An Empirical Research of Futures Program Trading Based on RSI And CCI Indicators

• 作者: Aiquan Li Hui Pan Qi Ke Weishi Shu
• 来源期刊: 财经研究杂志(英文)
• 学科: 经济
• 关键词: program trading RSI index CCI index transaction cost
• 年，卷（期）: 2020,（1）
• 页码范围: 22-28
• 页数: 7页
• 分类号: F42

摘要

Over the years,many scholars have conducted a wealth of empirical research on the effectiveness of technical indicator analysis in the financial market,and the conclusions are obviously different.Among them,two program trading models based on RSI and CCI indicators achieve an annual return rate of more than 180%in the empirical research of palm oil futures program trading,but the amount of data used in this study is too small,and the transaction cost is not considered.As the actual trading process has the characteristics that investors pay more attention to the sustainability of the model's profitability,and that investors’trading varieties are diverse and with high transaction cost,this paper further verifies the sustainability and general applicability of these two models:using the closing price of 1-day and 30-minute K-line of 18 kinds of commodity futures in recent 10 years to investigate the changes of annual return rate,maximum withdrawal ratio etc.under different transaction costs and K-line cycles.The results show that the model’s profitability is time-varying,and the transaction cost has a greater influence on the rate of return of 30-minute K-lines than that of 1-day K-lines.