【作者】 张鹏飞；

【导师】 汪滔；

【作者基本信息】 上海交通大学 ， 工商管理（MBA）（专业学位）， 2019， 硕士

【摘要】 随着中国资本市场的发展,中国商品期货市场在最近10年内成长迅速,管理期货策略在资产配置组合里的重要性越来越明显,配置比例越来越高。和其他策略相比,其高波动性和低相关性的优势非常明显。2010年后,量化交易在国内的期货市场开始蓬勃发展,以严格确定的交易策略模型代替主观交易判断,通过先进的计算机技术,用概率的思维方式制定投资策略,收益表现优秀。因此,研究国内期货市场量化交易策略模型具有重大的学术价值和实践意义。本文从实证的角度研究了Donchian量化交易策略在国内期货市场的表现,通过对期货市场不同品种的特性选择,量化筛选交易对象,以Donchian的原始思路构建了单策略多品种的资产组合模型,在原有策略模型上的各个环节进行模型改进,在多品种多周期上的收益表现进行了回测研究,通过对长达约10年的历史数据实证研究,发现改进后的模型能在长时期内,在不同的市场环境不同的品种特性中取得稳定收益,这对中国商品期货市场的量化交易策略研究具有非常重要的学术意义,并且对帮助投资者以此为基础根据市场变化演进发展新的交易策略思路,最终形成成熟的投资策略具有实际的借鉴和参考价值。更多还原

【Abstract】 With the development of China’s capital market,China’s commodity futures market has grown rapidly in the past 10 years.The importance of managed futures strategy in asset allocation portfolio is becoming more and more obvious,and the allocation ratio is getting higher and higher.Compared with other strategies,its advantages of high volatility and low correlation are obvious.After 2010,quantitative trading began to flourish in the domestic futures market.Subjective trading judgment was replaced by strictly determined trading strategy model.Through advanced computer technology,investment strategy was formulated with probability thinking mode,and the return performance was excellent.Therefore,it is of great academic value and practical significance to study the quantitative trading strategy model of domestic futures market.This paper studies the performance of Donchian’s quantitative trading strategy in the domestic futures market from an empirical point of view.Through the selection of the characteristics of different futures markets,we quantitatively screen the trading objects.Based on Donchian’s original ideas,we construct a portfolio model of single strategy and multiple varieties,and model each link of the original strategy model.Through empirical research on nearly 10 years’ historical data,it is found that the improved model can achieve stable returns in a long period of time in different market environments and different variety characteristics,which has great significance for the quantitative trading strategy research of China’s commodity futures market.It is of great academic significance,and has practical reference value for helping investors develop new trading strategies based on the evolution of market changes and eventually form mature investment strategies.更多还原