Research On The Quantitative Investment Strategy Of Stock Index Futures

In recent years,the formulation of fractal market theory in the 1990 s has posed a powerful challenge to the efficient market and its normal hypothesis,which no longer adopts the preconditions emphasized in the efficient market hypothesis such as independent,linear,and normal.The theory of multiple fractals is the promotion and supplement of the theory,and the changes in the characteristic parameters obtained by the theory of multiple fractals reflect the changes in the operation of the financial market to a certain extent,so we can use the theory of multiple fractals to predict the market and obtain excess profits through technical analysis to a certain extent.At the same time,with the rapid development of disciplines such as computer technology and data science,quantitative trading has gradually developed.Quantitative trading is favored by the majority of institutional investors because of its advantages of strictly implementing algorithmic procedures,realizing fully automated trading,and overcoming human shortcomings.With the increasingly complex market environment,it is often difficult to achieve stable profits by relying on traditional strategies,and combining mathematical finance and statistical theory with traditional investment theory is a new research direction for quantitative investment.Therefore,this paper attempts to combine multiple fractal theory with quantitative investment to explore the application value of fractal theory.This article begins with a detailed exposition of fractals and multifactal theory.Secondly,using the multiple fractal detrending volatility analysis(MF-DFA)method,the logarithmic characteristics of the three representative Chinese stock market indices of the CSI 300,CSI 500 and SSE 50 were verified,the parameters of the Hurst index and the polyfractal spectrum were calculated,and the variation of these parameters was empirically tested.Finally,this paper constructs the dual moving average trend following strategy and the double moving average trend following strategy with the hurst index and multiple fractal spectrum parameters,and conducts comparative analysis,and the results show that:(1)adding the Hurst index can capture the reversal of the trend,filter out the unsuitable entry signals,improve the profit and loss ratio and win rate,and reduce the maximum drawdown;(2)adding the multiple fractal spectrum can not only capture the reversal of the trend,but also capture more fine fluctuations;(3)when the market volatility is high,Both the Husrt index and the multi-fractal spectrum can be optimized.However,when the market volatility is small,neither the Hurst index strategy nor the multifractal spectrum strategy has an optimizing effect.Therefore,fractal theory has important application value in quantitative investment strategies and can provide a strong reference for investors’ investment decisions.