Study Of Trading Strategies Of Options And Futures Based On Stationary Process And Technical Analysis

Financial derivatives are an important part of the financial market.With the estab-lishment and development of the financial derivatives market,related investment theories and trading strategies have emerged one after another.Compared with the pricing of financial derivatives,from the perspective of practical application,investors are more concerned with whether a theoretically based investment strategy can gain profits in ac-tual transactions.Although there are many studies on financial derivatives transactions,there are not many studies conducted using the stationary process as an entry point.In the framework of the stationary process,this paper studies the quantitative trading strategies of futures and options in order to obtain a stable return.It is mainly divided into the following three parts:First,We convert three popular technical indicators to stationary processes and apply them to high-frequency stock index futures data.Several performance measures and risk measures are used to evaluate the performance of the strategies.It is found that strategies with some parameter perform well without regard to fees,and relatively stable returns can be obtained.ADF-test is used to verify the stationarity of the relevant financial time series,and all the verified sequences pass the test regardless of the magnitude of the lag order.Moreover,SPA test is used to test the data snooping effect.Regardless of transaction costs,strategies that perform well passed the SPA test,that is,their good performance was due to their inherent superiority rather than luck.To synthesize the advantages of each strategy and obtain a more stable strategy,we propose a strategy optimization plan at the end of chapter three.We build a strategy pool constituted by good strategies.Build a rotational strategy by periodically repeating the training process and selecting the best performing strategy to use.The comparison with a single strategy shows that the rotational optimized strategy is more stable.Second,the follow-up operation of selling put options based on stationary process was studied.Using the property that logarithmic return of underlying asset is stationary,one can generate a strategy with stationary return sequences by adjusting the share and the strike of options.Since a put option is a monotonically decreasing function of the underlying price,if the underlying price rises and the original option price falls,one can close the original position to lock a portion of the instant gain and sell a new option.Based on this feature,six move strategies were constructed and their stationarity is demonstrated.If the price of the underlying falls,the original option price rises.Closing the original position is equivalent to holding the loss in advance.If it is only a short-term correction,i.e.the price increases later,moving downwards is not worthy.In order to avoid spurious decline signals as much as possible.we introduced historical volatility and stationary Bollinger band to predict the downward trend.For empirical testing,three type of data of three US stocks index ETFs are used.The three type of data are real option daily data and two theoretical option data which are option price calculated based on the Black-Scholes formula and underlying daily data and minute data.The empirical results show that the move strategies can improve the performance of the basic strategy,and returns of all the strategies passed the ADF-test.Third,construct the framework of option strategy portfolio based on technical in-dicators and option Greek letters.This part is no longer limited to one option strategy,but choose different option strategy based on the situation of market.The Greeks can be used to measure the risk of different strategies and determine the applicable market atmosphere.The fifth chapter gives the introduction of Greek letters of common options strategies,and the stationary technical indicators is applied to divide the market into three trends.For each trend,choose different options strategies to acclimate the trend.This part adopts long enough data which contains two financial crisis to conduct the empirical test.The results show that the portfolio of option strategies can yield a stable return,and compared to the basic strategy(sell put options)it performs better in the falling trend.It is because Delta<:strategy is used and that effectively reduced the drawback of net value curve.