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Hi, my name is Le Chiffre
Today, I will share with you a strategy for entering and exiting ultra-short positions. First, let's go directly to the picture above to see the visualization of the strategy, as shown in the following figure:
The above picture is the trading signal and market chart of iron ore in July. From the picture, we can see that basically the holding period is within one day. Of course, the picture is a little big, let's take a more microscopic view, as shown in the following figure :
From the two pictures above, we can see more clearly that this is a cross-day intraday transaction. What is a cross-day intraday transaction? It starts at 9 o'clock, and the closing position is also closed at 9 o'clock on the second day according to certain logic. Of course, there is also the logic of take profit and stop loss.
At this point, someone will ask: Don't you just move the time period before and after the intraday opening and closing time period, is there anything new? The logic of this piece is really not a simple move, and then write a time threshold to close the position. As shown below:
We can see the clear logic in the above picture. I will not explain the specifics in detail. The general idea is that the price will be out as long as the price in the early market is one jump lower than the opening price. Of course, the above is just one of the logic of appearance.
Let's take a look at the entry logic, as shown in the following figure:
We can see from the above picture that we use the highest and lowest prices of the previous day to calculate the amplitude width, multiplying it by a certain coefficient ± a Bench_ benchmark. Of course, there is still a certain amount of time to enter the market as a judgment. Here we will not go into details one by one.
Let's take a look at the overall performance:
2017.1-2021.7
Fee + slippage we are still the same, 1.5 + 1 jump.
The advantages of this strategy are summarized as follows:
1. The quasi-day strategy avoids the influence of the ECG market on the fluctuation of equity and the attitude of holding positions.
2. The market of the small band can also be included in the bag.
3. The stop-loss and stop-loss are more precise and symmetrical, rather than making a larger profit through a larger stop-loss.
shortcoming:
1. This strategy is not good at grasping the general trend.
2. There are many transactions (of course, the disadvantage here actually refers to the handling fee)
Improvement direction:
1. Time period
2. Amplitude design
3. You can change to 9 o'clock in the night disk or a certain time point. Here we examine the weekly calendar and calendar effect.
In summary
This strategy is a new logic and new idea that is different from the previous SF series strategies, and the purpose is to provide a higher degree of heterogeneous strategy thinking. This is of great help and hedging effect for our firm trading or combination with trend strategies.
Taking the volatile market in March this year as an example, this strategy combination has repeatedly hit new highs. Adding it to a certain CTA strategy combination will achieve very good Sharp and Kamobi performance.
And last month in June, for the sideways performance of most CTA strategies, the strategy also showed differentiated, low-correlation performance differences.
In the second half of this year, we have added order flow and other differentiated and low-correlation strategy research communities ( please pay attention to the establishment of a new community in the near future ). We not only provide strategy ideas and source code, but also provide follow-up services and answer questions (Including but not limited to capital position portfolio management, variety selection, etc.
This strategy is only used for learning and communication, and investors are personally responsible for the profit and loss of real trading.