In fact, we find that many investors, especially short-term investors, do not have a deep understanding of the concept of time period, and their operation methods of stock index futures are still at the stage of judging the rise and fall of the day-looking for opportunities on the time-sharing chart-choosing the right time to appear on the day. The disadvantages of this operation method are: it does not consider the market trend in a larger period (it is very difficult to judge the rise and fall in a day), relying too much on subjectivity may cause obvious contrarian operation, and it is difficult to operate when the intraday trend is not obvious, so we see that most of these investors have failed in the futures market.
The reason is that they have not found a suitable trading cycle, and the cycle is an important basis for judging the trend direction, taking profit and stopping loss setting and fund management in futures trading.
First of all, we judge that the movement direction of the market must be carried out within a certain period of time, and the price may run in the opposite direction in different periods. For example, the 5-minute line is on the rise, but the online price of 15 minutes may still be on the decline.
Secondly, the expected profit and loss in different time periods are different, which determines the scope of take profit and stop loss. In the case of little difference in parameters, due to the limited price fluctuation, the operating profit and loss will be smaller in a smaller period and larger in a larger period.
Finally, the operation of different cycles determines the weight of investors' positions. Short-term investors bear lower callback risk, and their positions can be heavier. Long-term investors need to bear greater callback pressure, and their positions cannot be overweight.
How to choose the right time period realizes the importance of time period, and then naturally it is how to choose the right time period. In fact, the disadvantages of too short and too long time periods are obvious. In a short period of time, the randomness of price fluctuation is strong and the stability of the trend is low, which shows that it is difficult to find a stable index to describe and track the market in operation. Many technical indicators and forms are not applicable in a short period of time, which also causes some novices to lose money in short-term frequent operations, but price changes are more sensitive and have their advantages, that is, they can reflect the latest information. In a long period of time, the stability of the trend is strong, but the trend changes slowly, and investors need to bear a large equity callback in the operation and inflection point of the trend. Under the margin leverage mechanism, investors are less tolerant of reverse price fluctuations, so on the whole, investors in the futures market trade in a short period of time.
As for how to choose the right time period, the author thinks that a short period can obviously grasp more fluctuation opportunities, but too short a period will lead to a low winning rate (the proportion of profit times to the total number of transactions) and high transaction costs, which requires investors to respond quickly to price changes. The long-term can grasp the main trends and the winning rate is high, but ordinary investors can't stand the big equity callback, so we think we can compromise. In futures trading, we should not pay too much attention to the fluctuation of too short period (such as 1 minute or even shorter, unless the parameters are relatively large) or too long period (such as quarter line or even longer).
In addition, the setting of technical index parameters (such as 20 cycles or 60 cycles of the 5-minute line) also directly affects the trading cycle of investors. In fact, it is the interaction between the two that determines the actual trading cycle. In futures trading, investors are always looking for their own cycle for a long time at first, and finally achieve the unity of their flexibility and callback tolerance.
The system performance of stock index futures in different trading cycles is here, and we use the test data of stock index futures in each continuous cycle of the month to prove our judgment. The cross moving average system is adopted here, the data interval is 201April 16 to 2011June 15, and the initial capital is100000.
According to the results, we can see that the best online parameter of 1 min is (23,44). In fact, we find that smaller parameters often end in serious losses, and in this ideal case, the average trading cycle is 4 1, that is, the average holding time is 4 1 minute. If we look at the 5-minute data, we find that the average holding time is 65438 in an ideal situation.
Secondly, the winning rate in each cycle increases with the extension of the cycle, and the maximum retracement in a shorter cycle is larger, indicating that the stability of the trading system is not high in a shorter cycle. In fact, in the period of 1 min and 15 min under the optimal parameters, the rights and interests of the system have obviously decreased this year, while in other periods, the rights and interests have been steadily increasing.
Third, as expected, both the average profit and the average loss basically increase with the extension of the cycle. It is worth noting that the data is somewhat distorted because the optimal parameters of daily and weekly lines are relatively large (35 and 5 respectively), that is, the short-selling opportunity of stock index futures in the initial stage of listing is missed.
In practice, I think we should first establish our own benchmark cycle. For example, stock index futures, we can take 60 minutes as the benchmark cycle, and then judge the price trend in a larger cycle. For example, in the downward trend during this period, the futures index was suppressed by the daily BBI, so we should take shorting as the direction of operation, that is, trade in a larger cycle, and then return to the benchmark cycle for 60 minutes at the specific time of entry and exit. On the one hand, this method basically avoids trading against the market and improves the winning rate of trading. On the other hand, it will not cause a sharp correction of rights and interests because of the sudden turning of prices. It is a trading method combining short-term and mid-line trading.
I hope it helps you.