Base On The Quantization Strategy Study Of Way Of The Turtle

After 30 years of development,China's securities market has grown from scratch,from small to large,the system has been constantly improved,and products have been continuously innovated.In 2010,stock index futures were to be established and T+0 liquidation system was adopted,market trading activities became more and more frequent.With the rapid advance of computer technology,quantitative investment has become the mainstream investment method of the market in recent years.Compare with traditional investment,quantitative investment has the investment advantages of systematic,normative,accurate,and revenue stability.Whether it is the financial crisis in 2008 or the stock market crisis in 2015.It has better compensated investors for greed,fear and Hesitation and other human weaknesses,Less subjective emotions and more rational transactions,which have sustained and stable profitability.Way of the turtle is a great investment idea of the United States in the 1980 s.Its annualised return was nearly 80%.In this paper,aiming at the development trend of quantitative investment in China,Taking way of the turtle as the research object to design quantitative investment strategy in the Ricequant platform.And through the CSI 300 stock index futures for empirical testing and strategy optimization.The development of quantitative investment strategies includes steps such as modeling,compiling,backtest,and optimization tracking.Way of the turtle has gained higher returns to the United States in the 1980 s.However,from 2014 to 2018,in the China CSI 300 stock index futures cumulative 5 years of backtest results,the annualized rate of return is about 10.7%.From the aspects of account,position and risk evaluation,it is found that way of the turtle still has a relative investment advantage,but it has not shown super high yield due to the market environment in China.Based on China's market environment and national conditions,the parameters such as open positions,additions to positions,and stops were tested and optimized,The final annualized rate of return increased to about 32%.This paper draws on the idea of way of the turtle,from the choice of trading model to the realization of program strategy.It provides a set of frameworks for the development and design of quantitative investment strategy,which is worth using for referred for the research of quantitative investment strategy.