Timing Strategy of Stock Trading 择时股票指数交易

Brief Introduction

• Stock trading using timing strategy: mainly use short & long moving average of stock price and also analyze the performance of this strategy.

Algorithm Pipeline

1. Compute short & long moving average of stock price.
2. Use the infomation of moving average to trade the index.
3. Record and compute data of buy & sell, position, return, etc. with daily frequency for later analysis.
4. Do financial evaluation: Sharpe ratio, Annual simple return, Win rate, Maximum drawdown, Maximum loss rate, Transaction frequency...
5. Visualization and output of data.

Strategy Details

• Long (Buy)
  • No position currently;
  • Short moving average line crosses long moving average line upward.
• Short (Sell)
  • Hold full position currently;
  • Return is below stop loss ratio.
• Short (Sell)
  • Full position currently;
  • Short moving average line crosses long ma line downward.
• Position remains unchanged
  • Default.

Results

1. Sharpe ratio: 1.47
2. Annual simple return: 4.52%
3. Win rate：50.92%
4. Maximum drawdown：25.62%
5. Maximum loss rate: 6.94%
6. Trade frequency: 10%
7. Other diagrams and Excel file are in this folder for your reference.

Data

1. Trading target: CSI300 Index.
2. Time length: Year 2010 - Year 2019.
3. Data Source: Wind