Bollinger Bands Trading Strategy Based on Wavelet Analysis

With the popularization of the concept of quantitative investment and the introduction of stock index futures in China, the research on the quantitative trading strategies of stock index futures is emerging gradually. This paper takes the CSI 300 stock index futures as the research object and sets up the Bollinger Bands trading strategy to test it, while considering the factors such as returns, retracement and income risk ratio, etc. Furthermore, the paper uses the wavelet noise reduction to process the data of price and the Bollinger Bands trading strategy to test the processed data. Compared with the results of the first test, the Bollinger Band trading strategy based on wavelet analysis has greater returns, less risk and better applicability.

Futures Quantitative Trading Strategies Based on Market Capital Flows

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.