Construction And Strategy Optimization Of Futures Program Trading System Based On Technical Indicators

Futures investment has a very high speculative nature.If the direction of trade is correct,investors will be able to profit.However,in fact,the investors who rely on manual operation usually fail to operate strictly according to the technical analysis,which leads to a good technical analysis that still has a loss.In recent years,with the growth of stock and futures trading volume and stock market,and the increasing number of trading varieties,the manual operation is becoming more and more difficult.The procedural automatic trading system is becoming more and more popular with investors.Procedural trading can avoid many disadvantages of artificial transactions,thereby increasing the stability of investors' earnings.This paper is divided into three parts,which are composed of the requirement analysis and design of the program trading system,the development and Realization of the program trading system,the test and analysis of the trade strategy.(1)The requirement analysis and design of the program trading system part mainly contain the feasibility analysis of the program trading system,the functional requirement analysis,the security and performance requirements analysis,and the design part mainly includes the overall architecture,the function module design,the database design and so on.(2)The development and realization of the programming transaction system part includes the development and Realization of the core module in the python language,including develop the robot program to gather historical data,event driven programming,VN.PY adapter CTP market and trading interface,building the trading strategy,and constructing three major trading strategies of thread.(3)The test and analysis improvement of the trade strategy include the function test of the trading system,the test analysis of the trade strategy,and the improvement of the transaction strategy,including 5 ways of improving the strategy,including parameteroptimization,append the stop loss,append the filtering,the capital management,and the multi strategy combination.By comparing charts and data,can clearly see the effect before and after strategy optimization.