基于海龟交易系统的沪深300股指期货实证研究

菜单

摘要最近十年来,量化投资越来越受到了国外资本市场投资者的关注与追捧,成为了国外投资界市场投资的主流方法。在最为成熟的美国期货市场中，以量化投资为基础的程序化交易近年发展迅速，占有量已超过70%。量化投资已经成为继基本面分析和技术面分析之后的第三大主流投资分析方法。鉴于量化交易模型策略较高的可控性与持续稳定的收益，市场的量化投资规模不断增加，投资者开始越来越多地关注量化交易与运用量化交易策略来进行投资。51603

随着近年来我国资本市场规模的不断发展与结构制度的逐渐完善，量化投资逐渐被越来越多的国内投资者认识和接受。目前国内关于量化投资交易的研究文献较少，缺少对量化交易在中国市场的系统性检测的研究。本文将在参考前人研究的基础上，运用曾在美国期货市场上获得成功的经典趋势跟踪策略---海龟交易法则，建立量化交易模型。在沪深300股指期货市场上进行测试，最后通过对交易结果分析海龟交易系统的特点。

毕业论文关键词：量化交易；趋势跟踪；海龟系统；股指期货

THE STUDY OF CSI300 FUTURES BASED ON THE TURTLE TRADING SYSTEM

Abstract

In the current decade, quantitative investment has got more and more attentions of foreign investors in the capital market. Quantitative investment has already become the mainstream method of foreign investment market. In the most mature futures market in America, the growth of the program trading based on quantitative investment has rapidly developed, the possession taken more than 70% places in market. Quantitative investment has become the third largest mainstream investment way following the analysis of fundamental analysis and technical analysis method. In view of the stability and controllability of the quantitative investment trading strategy, The market size and shares are expanding. More and more investors begin to focus on quantitative transactions and use quantitative trading strategies to invest.

With the continuous development of China's capital market and the gradual improvement of the structure system ，quantitative investment has gradually been more and more understanding and acceptable by domestic investors. At present, there are few literatures about quantitative investment transactions in China. This paper will be based on the previous studies, using the classic trend tracking strategy of turtle trading system that has been successful in the U.S. futures market. Then, establishing the quantitative transaction model, testing on the CSI300 Futures market. At last, analysis the features of the turtle trading system.

Key Words: Quantitative trading; Trend following; Turtle trading system; Stock Index Futures

摘要-I

Abstract---Ⅱ

目录Ⅲ

一、导论 -1

（一）研究背景--1

（二）相关文献研究1

二、量化投资理论基础与常见策略--2

（一）量化投资的理论基础---2

（二）常见的量化投资策略---3

三、海龟交易系统原理-4

（一）海龟交易系统简介--4

（二）海龟交易系统构成--4

四、基于海龟交易系统的沪深300股指期货回测分析--6

（一）海龟交易系统参数预设6

（二）海龟交易系统回测结果风险分析7

（三）海龟交易系统回测结果回报分析---12

（四）海龟交易系统回测结果风险与回报综合分析15

五、结论与展望-16

参考文献--18

附录1--19

附录2--21

一导论

（一）研究背景

量化交易是指通过运用计算机技术结合数学与统计学的方法应用到交易的证券投资方法。量化交易先通过从过去市场交易中产生的巨量交易数据中筛选出具有相同或类似规律的市场行情形态，再分析这类市场行情所具有的共同特点，运用模型量化的手段来制定相应的交易系统，最后将验证的量化投资模型应用到实际投资中，以求获得持续稳定的超额回报。