Empirical Research On Donchian Quantitative Trading Strategy In Domestic Commodity Futures Market

With the development of China’s capital market,China’s commodity futures market has grown rapidly in the past 10 years.The importance of managed futures strategy in asset allocation portfolio is becoming more and more obvious,and the allocation ratio is getting higher and higher.Compared with other strategies,its advantages of high volatility and low correlation are obvious.After 2010,quantitative trading began to flourish in the domestic futures market.Subjective trading judgment was replaced by strictly determined trading strategy model.Through advanced computer technology,investment strategy was formulated with probability thinking mode,and the return performance was excellent.Therefore,it is of great academic value and practical significance to study the quantitative trading strategy model of domestic futures market.This paper studies the performance of Donchian’s quantitative trading strategy in the domestic futures market from an empirical point of view.Through the selection of the characteristics of different futures markets,we quantitatively screen the trading objects.Based on Donchian’s original ideas,we construct a portfolio model of single strategy and multiple varieties,and model each link of the original strategy model.Through empirical research on nearly 10 years’ historical data,it is found that the improved model can achieve stable returns in a long period of time in different market environments and different variety characteristics,which has great significance for the quantitative trading strategy research of China’s commodity futures market.It is of great academic significance,and has practical reference value for helping investors develop new trading strategies based on the evolution of market changes and eventually form mature investment strategies.