The Research Of Systematic Trading On Domestic Futures Investment

With the development of financial derivatives markets in China, moreand more products are traded on futures exchanges. It not only provideshedging tools to the industry, but also provides a new asset class—CTAfunds, as a part of the whole portfolio to investors in the capital market.This paper reviews the history and current situation of CTA funds indeveloped capital markets. Research is conducted to analyze the possibilityand effectiveness of developing a futures trading system in China's futuresmarket. From the perspective of systematic trading, a futures trading systemis established through screening of candidate traded products, selection oftrading strategies, and implementation of money management methods. Bythe method of empirical research, the trading system is modeled withcomputer programming and verified with in-sample&out-of-sampleback-testing, optimization, and portfolio construction.The paper draws the conclusion that it is possible to build up a futures portfolio which performs well and stable in long term. It also puts forwardsome advices on key components of trading system, optimization, andportfolio construction for the development of futures trading system.