摘要
股指期货具备套期保值、价格发现、套利及投机等基本功能。机构投资者由于持有大量风险敞口的现货头寸,具有极大的避险需求,是股指期货市场的参与主体,而市面上对适用于机构的套期保值、套利的交易策略已经有了充分的研究。事实上,股指期货也是一项很好的投机工具,其保证金结算、指数作为交易标的及做空机制令其在短线趋势交易中具有非常明显的优势。本文以区间突破为原理,用沪深300指数一分钟高频历史交易数据的统计检验来设定交易条件,逐步建立、完善并优化出一个简单实用、亦可适用于个人投资者的沪深300股指期货高频趋势交易模型。
Stock index futures will help to cushion risks in the stock market,especially for institutional investors,who would like to diversify their portfolio,so that a lot of attention is focused on the research of arbitrage and portfolio insurance related trading strategy.However,stock index futures also have the advantages of low transaction costs,easy availability short position,low margins and rapid execution,which make it a good instrument of speculation.In this article,we will examine each stage of the trading strategy based on the statistics of Hu Shen 300 stock index high frequency trading prices,from identifying a possible edge through to a written trading plan.Along the way we will develop a simple strategy to day trade the Hu Shen 300 stock index futures.
出处
《科学技术与工程》
2010年第29期7363-7367,共5页
Science Technology and Engineering
