Design Of Soybean Meal Futures Trading Strategy Under High-frequency Dat

At present,in the domestic and foreign markets,quantitative investment,as a mainstream investment method,is the first choice and main target of major institutions and investors.In this respect,China started late.For the reason,the vigorous development and promotion of quantitative investment can better manage the investment risk and optimize the investment of the portfolio,and on the other hand,quantitative investment not only plays the role of price discovery,but also further realizes and strengthens the effectiveness.At the same time,the trading strategy to be studied next in this paper is essentially one of the important links.As a spot pricing benchmark and wind vane,soybean meal futures price plays a pivotal role in China’s futures market.In order to design a set of intraday trading strategies,based on the variation rules and volatility aggregation characteristics of the soybean meal futures market price fluctuations,this paper try to take the 5-minute high-frequency price data of soybean meal futures in the Dalian futures trading market as a sample to volatility analysis.This strategy constructs the Realized GARCH model that has been implemented to measure RV and RBV respectively in advance,under three different distributions,to selecting the most suitable model.A quantitative trading strategy is built by using the Va R method.Finally,according to the data of soybean meal futures from July to August 2022,backtesting the strategy and gaining a series of results including risk return characteristics etc.,to confirm whether the strategy is feasible.It hopes to provide a new perspective for other relevant researchers when designing soybean meal futures strategies.From results of this strategy,taking the processed deviation data as the research object,adding implemented measures,and then using the Realized GARCH family model for optimization,the strategy obtained through modeling in this case is a relatively effective strategy with relatively good investment operability.The performance of this strategy is relatively positive both in terms of theoretical basis and historical backtesting indicator results,and it also shows better advantages compared to commonly used single moving average strategies.As a generalization,this strategy also has a certain degree of availability.In general,this strategy has relatively good practical reference value for general investors or small investment institutions in the financial market.