Research On Program Trading In Futures Market Based On Trading Trend Strategy

Financial instruments have been constantly burgeoning in an innovative way and along with the development of computer science as well as communication technology.While program trading sprang up these last years in China and obtained recognition from a growing number of investment institutions,subjective trading continues to be mainstream in the market.The reason behind lies in the fact that subjective trading,as a traditional mode of trading,utilizes subjective strategies that remain in effect for experienced traders and ensure them a constant return.Program trading,as an emerging and mighty trading tool,has substantial advantages in executive ability and efficiency but there are apparently certain stringent requirements to transform subjective strategies into programmatic languages.The analysis of subjective trading investment can be divided into two main categories,namely fundamental analysis and technical analysis between which the latter accounted for more use by traders.In the domain of technical analysis,the concept of trend is certainly one of the core contents and the selection of trend strategy as research object appears to be more universally applicable.As at present there are many products of main contract with high speculation and liquidity in futures market,within which the 'T+0' trading mode is adopted,providing an ideal operating environment for program trading.A domestic commodity future,coking coal,is to be taken as the research object of this text.Through literature research,data analysis,practical comparison and other methods,this article begins with the basic theory of trend strategy,referring to domestic and foreign research findings,to achieve a qualitative analysis in regard of Chaos theory,Dow theory,Elliott wave principle and Subjective trading theory.For the moment,the trend strategy has already been widely studied at home and abroad.The strategies overseas seem to be relatively developed but have not been improved and optimized in consideration of actual conditions in China,Moreover,some practical studies,regarded as company confidential,are neither made public.In this paper,the first attention is to be paid to trading strategies adopted by overseas returnees with theoretical analysis,especially a case study in which the international-approved trend trading was converted into program trading.By taking a full account of characteristics concerning Chinese market and starting from some actual tradings,strategy parameters and risk-control strategies(Profit taking,Loss stopping,Positions management)are repeatedly tested and compared to developer a Trend strategy-Program trading system that can not only be used for real funds operation but also generate a steady capital curve.Covering the study of subjective trading and the practice of algorithmic strategy,this article provides meanwhile a set of ideas optimized by subjective trading ideology with a complete strategy of program trading.In order to solve the problems(long return cycle,mass retracement,risky overnight positon)existent in subjective trading,original thoughts and solutions have been proposed and besides,the strategy of program trading needs to be steadily improved under the guidance of subjective trading.The combination of advantages from both sides leads eventually to a trading strategy with considerable commercial value.