Research On Timing Strategy And Index Enhancement Strategy Design Based On LSTM

On September 19,2022,China Securities Exchange 500 ETF option contract has attracted the attention of investors,but also for the development of options-based investment strategies to provide a broad market prospects.Currently the longest-issued and relatively mature option is the February 2015 listing of Shanghai 50 ETF options.50 index enhancement is the most concerned difficulty in the market,the multi-factor stock selection strategy to improve returns on 50 ETF applicability is limited and for individual stock selection is more difficult,so this paper plans to study the option covered strategy based on Shanghai Stock Exchange 50 ETF.In this strategy,when holding 50 ETF,we sell the open call option to obtain the enhanced return of option premium,which has the advantages of obvious efficiency enhancement and stable effect.But put call option will have a big loss when the market rises sharply,but will reduce the income level of covered strategy,so the key issue of this paper is the timing of the market rise sharply.Options are highly dependent on timing to avoid losing the 50 index in a rising market.Based on the LSTM model,this paper constructs the forecasting model of Shanghai Stock Exchange 50 ETF price trend,by which the time of 50 ETF is chosen quantitatively and the signal point of rise is determined reasonably,on the basis of timing,this paper constructs the option covered strategy of Shanghai Stock Exchange 50 ETF to enhance the income,and evaluates the effect and income of the covered strategy.In this paper,we find that optioncovered strategy can effectively realize stable enhanced returns,and achieve higher returns than Shanghai 50 ETF,which shows that option-covered strategy can enhance returns significantly and stably,it can be used for reference to improve the return of the fund.Based on deep learning algorithm,this paper applies LSTM quantitative model to Shanghai Stock Exchange 50 timing,and uses wavelet analysis to process the initial data,which enriches the research content of quantitative investment strategy.And on the basis of the lack of deep research on the domestic options strategy,this paper constructs the option covering strategy based on the market timing,which is forward-looking to a certain extent,under the background of the gradual perfection of the domestic options market and the rapid expansion of the demand for risk management,to provide institutional investors with investment ideas and strategies for reference.