Research On The Effectiveness Of Turtle Rule In Share Price Index Futures Investment

With the rapid development of computer technology,the investors have gradually applied computer technology to the transaction strategy of value investment and trend investment,and the quantitative investment came into being.Quantitative investment is the process of using computer technology and adopting certain mathematical model to practice investment philosophy and realize investment strategy.This transaction process generates a transaction signal that is automatically executed by the system according to the mathematical model.In other words,quantitative investment doesn't dependent on the brain's judgment,but on mathematical formulas.Quantitative investors input the latest market data and other relevant information into the formula,calculate the investment target and investment opportunity through the formula.The advantage is the consistency of investment decision,and the same formula can be used for the same information,which can obtain the same judgment result,which has little to do with the subjective judgment of the individual.Then the quantitative investment strategy is put forward for different targets in different scenes.In a large number of quantitative investment strategies,investors are also trying to select an investment strategy that can obtain sustained and stable excess returns.The turtle rule is an important investment strategy,so it is necessary to study its effectiveness.Foreign researchers test the turtle rule in different markets,different varieties,different contracts,but the results vary.For the turtle rule,the effectiveness of the conclusion is different.Domestic scholars did not test the turtle rule on the futures market in China,in other words,the turtle rule in share price index futures market of our country the validity is unknown,so this article apply CSI 300 share price index futures contracts historical data to test the effectiveness of the turtle rule.For the use of the general investors to provide decision-making reference.The research collected the document of investment strategy and the turtle rule at domestic and abroad,on the basis of existing research,combining with some problems of the existing research,putting forward the main content of this study is testing the effectiveness of the turtle rule in China share price index futures investment.Secondly,the evaluation index of turtle trading system and effectiveness is studied.trading conditions of opening,closing,adding and stopping are setting up.The effectiveness evaluation indexes adopted in this paper,including yield,Sharpe ratio,maximum retraction ratio and information ratio.Third,CSI 300 index futures since its launch on April 19,2010-March 16,2018 minutes of trading data as sample,adopting the turtle rule to check out the turtle rule's effectiveness of share price index futures market in our country,and then choose the bull market and bear market from sample interval,on the effectiveness of the turtle rule and the relationship between market are analyzed.On this basis,the value of T is changed,and the profitability of the turtle rule is analyzed.Finally,choosing the moving average strategies,compared with the turtle rule,contrast the turtle rule and moving average strategies.Through the empirical test of the turtle trade rule in China share price index futures investment,we get the following conclusions:First,turtle rule is not effective in our share price index futures market(including trend and shock market environment).During the testing process,the return of turtle rule did not outperform the market,and the maximum retracement rate was relatively large.Second,market conditions will affect the effectiveness of turtle rule.In the bear market,the turtle rules can be used to make active investment;in the bull market,the advantages of turtle rule are not obvious.Each transaction strategy is suitable for its own market environment.When the market environment is a bear market or a unilateral fall,the turtle rule is more effective.Third,the opening period will affect the profitability of turtle rule.The turtle rule is different when the opening period parameters are different.Fourth,the turtle rule and the moving average strategy have obtained excess returns in the share price index futures bear market,while the return rate of turtle rule is higher than that of the moving average strategy.