The Study On Timing Strategy Based On Realized Volatility

For the participants in the securities market,trading timing has been always difficult,but in the volatile market,the importance of timing is not to be ignored.This paper explores the timing strategy from the perspective of quantitative investment,building the HARQ-RV model based on the realized volatility and Shewhart control chart in the statistical process control theory.The volatility timing strategy is backtested in the CSI 300 index,which is the representative index of China’s stock market,and the strategy is optimized from the aspects of strategy parameter selection and stop-loss.Based on the empirical results,it is found that the HARQ-RV model has obvious improvement on the prediction accuracy on the CSI 300 index,both in the sample and out of the sample.And the results of out-of-sample prediction under the condition of the sample window with the length equals 500 was best by backtracking.It is proved that the timing strategy based on the realized volatility is better than the buy and hold strategy because of the lower volatility of the net value of the investor’s capital and the higher the sharp ratio.In the investment the volatility timing strategy have a certain guiding value.In the strategy optimization,it is found that there are obvious differences in the performance of different strategies in different market conditions by the analysis of the feedback effect of different strategy parameters.Investors can use the grid search method to analyze the different assets,different market and different market environment to optimize the timing strategy parameters.However,adding the commonly used stop-loss condition does not apply to the strategy constructed in this paper.At the same time,the volatility timing strategy constructed in this paper is obviously not enough,mainly for the strategy Alpha is not high,in addition to the market volatility,there may be missed the best chance of trading opportunities.