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Stock trading using timing strategy (股票的择时交易): mainly use short & long moving average of stock price and also analyze the performance of this strategy.

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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

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Stock trading using timing strategy (股票的择时交易): mainly use short & long moving average of stock price and also analyze the performance of this strategy.

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