimize the trading system and gradually improve the performance of the trading system.Finally,a programmed trading system is obtained,which can back test the out-of-sample data and make profits.The conclusions of the dissertation are as follows: First,carrying out a parameter optimization of the trend following programmed trading system based on the average line in different trading period and transaction cost will result in different profits.As a whole,the change of trading period can bring greater changes to the trading system.Second,setting us a position combination with many varieties might reduce the yield rate to some extent,but the effect of reducing the retracement of the trading system is more obvious.Third,after selecting the proper parameter,adding the ranking of the crossing moving average line's frequency of different varieties' closing prizes to decision-making basis for opening transaction can be an effective way to increase the ratio of profit to retracement of position combination.