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Futures Quantitative Trading Strategies Based on Market Capital Flows
Applied Economics and Finance
View Archive Info| Field | Value | |
| Title |
Futures Quantitative Trading Strategies Based on Market Capital Flows
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| Creator |
Qin, QiaoXu
Zhou, GengJian Lin, WeiZhou |
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| Description |
The purpose of this paper is to establish a futures quantitative trading strategy based on the characteristics of capital flows in the futures market and the factors that influence the Futures rate of return. Firstly, PCA and logistic regression are used as the theoretical basis to analyze the characteristics of future futures with high turnover rate and futures yield in the future, and summarize the characteristics of rotation, continuity and similarity of the capital flow in the futures market. Then combining with the characteristics of the flow of futures funds and the idea of taking profit and stop loss, we establish the quantitative trading strategy of futures. Using the partial futures data from 2014-2015 for back testing, the strategy returns better and provides a new investment perspective for the futures market investors.
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| Publisher |
Redfame Publishing
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| Contributor |
—
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| Date |
2018-02-27
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
http://redfame.com/journal/index.php/aef/article/view/3008
10.11114/aef.v5i2.3008 |
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| Source |
Applied Economics and Finance; Vol 5, No 2 (2018); 175-184
2332-7308 2332-7294 |
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| Language |
eng
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| Relation |
http://redfame.com/journal/index.php/aef/article/view/3008/3230
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| Rights |
Copyright (c) 2018 Applied Economics and Finance
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