Research On Futures Quantitative Trading Strategy Based On Bollinger Bandit Trading Rules

With the development of financial technology,quantitative investment has become an unstoppable trend.The value of quantification has gone beyond automated orders,and quantification is a platform for research and is highly sought after by investors.Quantification is a research platform and is favored by investors.I have worked in a domestic futures quantitative software company for many years,and I have come into contact with a large number of futures investors.Investors want to use quantitative trading very much,but they have little understanding of what quantitative trading is,how to design and build a strategic model,how to judge the quality of a model and optimize it and a series of problems.China’s futures market is volatile and risky.At the same time,there are many potential market opportunities.Some of the previous studies on simplification strategies are no longer applicable to China’s futures market.This paper makes a comprehensive study on the development of China’s futures market.Focusing on the characteristics of China’s futures market,this paper constructs a quantitative strategy suitable.Based on previous studies,this paper improves the technical indicators and strategy design process with Bollinger Bandit trading rules as the core.Firstly,we use The Wenhua commodity index and Industrial product index to test the Bollinger Bandit trading rule and Improved Bollinger Bandit rule.We compared the two models and proved that the second model had better investment performance.Then,combined with fund management,we initially constructed a strategy model.In this paper,all commodity futures varieties listed before 2016 with precipitation capital of more than 10 billion yuan are brought into the model for trading test,and the trading varieties conforming to this strategy are screened out.Use this strategy to test in sample and out of sample,and then compare it to draw the conclusion of whether it is over optimized.Finally,the profitability under this strategy is analysed using the thread contract as an example;and the advantages of money management are analysed.And analyzes the promotion effect of capital management.In the evaluation of investment performance,annual single interest rate,win rate,profit and loss ratio,maximum fund withdrawal ratio,maximum number of consecutive losses and model score are selected.A Monte Carlo simulation is used to perform a posteriori on the profitability to prove a smooth profitability of the strategy.The research value of this paper:firstly,it confirms through trading tests that the improved Bollinger Bandit trading rules are suitable for use in the commodity futures market,proving the validity of technical analysis and the feasibility of quantitative trading;secondly,it combines technical indicators and money management to inform investors in building quantitative models;thirdly,the quantitative trading strategy proposed in this paper is more adaptable to changes in variety while achieving stable returns.