scholarly journals Trend-Tracking Trading Strategy Based on Improved RSI: A Case Study of Chinese CSI 300 Stock Index Futures

2017 ◽  
Vol 9 (4) ◽  
pp. 130
Author(s):  
Jishan Ma ◽  
Hongyan Liao
Keyword(s):  
Developed Countries ◽  
Securities Market ◽  
Stock Index ◽  
Stock Index Futures ◽  
Practical Application ◽  
Index Futures ◽  
Price Series ◽  
Trading Model ◽  
Important Position

In European and American developed countries, quantitative trading is gradually replacing artificial transactions to occupy an important position in the market, and their daily turnover in the market is particularly evident. China securities market and derivatives market started late, and have a relatively obvious difference from abroad, especially in Western countries, in the level of quantitative transactions in mature capital markets. With the improvement of China’s market trading varieties, China’s quantization will develop very rapidly. In this paper, according to the characteristics of China’s CSI 300 Index Futures, we improve trend-tracking trading model based on the improved RSI. Firstly, we apply the wavelet transform for denoising of the price series, then improve RSI, and use the improved RSI and the denoised price series to establish an exit strategy and approach strategy. The strategy is excellent in practical application. In 1 minute K-line data back-test of CSI 300 index futures from 2010 to 2012, the return on invest has reached up to 102 million Yuan, and the ROI risk ratio is 2.61.

scholarly journals The Relationship between Crude Oil Futures Market and Chinese/US Stock Index Futures Market Based on Breakpoint Test

Entropy ◽  
2021 ◽  
Vol 23 (9) ◽  
pp. 1172
Author(s):  
Xunfa Lu ◽  
Kai Liu ◽  
Kin Keung Lai ◽  
Hairong Cui
Keyword(s):  
Crude Oil ◽  
Futures Market ◽  
Stock Index ◽  
Stock Index Futures ◽  
Oil Futures ◽  
Index Futures ◽  
Price Series ◽  
Crude Oil Futures ◽  
The Mean ◽  
The Relationship

Combined with the B-P (breakpoint) test and VAR–DCC–GARCH model, the relationship between WTI crude oil futures and S&P 500 index futures or CSI 300 index futures was investigated and compared. The results show that breakpoints exist in the relationship in the mean between WTI crude oil futures market and Chinese stock index futures market or US stock index futures market. The relationship in mean between WTI crude oil futures prices and S&P 500 stock index futures, or CSI 300 stock index futures is weakening. Meanwhile, there is a decreasing dynamic conditional correlation between the WTI crude oil futures market and Chinese stock index futures market or US stock index futures market after the breakpoint in the price series. The Chinese stock index futures are less affected by short-term fluctuations in crude oil futures returns than US stock index futures.

Analysis of the Association for Shanghai Composite Index and Stock Index Futures

2014 ◽  
Vol 644-650 ◽  
pp. 5672-5675
Author(s):  
Rui Zhong Wang
Keyword(s):  
Positive Relationship ◽  
Equal Opportunity ◽  
Stock Exchange ◽  
Composite Index ◽  
Securities Market ◽  
Stock Index ◽  
Futures Contracts ◽  
Stock Index Futures ◽  
Index Futures ◽  
Stock Traders

In this paper, data mining association rules algorithms and techniques for relevance Shanghai CSI 300 Shanghai Financial Futures Exchange and the Shanghai Stock Index Futures Stock Exchange Composite Index were analyzed. The results show that the futures contracts and price movements highly positive correlation exists. The author believes that between the two since it is highly positive relationship, IF way of trading and settlement transactions should be fully consistent with the way the Shanghai Stock Exchange and deliver company's stock. Thus, equal opportunity traders in futures contracts and stock traders, more conducive to the development of China's securities market.

scholarly journals Improvement and Test of Stock Index Futures Trading Model Based on Bollinger Bands

2016 ◽  
Vol 9 (1) ◽  
pp. 78 ◽  
Author(s):  
Xiao-Xu Yan ◽  
Yuan-Biao Zhang ◽  
Xin-Kun Lv ◽  
Zi-Yu Li
Keyword(s):  
Stock Index ◽  
Stock Index Futures ◽  
Futures Trading ◽  
Index Futures ◽  
Transaction Model ◽  
Model Based ◽  
Trade Model ◽  
Trading Model ◽  
Basic Parameters ◽  
Stop Loss

<p>Bollinger Bands trading model is an important strategy in program trading. But in practice, the trade model based on the traditional Bollinger Bands theory has great flaws such as “over-sensitive” flaw, incomplete transaction stop-loss, and the adaptability of the model’s basic parameters is poor. In this paper, the empirical research method is used to analyze the shortcomings of the traditional Bollinger Bands transaction model and put forward improved methods. Accordingly, we introduce the price speed, improve the stop-loss rules, and adjust the basic parameters to improve the model. The improved trading model is tested with the data of Shanghai and Shenzhen stock index futures. The result showed that the modified Bollinger Bands transaction model has strong profitability and low risk, which is instructive to the practice of stock index futures.</p>

Volatility and Trading Demands in Stock Index Futures

CFA Digest ◽  
2003 ◽  
Vol 33 (3) ◽  
pp. 101-102
Author(s):  
Frank T. Magiera
Keyword(s):  
Stock Index ◽  
Stock Index Futures ◽  
Index Futures
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