Research On Programing Trading Strategies Based On Combination Of Improved BOLL Indicators And Fund Management

With the development of Fintech(Financial technology),there has been a great wave of robo-advisor both at home and abroad,and the rise of quantitative investment is becoming an irresistible trend of history.With the advantage of rationality,objectiveness and quantification,quantitative investment gains so much popularity of the investors.This article selects the domestic commodity futures market as the object of research,focusing on the in-depth study of the procedural trading strategy.The contents of this dissertation mainly include the following aspects : The optimization of the design process of the trading strategy,the improvement of the BOLL index,the establishment of the strategy combining BOLL index and the fund management,is tested,validated,and analyzed in futures investment.This paper mainly uses the quantitative analysis method,and programmes the strategy with Wenhua financial software,carries out the transaction test to obtain the performance data in the market,and then a further analysis of the data is carried out.In this paper,the indexes such as annual compound inter rate,profit to loss ratio,maximum capital drawback ratio,the maximum continuous losses and model scores are selected to estimate investment performance.On the basis of previous studies,this paper improves the strategic design process and technical indicators,and combining technology indicators with fund management creatively to establish strategies.Wenhua index and the industrial product index are used to test the BOLL indicator.In the test process,single variable control is used to compare the advantages and disadvantages of the two trading modes of the indicator,and improve the BOLL breakout strategy through the Donchian channel and the adaptive average line.Then,a preliminary strategy model combining with funds management is established.The model is brought back to the index of commodity futures varieties before the year of 2014,and pick out the trading varieties that match the strategy.Next,the genetic algorithm is used to optimize the varieties picked out in the samples,six parameters are obtained and a trading strategy with 14 varieties is constructed,test inside and outside samples with the strategies,and then compare to reach the conclusion.Thirdly,take the iron ore index as a typical example,analyze the profit and loss distribution and trading characteristics under this strategy.Discusses the essence and source of profit from the principles of financial engineering,and analyzes the improvement of fund management.In order to make the conclusion more persuasive,this paper also conducts a full sample test of the strategies and compares it with the famous Turtle trading systems.In this paper,main productions and results are as follows: firstly,confirming that the BOLL breakout strategies indicator is more applicable than the high throw low absorption strategy in the commodity futures market through the transaction test,first propose and confirm Donchian channel and adaptive average line can significantly improve the investment performance.Secondly,applying the strategy developed by the strategy design process and research method in this paper can obtain stable excess return,and programing trading strategy has the potential to overcome the long-term market.Thirdly,the profit and loss distribution under the trading strategy has an obvious peak and fat tails,and the fluctuation of funds has a trend of accumulation.Fourthly,the promotion of capital management is significant.