基于市场资金流向分析的商品期货量化交易策略  

Quantitative Trading Strategy of Commodity Futures Based on Market Capital Flow Analysis

作　　者：刘凤珠 闵超[1,2] 文国权 LIU Fengzhu;MIN Chao;WEN Guoquan(School of Science,Southwest Petroleum University,Chengdu 610500,China;Artificial Intelligence Research Institute,Southwest Petroleum University,Chengdu 610500,China)

机构地区：[1]西南石油大学理学院,成都610500 [2]西南石油大学人工智能研究院,成都610500

出　　处：《中国证券期货》2023年第6期44-51,共8页Securities & Futures of China

摘　　要：准确把握商品期货市场的资金流向规律是制定交易策略的关键步骤。本文对价格、持仓量、成交量等指标进行了研究,结合资金数量和资金流向关系,建立了研究国内期货市场状态的两阶段资金流向模型,并结合自适应动态三次指数平滑模型对资金流向进行了预测。与其他模型相比,两阶段资金流向模型排除了动量效应的干扰,具有更真实的持续性和更高的拟合优度。同时,本文通过建立的资金流向模型改进了海龟量化交易策略,回测结果表明,改进后的交易策略使得投资年化收益率和胜率显著提高,并且使得最大回撤率至少缩小了一半,有效避免了原始海龟量化交易策略产生负收益和利润回吐过大的问题。Accurately grasping the flow patterns of funds in the commodity futures market is a key step in designing trading strategies.This article studies indicators such as price,position,and trading volume.Combining the relationship between fund quantity and fund flow,a two-stage fund flow model is established to study the state of the domestic futures market,and an adaptive dynamic cubic exponential smoothing model is used to predict fund flow.Compared with other models,the two-stage fund flow model eliminates the interference of momentum effect and has more realistic persistence and higher goodness of fit.At the same time,this article improved the turtle quantitative trading strategy through the established fund flow model.The backtesting results showed that the improved trading strategy significantly increased the annualized return and winning rate of investment,and reduced the maximum withdrawal rate by at least half.It successfully and effectively avoided the problem of negative returns and excessive profit takeback caused by the original turtle quantitative trading strategy.

关 键 词：两阶段资金流向模型 动态三次指数平滑模型 海龟交易策略的改进 最大回撤率 期货 

分 类 号：F83[经济管理—金融学]