The key to success: multi-model trend tracking strategy
"Last year, many varieties went out of the general trend, so our trend tracking system performed well." In his self-evaluation of last year's good profit performance, Li attributed it to the market cooperation and strong strategy.
Looking through the growth curve of net value of "Yang Tao" account since 2065438+early February 2003, we can clearly see two important "climbing" stages in the overall upward trend. From the end of March to the end of May in 20 14, and from the end of August in1to the end of June in 10, the investment income of this account basically increased by 90 degrees.
"In the first stage, our profit mainly came from futures index trading." Li recalled that the profit in the second stage mainly came from commodity futures trading, and at this stage, most domestic commodity varieties showed a downward trend, which was very beneficial to the trend tracking strategy.
As far as programmed trading is concerned, it is very important to quickly identify and capture the trading signals sent by market fluctuations. Li said frankly that programmatic trading does not predict market trends, and once there is a market, it is the most important thing. The main profit in last year's trading came from the time when the market fluctuated greatly.
The analysis data of the supply of "futures actual combat network" shows that the trading varieties of "Yang Tao" account are very wide, covering almost all varieties. There are soft commodities such as cotton, sugar, oil varieties such as soybean and soybean meal, rubber, PVC and PTA chemicals, and Shanghai and Shenzhen 300 stock index futures. In this regard, Li told the Futures Daily reporter that there is no special preference for the choice of trading varieties. Based on the strategy of trend trading, the selection of trading varieties adheres to two criteria: varieties with large fluctuations in history; Varieties with high market liquidity and active trading.
In daily transactions, position management is also an important part of programmed transactions. Li said that before May last year, he mainly operated stock index futures trading. At that time, the market fluctuated greatly, so the proportion of positions was biased. In the second half of last year, it was dominated by multi-variety trend trading, and basically only participated in trading when the market trend was confirmed, and the proportion of positions was relatively low.
Teamwork: The universality of strategic model is very important.
Behind the excellent results are excellent trading strategies, and these strategies come from an experienced and closely coordinated team.
"Our trading strategy is the crystallization of collective wisdom." For Li Shimin's outstanding performance, we are more willing to attribute it to the team's strength. Now, the company's investment team has many experienced investment managers. Among them, there are professionals who have worked in the quantitative departments of large domestic securities firms, professional investors who have rich experience in the Hong Kong stock market, A-share market and commodity futures market, and experts who are good at excavating market fundamentals and modeling by using mathematical statistics methods. In addition, the company's investment team also has full-time risk control personnel who are familiar with the investment process and various business links.
"Everyone in the team is guarded by soldiers and performs their duties." Li told the reporter of Futures Daily that as the manager of "Yang Tao" account, his main responsibility is to mine data operations and study and formulate quantitative trading models. "Because I have a strong interest in quantitative trading, I have mainly studied different trading models in recent years, including multi-variety trend tracking, futures multi-system mid-term trading, commodity futures behavior analysis, multi-variety inter-period arbitrage and other models."
The importance of programmed trading, diversified strategies and extensive market adaptability is self-evident. In this regard, Li told reporters that the company's trading team attaches great importance to the market adaptability of the strategy. In the process of R&D strategy, the team is often over-enriched. The outstanding performance in the past historical stage does not mean that the strategy will remain effective in the future. "Therefore, stability may be more important than historical performance." Li said that in actual research and development, the basic standards of team attention strategy are: the model should be supported by strong behavior theory; The model should be effective for a long time; The model should be effective for most varieties at the same time.
It is worth noting that the rapid development of domestic futures programmatic trading in the past two years has naturally brought greater market competition, and the problem of strategic convergence has become increasingly prominent. In this regard, Li bluntly said that with the recent changes in market participants, there have been problems such as the expansion of trading slip points and the increase of market volatility in a short period of time. "Overall, the market may be more complicated than before, traders will face more challenges, and we need to spend more energy to solve these problems."
Management philosophy: Earn expected profits in a safe environment.
Different from subjective transactions, programmed transactions have higher and stricter standards for risk control. In this regard, Li told reporters that the core of the company's risk management concept is to earn expected profits in a safe environment, that is, when all products of the company are established, it is necessary to comprehensively weigh the basic market conditions and judge whether the investment can be operated in a risk-free environment as much as possible, and whether the investment can obtain stable expected profits.
To this end, the risk management framework established by the company mainly has two parts:
The first part is the expert group of risk decision when the product is established. When a product is established, the fund manager needs to do a roadshow in the company. In addition to the product elements, it mainly answers the questions of the risk control team, that is, the extreme risks that the company and customers can bear in various extreme environments. Only when this extreme value meets the dual needs of the company and customers can the product be established.
The second part is the risk monitoring advisory group during product operation. The company's risk control committee monitors the net value of products around the clock in three stages: the initial opening of products, the operation period and the eve of the end of products. If the withdrawal range of the product is within the expected range, it will basically not interfere with the operation of the fund manager. If the product exits beyond expectations, the early warning mechanism will be started at any time, requiring the fund manager to adjust the position according to the plan, so as to reduce the market risk faced by the product portfolio.
Specific to the actual operation stage, the main risks of managing funds are the risk of net withdrawal and the risk of individual stocks in the portfolio. For example, in the operation of stock index futures trading, the first thing is to limit the stock portfolio to 60% to 70% of the Shanghai and Shenzhen 300, so as to ensure that hedging can change in the same direction with little deviation. Track the fundamentals and news of a single stock in real time, and then run manual processing when there are significant changes in fundamentals and news.
"From a broader perspective of risk control management, we mainly rely on quantitative analysis technology to control risks." Li told the Futures Daily reporter that companies generally set a higher net value to retreat to a stop loss of 5%. If the fundamentals and news of a single stock have changed significantly, some adjustments will be made manually. At the same time, track the information of individual stocks every day and monitor these risks in time.