Research On Procedural Transaction Of Stock Index Futures Based On Improved Turtle's Trading Strategy

With the growing prosperity of the financial market,the rapid development of information technology and more market participates,the market put forward higher requirements and expectations for the trading way of futures.Program trading has gradually become the mainstream of the futures trading.This paper will improved this strategy which based on the classic turtle trading strategy to control the risk while to pursuit higher investment returns and higher utilization of funds.To provide the strategic recommendations with practical significance for investors.This paper improved the original trading rules based on the research of the traditional turtle trading strategy,building a new completely trading strategy from take a position,add the Camalig,target profit,stop losses,position control and so on.I build a trading model on Trade Blazer.The model consists mainly of three parts,the indicator of market status,the subsystem one and the subsystem two.The indicator identifies the different states of market,does not participate in when the market out of order.The model uses the subsystem one and subsystem two to trading when market price fluctuation in the state of trend and shake.After the model has been built,testing the results of trading and comparing with the traditional turtle strategy using the historical data.At last,pursuing the maximize of the return risk ratio according to optimize parameters after the improved model has been proved effective.The result shows that the improved model is more efficient and stable than the traditional turtle strategy model.It has stronger profitability and risk management capability.After optimizing parameters,the improved model can provide more effective reference for investors in the actual trading environment,it has a quitestrong practice indirection meaning.