Research On Quantitative Trading Strategy Based On Way Of The Turtle

With the popularization of the Internet and the continuous development of the financial market,the market has put forward higher expectations and requirements for the participation of futures trading,Quantitative trading has gradually become the mainstream way of futures trading.Quantitative trading establishes trading models with the help of modern mathematics and statistics,and uses historical data to test the models,which can objectively measure trading results and capture trading opportunities in the whole market.Compared with traditional investment methods,it can reduce the impact of investor sentiment fluctuations on the trading process,and has many advantages,such as discipline,systematicness,timeliness,accuracy and diversification.In this thesis,combining the traditional technology of Donchian Channel to study Way of the Turtle,using computer technology to establish a reasonable quantitative trading model,and makes an empirical analysis in the futures market of our country.Based on Way of the Turtle,the original trading rules are improved from two aspects: first,the volatility filtering mechanism is added to the market entry strategy to filter out the wide volatility of the market,and then through parameter optimization to establish a model in line with a variety of futures markets;second,create cycle parameter optimization mechanism which using genetic programming and complete algorithm,and find out the specific parameters of the model to adapt to the specific market from the break,add positions and stop loss strategies.The result showed that Way of the Turtle has not achieved the expected result in the Chinese futures market,which once performed well in the American futures market.The overall yield rate does not outperform the market,and even there are huge losses in the commodity futures market.The improved model is more stable and efficient,and it is better in terms of profit and risk control,has achieved several times as much as Way of the Turtle.The test also found that Way of the Turtle should be applied not only to liquid futures markets,but also consider the stability of the market.Based on Way of the Turtle,this thesis constructs a complete set of quantitative trading system conforming to the rules of futures market,which is helpful to be applied to many kinds of futures market in the long term,and provides practical reference for the majority of investors in the process of investment and constructing quantitative trading model.