Futures Trading Strategy Of Inter-day And Daytime In The High And Low Volatility Intervals Of The Stock Market

With the development of the stock index futures market,the mode of investment became more and more diversified.In order to obtain a more stable rate of return,investors have conducted in-depth research on various trading strategies.At the same time,since the computer performance and technology developed rapidly,the complex trading strategies has improved its marketing efficiency by means of the programmed and systematic transactions.As a result,the program trading of management futures strategy plays a significant role in investment deal.The management futures strategy has been maturing to the stage in foreign market,while domestic the development of management futures strategy is still at a primary level,and mainly centralized in the futures market.Vigorously developing the program trading of management futures strategy can better achieve risk control and optimize investment portfolio.above all,it is very necessary for us to applied research in the managed futures strategy.This article starts from managed futures strategy design,by applying the idea of Markov's switching model,used the time-varying transition probabilities to recognize the section of high and low volatility,divided the Shanghai and shenzhen 300 index futures sample data into two trading section: section 1 is the high volatility section which shows the big price movements of the stock market,and section 2 is the low volatility section which shows the steady period of the stock market.Then adopted the strategies of R-Breaker and Dual-Thrust into these two sections,carried parameter optimization on the strategy to get the empirical results,compared the two strategies in two sections from the cumulative,maximum retracement,sharpe ratio,the total number of transactions,the number of daily transactions,the profitable trading ratio,average profit/loss,such as indicators.it can be concluded that both the strategies R-Breaker strategy or Dual-Thrust strategy performs better in high volatility section than in the low volatility section.Furthermore,R-Breaker strategy get higher yield and less risky than Dual-Thrust in the high volatility section,while Dual-Thruststrategy performs better than R-Breaker strategy in low volatility section.The innovation of this article is to divide the whole sample into two interval,then compared the result separately by carrying two different strategies--R-Breaker and Dual-Thrust.Unlike the traditional literature,they simply study and compare the performance of this two strategies,this paper studied the applicability of the two strategies and also did some optimization of the model,so as to provide reference for the follow-up investors.