The Effect And Application Of Momentum Factors In Domestic Futures Market

For recent years,traditional multi-factors equity long strategy does not performance well,many funds turn to long&short strategies.And momentum strategy is one of the popular strategies.In this paper,aiming the commodities futures market,we introduced momentum factors,study prices?the time series of returns?and other momentum factors,liquidity and based whom we observe the Volatility of the market,to estimate the price tendency.We build a set of model including:choosing factors?factors examining?strategy portfolio?distributing weight and trading in past data.We chose Cross-sectional momentum?return rate of spread?basi s momentum?ILLIQ?and Idiosyncratic Volatility.In terms of factors examining,we chose IR/IR method.The time series(IC)of correlation coefficient between factors and return rate and its standard deviation are used to construct statistics(IR)to test the factor.This method can better detect the price information contained in momentum factors and farther the stability of factors.In this paper,two modeling methods are introduced to determine the trading strategy:1/K method and maximum review factor IR weighting method.The 1/K method determines the direction of building a warehouse by assigning the target value,while the IR weighting method of the maximum review factor is optimized on the basis of the 1/K method.The IC sequence of each factor is used to obtain the review factor,so that the IR of the review factor is optimized.Then we use the classical risk parity model to assign contract weight,that is,the risk of each asset contributes equally to the portfolio risk.Finally,the above model is imported into the strategy program.In the whole T time interval,Risk the backtracking period,H is the holding period,and the transaction(T-R)/H times are used to get the empirical results.The results of this paper show that through the statistical analysis and modeling of momentum factors,excess returns beyond the performance benchmark of the same period can be obtained,which is effective in the market.