Research On The Selection And Application Of Quantitative CTA Hedging Strategy Portfolio

The quantitative CTA industry has developed rapidly in the past 20 years,the development and application of individual strategies have become increasingly mature.Investment institutions typically have accumulated a considerable pool of strategies.Effectively utilizing the existing strategy pool while moderately optimizing the investment portfolio has become a key issue that the industry needs to focus on in the future.In the application of CTA investment portfolios,the number of strategies is related to the management cost and the implementation of risk diversification principles.It is crucial for investors to effectively allocate funds and choose investment preferences.Injecting too many funds into the same strategy violates the principle of risk diversification,while too many strategies lead to high costs of strategy maintenance and management.Therefore,optimizing and adjusting the number of strategies is essential for CTA investment portfolios pursuing capital management efficiency and risk hedging.The research results of this article have high practical value for optimizing the number of strategies in investment portfolios and improving capital management efficiency.Based on 1-minute level trading data from the Chinese commodity futures market in 2021,this article conducted historical data back testing of 15 specific strategies using seven types of quantitative strategy categories with hedging attributes on all varieties of commodity futures from the three major futures exchanges in China,thousands of times.Then,124 single strategies that meet the preset conditions were selected from the results and combined according to different investment preferences to form the Maximum Expected Return(MER),Maximum Sharpe Ratio(MSR),and Minimum Drawdown(MDD)portfolios.Among them,the MER selects the single strategy with the highest expected return rate from the back testing results of all 15 strategy models.Similarly,the MSR selects the top 15 strategies with the highest Sharpe ratio,and the MDD selects the top 15 strategies with the lowest drawdown rate.In the experimental group,the three strategy portfolios included 45 single strategies with relatively optimal parameter performance.In the control group test,the number of strategies in each portfolio increased to30,including 90 single strategies with relatively optimal parameter performance.Finally,this article conducted extreme decay tests on both the experimental and control groups,and compared and analyzed the results.The conclusions are as follows:(1)The more strategies included in the MER portfolio,the better the relative parameter performance.(2)The relative optimal parameter performance of the MSR portfolio is achieved when the number of strategies is reduced to about 40% of the initial quantity.(3)The fewer strategies included in the MDD portfolio,the better the relative parameter performance.The insights gained from the above conclusions indicate that the optimal number of strategies varies significantly for investment portfolios with different risk preferences,and investors need to adjust them continuously according to their actual situations.The main innovation of this article is the application of the extreme value decay model in the above field.