论文部分内容阅读
随着我国金融改革的推进,期货市场快速发展,交易杠杆的存在使得期货交易具有高收益高风险的特性,投资者要想在期货市场长期生存就必须构建完善合理可行的交易策略。本文在著名的海龟交易策略的基础上,结合其自身的优点和缺陷,引入市场波动指数,对原策略进行针对性改进,在提高胜率的同时降低资产回撤率,改善了原海龟交易策略在实际交易过程中出现的问题,并在商品期货市场上进行回测,验证了改进后策略的有效性,为投资者提高参考。
With the advancement of financial reform in our country, the rapid development of the futures market and the existence of trading leverage make futures trading high-yielding and high-risk characteristics. For investors to survive in the futures market for a long time, they must construct sound and feasible trading strategies. Based on the famous sea turtle trading strategy, this article introduces the market volatility index based on its own advantages and disadvantages, improves the original strategy, improves the winning rate and reduces the asset withdrawal rate, improves the strategy of the original sea turtle trading The problems occurred in the actual transaction process, and backtesting in the commodity futures market, which verifies the effectiveness of the improved strategy and enhances the reference for investors.