A Study On CTA Developpment In China And Portfolio Strategy For CTA Fund

As Chinese economy developed in a rapid speed in recent years, thereal economy needs more and more assistance from financial market.However, compared with fast development of real economy, out captalmarket, especially the stock market provides low efficient allocation ofresources. Moreover, Chinese investment portofolio is only limited tostock market. Based upon this situation, Chinese government begins todevelop the future market.This article introduces the situation of Chinese future market and thenanalyse the feasibility of staring CTA fund in China. Also the tradingstrategy is considered and the portfolio strategy is offered to see if theprofit could be increased and the capital drawdown could be decreased.The article consists of three sections:The first chapter describes the current situation in Chinese future market.The second chapter introduces the feasibility of pusuring CTA fund inChina.The third chapter introduces the intraday trading strategy. The fourth chapter introduces the trend strategy and the portfolio ofconsisting of two strategy to generate the high capital gain and lowdrawdown.