The Design And Implementation Of The Profit Model Analyzing System For Share Price Index Futures

Since program trading populated in the seventies of last century in United States,quantitative trading which derived from program trading has become the mainstream way offinancial market transactions. Quantitative trading has sufficient development since the1980s.However, with the increasing number of Chinese financial engineers returning from the WallStreet, quantitative trading also began to popularize. As a result, quantitative trading softwarewas developed.In such a circumstance, the author designed a stock index futures quantization tradingprofitability analysis system.It is the combination of financial field and informationtechnology. Through this system, we can analyze the profitability of each index whichaffects historical K-line data. Then correct execution of the transaction process can be made.System function:1interface display function: The software can read one minute K-Line stock indexfutures data, in the form of a graphical interface displayed on the screen. Also, users canadjust the display of different averages in different cycles.2The software can load a number of predesigned index or index written by users.3Scripting languages support order-placing language. The software can generate profitanalysis reports and specify parameters for the specified index; In addition, the software alsosupport automatic optimization of parameters.In the following paragraphs, the paper show searching analysis with commonlyused indicators with designed software. From the analysis of a large number of charts andtables, we can see that: If an index was applied for a short period of time (e.g. one minutelevel, or five minutes level), profitability is insufficient. In some cases, there are losses.However for a longer period of K-line (for example,30minutes level, or60minutes level),there will probably achieve profitability. Moreover, in a large cycle level K-line experiments,we found that most of the parameters can be profitable, which means the indicators have moresuccess rate.Finally, the system function and stability were summarized. Further studies can be made on system stability, system functions, and index function.