Exploration of Quantitative Investment Strategies in Commodity Futures Markets
Abstract
quantitative investment and its advantages in commodity futures market are expounded. Then, the trend tracking model, hedging model, seasonal model and comprehensive strategy model are constructed, and the principle and implementation method of each strategy are introduced
in detail. Through simulation experiments, the four strategies are analyzed empirically, and the yield, Sharpe ratio and maximum shrinkage
are selected as evaluation indicators. The study finds that different strategies have advantages and disadvantages in terms of returns and risks,
and investors can choose according to their needs. This research provides theoretical basis and practical reference for the application of quantitative investment strategy in commodity futures market, which has practical significance and application value.
Keywords
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DOI: http://dx.doi.org/10.18686/fm.v10i3.14055
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