| In the nowadays, quantitave trading shows a trend of rapid development. Hedge funds in China begin to study mature quantitative trading strategies of the overseas, and the strategies are used in the domestic market. Among those strategies R-Breaker model is a classic strategy and has gotten high and stable returns since publiced. In this article the domestic and international mainstream of quantitative trading strategies are reviewed and summarized firstly. Then the R-Breaker strategy for nearly 3 years of csi 300 stock index futures is carried on the back analysis and optimization. At last a new strategy of upward breakthroughing is designed based on the optimized strategy of R-Breaker.Since the regulators carried on restrictions of the stock index futures trading since September 2015, fees and margin ratio increases significantly. This article carried on the back to test with the new strategy about this period, and found the measurement results of before and after the trade restrictions by turning losses. This shows that those trading restrictions do restrict programming trading. But as market sentiment restores and the market matures, trading rules will return to normal. So still there is practical significance of this new strategy.In addition wavelet analysis is used to the new strategy in this article innovatively. Real-time wavelet noise reduction will reduce the frequent loss of trading caused by error signals, and this is of great significance in the background of the rapid increase of fees. |
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