Waves (1998) in the "System transaction method" proposed, a well-designed trading system, must respond clearly defined the various aspects related to investment decisions, but also must meet the psychological characteristics of the user, the statistical characteristics of investment objects and the risk characteristics of investment funds. A model of foreign trade system than Richard Turtle Trading Rules Dennis launched at the end of 1983, from which you can see a complete trading system include: Market - What trading; position size - how much trading; market - when trading; stop - Ho when exit a loss position; only profit - when to exit profitable positions; strategy - how to trade and so on.
According to the principles of the logical relationship between strategy and market data, trading strategy design ideas can be divided into two aspects of top-down and bottom-up. Top-down approach means starting from the investment philosophy or theory-based perspective to find the law, and thus the formation of trading strategies. For example, based on the theory of holding costs arbitrage strategy, according to the law industry wheel moving, configured to obtain excess Alpha equity portfolio strategy, and so on. Bottom-up approach starting from the market statistics, trading strategies based on statistical characteristics of the history and formation. For example, when the index when the opening price is higher than yesterday's closing price, the highest price, the average price of the lowest of the three, days to do more, short and vice versa; or to determine the next day's trading net short according to several changes in the main body of the fixed strategic direction and so on. Bottom-up trading strategies more susceptible to changing market conditions by.
History TOP10 ranking foreign trading system: Figure 1
Stock index futures
In Europe and the developed capital markets, program trading accompanied by changes in capital, technology and regulatory constantly evolve, program trading strategies are endless. The figure is a historical ranking of the best trading system in Futures Magazine's Top 2005, some trading systems exhibit more stable characteristics at different times. 2008 US S & P500 trading system TOP10 ranking is: Turbo Trader Pro, Anticipation, Samurai 35, Dual Thrust, Maxim, Mesa T-Notes, Qtech Bellies, Keystone, Sledge Hammer, Delphi Universal.
Although the trading system name on the foreign market too numerous to mention, but for sophisticated trading strategies, developers are usually reluctant to open, investors are more difficult to understand the principles of many trading strategies. Based on the number of mature open trading strategies, for example, trying to understand some of the design principles of foreign mature trading strategy, while test its applicability in the domestic futures market.
1、Dual-Thrust
Figure 2: Dual Thrust and the principle of opening range break strategy
Stock index futures
Opening range breakout is one of the more common day trading strategies to add and subtract a certain percentage of today's opening price yesterday amplitude, to determine the upper and lower rails. On days when Pingkong to do more to break the rail, multi-level short track next breakthrough. Dual Thrust in the form of the opening range breakout and a similar strategy. Differs mainly in two aspects: Dual Thrust Range provided in the introduction price four days prior to N, so that a certain period of Range relatively stable, can be adapted to follow the trend of the day; Dual Thrust for long and short trigger conditions, considering the asymmetric amplitude, long and short Range references can choose a different number of cycles may be determined by the parameters K1 and K2.
When K1K2 when the bears are relatively easy to trigger. Therefore, investors in the use of this strategy, one can refer to historical data the optimal parameters of the test, on the other hand, you can according to their own judgment on the potential, or start from the technical indicators other big cycle, dynamic stages value adjustment K1 and K2.
In order to make the policy closer to the actual situation, adding some simple trading rules, such as the initial stop, and other data across the period of reference were perfect. Specifically, the initial capital of 1 million, each with 30% of the positions open positions, days breakthrough MA5 rail and 30 minutes cycle MA5> MA10 open more days below the lower rail and 30 minutes cycle
Figure 3: Dual Thrust cumulative return policy
Stock index futures
2、R-Breaker
In foreign exchange trading system, the pivot points (Pivot Points) transaction method is a classic trading strategies. Pivot Points is a very simple resistance support system, in accordance with the highest price yesterday, low and close, the price is calculated seven, comprising a pivot point, three and three support resistance.
Figure 4: Schematic Pivot Points Policy
Stock index futures
Resistance line and support is one of the technical analysis tools are often used, and the effect of the support line and pressure line can be transformed each other. From the perspective of trade point of view, Pivot Point is like a battle map, pointed out that investors should pay attention to the intraday support and resistance levels, As for specific tactics, Pivot Point is not specifically defined, entirely depend on an investor trading strategies. Investors can intraday price and pivot points, support and resistance movements related flexibility to develop strategies, position management can even add to lighten up based on key points.
Figure 5: Schematic R-Breaker Strategy
Stock index futures
R-Breaker six price calculated as the reference price in intraday trading today, just one less than the pivot points Pivot Points are set according to yesterday's prices. R-Breaker different points Pivot Points reflected in: by setting parameters so that the distance between the price of six more flexible, and R-Breaker identified specific trading strategies. According to intraday price movements, while taking track and trend reversal strategy. FIG background color in a region can be regarded as the viewing area, when the highest price fall intraday days after touching Ssetup, Senter resistance and below the reference line, the reverse strategy adopted, i.e. at the point S1 Open short; short positions in under the circumstances, if the intraday price all the way to break Bbreak the resistance line, the trend is taken to track strategy, that is to do more at the point B2 Open. Similarly, B1 dot inversion do more, S2 homeopathic point short.
由于盘中开仓的触发条件涉及到多个价位，对日内价格走势较为敏感，因此该策略适用于在一分钟周期上交易。另外，该策略触发的交易次数并不多，不考虑跨周期的条件。TB IF888的1分钟数据源最早为2010/4/28，其他测试条件和Dual Thrust相同。
图6：R-Breaker策略的累计收益率
股指期货
R-Breaker中距离参数的设置对交易触发次数和最终收益率有一定影响，为了验证其策略的有效性，把R-Breaker的思路移植到距离参数固定的Pivot Point上，测试结果显示收益率103.6%、最大资产回撤值比例14.6%、胜率40.96%、均盈利/均亏损1.97、交易次数595。
3、Dynamic Breakout II
图7：S&P500指数和隐含波动率VIX指数
股指期货
动态突破的原理与波动率相关，我们先来回顾波动率与指数的关系。我国目前暂未推出基于指数的期权衍生品，所以无法计算标的指数的隐含波动率，通常根据 历史数据计算价格的标准差来衡量波动率。这里可以参考基于S&P500指数期权隐含波动率的VIX指数，也称为恐慌指数，代表市场对未来30天的 市场波动率的预期。图中可以看出，在2007年之前和2009年之后，当VIX指数处在低位时，指数通常延续当前的趋势；而当VIX由低位攀升至高位时， 预示着后市出现反转的概率加大。较为例外的是，2008年金融危机产生的系统性风险，使得VIX指数大幅上升，指数出现持续下跌。
动态突破的思想是通过刻画市场波动率，同时结合使用布林线以及突破前期最高或最低点的做法来捕捉趋势。当市场波动率降低时，延续当前趋势的概率较大， 在计算布林线带宽时，使用的回溯周期数减少，使得开仓容易被触发；当市场波动率增加时，行情有可能发生反转，同时为了过滤虚假信号，计算布林线带宽时使用 的回溯周期数增加，使得开仓条件相对难触发。这种设置使得计算出的布林上下轨具有一定的适应性。策略中增加突破前期高点买入和跌破前期低点卖出的条件可以 进一步过滤虚假信号。投资者可以参考《Building Winning Trading Systems with TradeStation》中关于Dynamic Breakout II的介绍。
Dynamic Breakout II策略中当价格突破前期高点且超过布林上轨时做多，当价格跌破前期低点和布林下轨时做空，除了初始止损外，使用布林中轨线作为跟踪止损。其他测试条件和Dual Thrust相同。
图8：Dynamic Breakout II策略的累计收益率
股指期货
Dual Thrust、R-Breaker和Dynamic Breakout II的适用周期不同，策略原理也不同。若同时使用这三个策略，组合后的收益率曲线变得更加平滑，最大资产回撤比例为5.2%，显示了投资组合策略分散化的优势。值得注意的是，上述得到的收益率曲线是根据历史数据，在使用相对优化参数的前提下得到的测试结果。
在实盘交易过程中，历史的优化参数未并适应当前的行情特点，投资者在使用程序化的过程中，必须对交易策略原理做到心中有数，这样才能理解行情特点与交易结果之间的关系。从策略测试到实盘交易的转变过程中，投资者还将遇到其他一些问题。
1、程序化交易平台的选择
目前国内的程序化交易平台有金字塔、交易开拓者、文华、快期、盈佳等，这些交易平台是以“上期综合交易平台CTP”为后台的交易软件。在平台选择上， 应结合软件稳定性、交易策略的适用性、使用费用、使用习惯等方面选择适合自己交易的平台。例如：金字塔支持图表程序化、后台程序化，支持VBS开发和外部 数据库，扩展性好；交易开拓者的交易策略测试报告更加详细，国外的TradeStation代码容易移植到TB平台上。
2、实盘交易中的细节问题
程序化交易平台的实时数据来源于中金所，中金所500ms推送一次Tick数据，不同平台自行提取更长周期的数据，不同的提取规则可能导致数据不一 致。比如金字塔和TB在日内周期K线的分割方法，以及K线的时间标记上都是不同的。在日内收盘平仓的时点，以及跨周期的数据引用上等方面，需要注意不同平 台的数据差异。
交易策略测试是在既定的周期里每个周期计算一次相应参数，而 实盘交易中会有数据实时推送过来，有可能会造成交易信号反复的问题。有的平台软件支持每隔固定秒数的轮询模式，以及走完K线模式来读取数据，选择什么样的 数据刷新频率取决于策略本身。除了信号反复的问题，还可能出现下单未成交、重复开平仓、止损未触发等情况，这需要投资者事先考虑可能出现的不利情形，对策 略进行相应的调整，如把代码转换到更小的周期上运行、考虑滑点、通过全局变量控制开仓次数等。另外，策略测试时通常是针对期指连续合约，实盘交易时要选择主力合约，换月时注意移仓时点的把握。
3、程序化交易执行过程中的交易心态
Successful investment requires not only the correct market analysis, but also need to improve risk management and good attitude control, the so-called 3M (Mind, Money, Market). Some investors in the process of using the program, especially when using a lower winning percentage of trend following consecutive losses, the trading system investors have used to question, trading mentality is difficult to calm, even eventually abandon the use of trading systems . Each trading system on investor psychology, financial trading products and risk appetite have a certain adaptability. Therefore, investors need to deepen the knowledge of the market, understand the principles of trading strategies, he can grasp grasp, including trading mentality and trading methods, can really play the role of program trading