利用趋势捕捉与正反马丁格尔交易策略对国内期货市场的量化交易实证研究

An Empirical Study on Quantitative Trading in the Domestic Futures Markets by Using Trend Capture and Martingale and Anti-Martingale Trading Strategies

本文基于趋势捕捉型策略与正反马丁格尔交易型策略构建TC-M模型,对我国股指期货沪深300进行量化策略的实证分析,并提出TC-M模型对股指期货沪深300的模拟交易体现了持续的盈利能力,投资绩效稳健;验证了通过将正反马丁格尔策略与其他策略有效互补,可以极大程度地降低其大幅回撤、爆仓等风险,实现稳定获利;简化了构建数学模型的理论研究,从实际交易角度提出了全新的复合量化交易策略,为投资者提供决策依据具有重要的实践意义。

This paper constructs a TC-M model based on the trend capture strategy and Martingale and anti-Martingale trading strategies and makes an empirical analysis of the quantitative strategy of China’s stock index futures.The proposed TC-M model shows continuous profi tability and sound investment performance in the simulated trading of stock index futures.It is verifi ed that by eff ectively complementing the Martingale and anti-Martingale trading strategies with other strategies,the risks such as large withdrawal and margin closeout can be greatly reduced and stable profi ts can be achieved,and the theoretical research on the construction of the mathematical model is simplified.This paper puts forward a new compound quantitative trading strategy from the point of view of actual trading,which provides a decision-making basis for investors and has important practical signifi cance.