The Research Of Program-Trading Strategy Based On Turtle Rules

In the background of domestic stock index futures program-trading limited by government,but the commodity futures market is developing rapidly,the transaction volume of commodity futures is gradually enlarged year by year and commodity future trading is favored by more and more investors,the research of the program-trading strategy of commodity futures has real application value.The turtle rules is a classic trend following strategy that has been won great success in the American commodity future market,but many scholars believe that the turtle rule trading strategy are outdated and can't win the excess returns in the future market as the turtle rule strategy is used more and more popular by trader.Based on the turtle rule trading thought,this paper will do the research using the 3^rd party software(Decision trading system of Pyramid)to implement the program code of the turtle rule strategy,and choose the most liquid 10 commodity futures of china's future market to verify the turtle rule trading strategy.We choose the sample data from January 1,2012 to December 30,2015 to do the test,the test result show that the performance of turtle rule trading strategy in the 10 commodity futures appear obvious differentiation,and it also partly validates some scholars'suspicious about the turtle rule trading strategy performance.The more important finding is that the turtle rules trading strategy is not out of date,it won high annual yield on some commodity futures in the long term,the application of turtle rules trading strategy on commodity futures can't be generalized,but it is related to the attributes of commodity futures themselves.From the test result of turtle rules trading strategy on 10 commodity futures based on sample data,it win the best performance on rebar future,that is to say,the turtle rules trading strategy is more suitable on rebar future.Before using the turtle rules trading strategy on real trading,it is necessary to do more detail study about the application of strategy.Based on the comprehensive analysis of return and risk using turtle rules trading strategy on rebar future,we can get the conclusion that the strategy has the advantage of high annual yield and disadvantage of low winning rate and large retracement on rebar future.Though analysis of the details of transactions of turtle rules trading strategy on rebar future,we can find that the low winning rate is due to frequently opening and stop loss operation in the volatility market environment.In order to reduce the failed transaction due to frequent false breakouts,we optimize the original turtle rule trading strategy through the introduction of long-term average and MACD index to filter false breakouts.Comparing the original and optimization turtle rules trading strategy,the optimization strategy can filter the false breakout effectively,improve the winning rate and reduce the retracement,it has more excellent performance than original strategy.