Stock Index Futures’ Program Trading Strategy Design Based On The Bollinger Bands Model

In recent years,program trading has developed rapidly in the financial market.In the US futures market,program trading accounts for more than 70%.The reason why program trading can be popular in the market is that programmatic trading strictly follows the programmed setting and uninterrupted continuous trading,which overcomes the influence of investor’s subjective emotions on investment strategies to the greatest extent.Before using program trading for real trading,you should design a set of program trading strategies that reflect the investor’s trading philosophy firstly.Considering that a single technical indicator is used to construct a program trading strategy,it is often unable to capture market conditions in a timely and effective manner.Based on the 15 min high-frequency data of the CSI 300 index futures,this article designs a complete set of program trading strategies based on the Bollinger Band model,supplemented by Dynamic Breakout Strategy and RSI indicator.The program trading strategy is designed to optimize the parameters in parallel with enumeration and genetic algorithms.Through the comparison of data detection in the sample and out of the sample,it is found that the parameter optimization does not have the problem of overoptimization.In order to make the conclusion more convincing,the designed programmatic trading strategy is compared with the widely used turtle trading strategy,it is found that the performance of this strategy is significantly better than the turtle trading strategy in terms of the performance of multiple test indicators such as the maximum drawdown ratio and winning rate of equity.Finally,the programmatic trading strategy obtained was extended to the SSE 50 stock index futures,it was found that this strategy has a relatively stable performance in the process of extrapolation,and it can also be applied to the SSE 50 stock index futures.The conclusions of this thesis are as follows: Firstly,the programmatic trading strategy designed in this article has a good performance for intraday high-frequency trading of CSI 300 stock index futures.Secondly,by comparing the designed programmatic trading strategy with the turtle trading strategy,it is found that this strategy is superior to the turtle trading strategy in terms of profitability,risk and stability.It can be seen that this strategy has a certain market value and can be operated on firm orders.Thirdly,the programmatic trading strategy designed in the article also has good stability in the intraday high-frequency trading of other stock index futures and has certain promotion value.