| Program trading refers to a trade-way that investors build quantization strategy based on their investment philosophy and history of investment experience and computer system automatically determine the timing of the sale, quantity, direction model.According to the definition in the ?Measures? promulgated by CSRC, Program trading is more focused on the automation applications of investment strategy in the trading behavior, mainly related to investment decisions.Compared with manual trading, program trading has some advantages, such as reducing risk, high reliability, high success rate, low transaction costs, cross-market trading as well as to overcome the defects of human nature.Since the program trading was born in the United States in the 1970 s,the investors such as BGI and Simmons proved that they can take advantage of the excellent trading strategy model to beat the market and achieve a stable return on investment. The rapid rise of computer network technology and hedge funds are driving the rapid development of program trading in Europe and other mature markets. In contrast, China's securities market program trading is still in the primary stage of development, and are concentrated in the futures market. In the background of that regulators take various restrictions on program trading In the second half of 2015 after the stock market crash, it is very necessary for us to doing research on applications of program trading in China's futures market.Since the 1970 s the United States was born in program trading to BGI and Simmons as the representative of investors that take advantage of the excellent trading strategy model can beat the market and achieve a stable return on investment. Computer network technology and the rapid rise of hedge funds to promote the rapid development of program trading in Europe and other mature markets, compared with China's securities market program trading is still in the primary stage of development, and are concentrated in the futures market, in 2015 under the second half of the regulators to take various measures to limit program trading after the stock market crash of background, program trading is of great significance in the application of China's futures market.This paper is divided into four parts, the first part introduces the theory of program trading, including the definition, design process, strategy elements, as well as related strategy performance testing and analysis. The second part analyzes the history of program trading and current situation at home and abroad. The third part respectively takes R-Breaker strategy(intraday strategy) and Dual Thrust strategy(daytime strategy) as examples to carry out case studies and discusses their strategy ideas, interpolation test, parameter sensitivity test, parameter optimization, extrapolated test, the process of walk-forward-backtesting and evaluates the performance of the strategy model. In the fourth part, by comparing the average earnings data per month of two strategy model and the average return of CSI 300 index futures market, we find that R-Breaker's walk-forward-backtesting result is obviously better than Dual Thrust's.In the background of that China's stock index futures market experiences rapid rise and rapid decline in walk forward periods, R-Breaker showed some robustness, but less robust Dual Thrust. Its volatility is greater than the market average, failed to advance through the walk-forward-backtesting. |
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