The Quantitative Trading Model And Parameters Optimization Of Shfe Gold Future Based On The Macd Indicators

In order to gain profits,traders must predict the market trend correctly,and enter and exit positions at ideal times.But it is difficult to find an optimal time to enter or exit.The gold future market could be volatility,many factors could influence the price trend of the gold future.Traders can use fundamental analysis and technical analysis to predict the price trend of the gold future.We usually employ the common parameters of the MACD as default to do some technical analysis,ignore that every financial instrument has its own special nature.The common parameters don't suit every financial instrument.This research could make up the study of technical indicator parameters optimization which is scarce.Via optimizing the parameter of technical indicator,we can improve the predicting ability of technical indicator,recommend more correct advise for investors,reduce risk of investment,the purpose of this research is to optimize the MACD parameter values,to improve the profit of the gold future.The gold future listed on the Shanghai Futures Exchange in January 9th,2008.In 2013,the daily volume increased significantly.Because of these change,this paper choose two data samples,full sample and recent sample.Firstly,determining the trading strategy based on the MACD,building the quantitative trading model,and then backtesting,thereafter analyzing the backtesting result via strategy analysis,trading analysis and period analysis,ensuring that the logic of trading strategy is correct and can be optimized.And then optimize the MACD parameter values via exhaustion method and genetic algorithm.Both net profit and maximum drawdown have improved significantly.The trading strategy based on the MACD is trending strategy,though spending nearly 4 mouth to mock trading,but the number of trades is small and cann't reflect the effect of parameters optimization.