Optimizing Turtle Trading Strategy Based On GARCH Model And VAR Risk Measurement Method

After more than a decade of rapid development,quantitative trading has gradually become an important way for professional investors to trade in the global financial market.With the continuous innovation of domestic financial market instruments and the acceleration of global financial integration,quantitative trading have begun to develop in China's financial market.The Turtle Trading Rules was invented by the legendary commodities trader Richard Dennis of the United States and is one of the most famous quantitative models in the world.Because of it's clear regulations on entry,exit,stop,etc.,it is very suitable for programmatic implementation.It is a medium-and long-term trend trading strategy.The specific strategy is to break through the price base on the 20 th or55th,and adjust the positions held to capture profit and control risks.After continuous testing by the market,the Turtle is still sought after by global quantitative traders.This paper applies the original turtle trading strategy to China's futures market for empirical testing.Through the results of back testing,the problems of the original turtle trading strategy are found,and then the optimization ideas are put forward.The paper proposes a three-step optimization of the turtle strategy by constructing the GARCH model and the VaR risk measurement method.The first step is to use the Open Interest to optimize the entry conditions of the turtle strategy.The second step uses the VaR values to optimize the stop loss condition and the third step is to build the volatility index to get better optimization results.For each optimization plan,an evaluation is made to compare the optimized trading strategy with the original turtle strategy,and analyze its profit performance and risk characteristics.Finally,therelated trading strategies and models are summarized,and the suggestions and prospects for the optimization of turtle strategies are put forward.