Black Futures Momentum And Reversal Strategy Based On High Frequency Data

The momentum effect and reversal effect are deviations from the efficient market hypothesis.The momentum effect represents the continuation of the previous upward and downward trend of asset prices,while the reversal effect represents the reverse of the previous upward and downward trend of asset prices.These two persistent phenomena are incompatible with the traditional financial framework.Subsequently,the gradual development of behavioral finance has brought scholars new thinking about these two visions.Most scholars believe that momentum effect comes from investors’ overreaction to current information,while reversal effect corresponds to financial market’s correction of earlier overreaction.Under the background of the above theoretical basis,the research emphasis of this paper is the momentum reversal effect of black is a futures market in China,and hope that through the analysis of different parameters(formation,holding period)as a result,the combination of the gains to find the momentum reversal effect obvious formation and the parameter of the holding period,and using the reverse strategy for higher yields.Based on different forming periods and holding periods,according to Jegadeesh and Titman(1993),this paper selects a total of ten prices of black series futures as the research object,and uses minute line data of main contracts of black series futures from January 1,2021 to August 31,2021 as sample data to construct momentum portfolio and reversal portfolio.The results show that there is momentum effect in black futures market,but there is no reversal effect.Next,this paper studies the parameters of momentum strategy(formative period and holding period),and finds that the parameters have continuity by observing the temporal changes of the strategy parameters in history.According to these characteristics,this paper adopts three methods to determine the parameters of momentum strategy,which are as follows: finding the unique strategy combination of formative period and holding period as the parameters of future momentum strategy through sample data;The mean value of the best historical parameter is used as the parameter of the momentum strategy in the next phase.Use the best parameter of the period as the parameter of the momentum strategy of the next period.Out-of-sample(From September 1,2021 to October 31,2021)back-test was conducted to compare the strategy results of the three methods,and it was found that the dynamic parameters determined by the method of delaying one phase with the best parameters could make the momentum strategy achieve better results.Finally,this paper uses the momentum strategy based on the strategy parameter delay phase to conduct a backtest between November 1,2021 and December 31,2021,and the strategy performs well.