Research On Establishing Quantitative Trading Strategy Based On Volume And Price Resonance

Technology empowers finance,and efficient quantitative trading is leading to significantly shortening the time cycle of trading,increasing the scale of trading,and the trading results increasingly depend on the sensitivity of the model to the market.Because no matter in market analysis,trading strategy or risk control,the execution efficiency of the machine is much better than that of ordinary people.So,data becomes resources,computing power becomes combat power.Whoever can obtain the first mover advantage in the quantitative model will win a richer return on investment and market share.Therefore,in-depth mining of efficient quantitative trading strategies has a strong practical significance for traders.This paper selects CSI 300 stock index futures as the research object,and establishes the quantitative trading strategy through Wenhua’s WH8 software.The main idea of the strategy is to establish a quantitative trading strategy by combining two indicators with appropriate fund management and matching appropriate trading varieties.First,the general law of market movement is summarized through the data in the sample,then the validity of the law is verified on the data out of the sample,and back testing is carried out on multiple varieties such as stock index futures and commodity futures,so as to establish the portfolio strategy.Firstly,it introduces the relevant background of quantitative trading,efficient market hypothesis,fractal market hypothesis and so on,which provides a theoretical basis for the establishment of quantitative trading strategy.Secondly,it introduces the relevant information of CSI 300 stock index futures,the connotation of quantitative trading,application status,design process and so on.Thirdly,the common MA index and the newly-built NL energy index are combined with appropriate fund management methods to form a complete trading strategy.Then the quantitative strategy is back tested and simulated transaction tested.The final result is that the strategy has good profitability,anti risk ability and stability through the simulated trading results.At the end of the paper,the transaction cost and difference quantitative transaction strategy is also analyzed.According to the relevant performance of the strategy,three ideas are put forward in the application,hoping to enlighten the majority of investors.