Development And Application For Program Trading System On Futures

Program trading has been a very long period of development on the market of foreign financial derivatives. Along with the growth of China’s financial markets and the improvement of the financial regulatory system, program trading has also made rapid development in our country.Program trading, namely using the market softwares and computer pro-grams, with the market technical indicators, calculates trading points by a predetermined procedure,and then takes buying and selling operations accord-ing to the computer signal. From the view of behavioral finance point, the greatest benefits of the program trading is that the computer can automati-cally execute trades to help the investors to overcome the impact of irrational human emotions generated by the operation of the firm oiler greatly, and have an unparalleled advantage in terms of risk management and cost management.This thesis has discussed and analysised various aspects of the program trading system from theory to pramatical level.With detailed discusses in the system testing.optimization and evaluation,i also added some of mine own expriencc.Then I researched the setup procedure of program trading system and statistical tests,and used a intraday commodity system which was devel-oped by myself as a case of program trading system.Finally,i carried out some research on algorithmic trading and Walk Forward Backtcsting.Algorithmic trading can help program trading to reduce the impact cost and to promote market liquidity. Walk Forward Backtesting is a good way to test the system robustness,which is few used in domestic research.This paper described the ap- plications of Walk Forward Backtcsting in detail, and also did some empirical analysis.