futures funds
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2018 ◽  
Vol 5 (2) ◽  
pp. 175
Author(s):  
QiaoXu Qin ◽  
GengJian Zhou ◽  
WeiZhou Lin

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.


2002 ◽  
pp. 388-418
Author(s):  
DAVID OBERT ◽  
EDOUARD PETITDIDIER
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