Research On Forex Quantitative Trading Strategy Based On Trend Theory

With the continuous strengthening of global economic integration,forex plays a more and more important role in the international trade and economic development.As the largest capital market in the world,the foreign exchange market attracts the active participation of countless professional investors every day.As a large country of foreign exchang,the changes of forex market always affect the interests of the country,the nation and even individuals.With the development of electronic computing technology and communication technology,financial instruments are also evolving and upgrading.Foreign exchange trading is also changing from traditional technical trading to artificial intelligence.Starting from the traditional trend theory,this thesis qualitatively summarizes the subjective trend theories such as Dow Theory,moving average theory,Eliot wave theory and Guppy moving average,to extract the trend theory is trading in the trend callback.In the view of traditional trend theory that is difficult to analyze quantitatively,this thesis designs an improved Zigzag algorithm indicator based on the traditional Zigzag to meet the requirements of quantitative analysis of trend trading strategy.This thesis chooses EURUSD currency pair as the research object,combined with the improved Zigzag indicator,realizes the trend quantitative trading system.The model integrates the trend analysis method and quantitative analysis method.After a large number of in sample and out of sample tests and optimization of historical data,a trend strategy quantitative trading system that can produce a stable income curve is finally developed.After analyzing the test results of out of sample data,the annual yield of the strategy is 68.77% and the winning rate can reach to 72.97%,the maximum capital withdraw rate is 15.97%.It shows that the quantitative trading strategy can obtain excess returns in the forex market.