Grid Trading Technology Based In Trend Following And Empirical Research Of Commodity Futures Price Fiuctuation

In recently years,the domestic commodity futures market has a great growth in its trading volume.In 2016,the commodity futures trading volume has been the world's leading for seven years.China Securities Regulatory Commission published the“Futures Company asset management business pilot approach” in July,2012,which allows the Futures Company to get involved in the asset management business.The decision will undoubtedly increase the institution investments' demand for commodity futures and commodity futures investment strategies.In the first and second chapters,this paper combs basic situation of Chinese commodity futures investment.At the same time,we summes up the literature about the commodity futures investment method and find that all operating trading strategies of the current investment community and academic research are based on judging trends and ignores the market fluctuation.In fact,the commodity futures prices are fluctuating in most time.In the second chapter,this paper analyzes the characteristics of iron ore futures and zinc furutes,corn futures and rapeseed futures,rubber futures and oil asphalt futures in the.Providing the basis for the follow-up research and developent of Commodity Futures Price Fluctuation Trading Technology.The third chapter introduces the procedural transaction,including classification,characteristics and advantages of the procedural transaction.we introduce the common platform of the procedural transaction and analyze the advantages of the Multi Charts platform.This charter focuses on the construction steps of the programized transaction model.Under the guidance of this steps,we constructe the theoretical model of the Grid Transaction Technology.We redefine the grid base price,so that the grid follow the price changes.We redefine the grid width,so that the grid could better cover the pricefluctuation range.We add the grid width adjustment parameter m as the optimization parameter for the trading technology.In the fourth chater,the PowerLanguage is used to prepare the grid trading technology on the MultiCharts platform.There are two futures contracts are selected from metal futures,agricultural futures and chemical futures respectively.In the back test,we choose one minute data of 2014 and 2015 for training optimal parameters,then apply the optimal parameters respectively in 2015 and 2016 to test the commodity futures.Finally,we evaluate the results of grid transaction technology.The results show that the grid trading technology has wonderful performance in test varieties,especially in iron ore futures,corn futures and oil asphalt futures.The applicability of the Grid Trading Technology in the commodity futures market from high to low in turn for agricultural products futures,metal futures and chemical futures.The fifth chater of this paper summarizes the conclusions of the article,and provides some suggestions for commodity futures investors.