Study On Quantitative Investment Strategy Of Domestic Commodity Futures Based On Hurst Index

Today,with the highly developed computer technology and data science,China's quantitative investment industry has taken a big step forward.With the increasingly complex market environment,it is basically impossible to achieve stable profits by relying on a single strategy.The combination of mathematical finance,statistical theory and traditional investment ideas is a new research direction of quantitative investment.This paper is to build a quantitative investment strategy based on Hurst index that can identify different market environments and switch trading styles which is based on the market environment,and to research its empirical performance in Chinese commodity futures market.Firstly,this article selects the double moving average strategy as the trend-typesub-strategy,and the Boll statistical arbitrage strategy as the shock-type sub-strategy.Then,this paper selects price sequence data of commodity futures market varieties in China from 2014 to 2017,and studies the performance of these two strategies respectively.The results show that the double-moving average strategy has obtained positive returns for soybean meal,coke and rebar,but the maximum drawdown rate of the three varieties is higher and the sharpe rate is lower,indicating that it is difficult to obtain stable returns only by relying on the double-average strategy,and it is impossible to avoid the large drawdown formed in the long-term shock.It's to use Boll statistical arbitrage strategy to make aback-test of the arbitrage combinations of soybean meal-vegetable meal,coke-cokingcoal,rebar-iron ore.Even though all can obtain the positive income,the relative is alsorelatively big.In addition,it demonstrates the rationality of the application of fractal market hypothesis in China's futures market and it's known based on Jarque-Bera check that each yield sequence is not normally distributed and China's futures market conforms to the fractal market hypothesis.In the end,a quantitative investment strategy based on Hurst index is constructed in this paper for empirical research,at the same time,it optimizes parameters and performs out-of-sample testing on the transaction data made in 2018.It is found that the combination of the double moving average strategy and the Boll statistical arbitrage strategy through Hurst index can improve the rate of return and reduce the maximum drawdown to a certain extent.That is,the trends and arbitrage strategies based on Hurst index is feasible,which can bring positive feedback to trend strategy.Compared with using trend quantitative investment strategy or statistical arbitrage quantitative trading strategy alone,the newly constructed quantitative investment strategy can achieve stable profit,which is a useful exploration for combining two or more different quantitative investment strategies.