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题名Investigating the profit performance of quantitative timing trading strategies in the Shanghai copper futures market, 2020–2022
作者
发表日期2024-12-01
发表期刊International Studies of Economics
ISSN/eISSN2831-3224
卷号19期号:4页码:589-616
摘要

In conducting an extensive examination, we scrutinize the efficacy of algorithmic trading strategies applied to Futures CopperMainContinuous in the Shanghai Futures Exchange, utilizing a comprehensive data set spanning from January 2020 to December 2022. To mitigate the potential risk of data-snooping bias—the probability that any favorable results may inadvertently arise from random events rather than the inherent value of the strategies employed to generate these results—our study prudently conducts a reality check and advanced assessments. Throughout the evaluated period, the benchmark demarcation between the in-sample and out-of-sample stages is established in February 2022. Regrettably, our meticulous exploration fails to identify any successful or advantageous algorithmic trading strategies within these categories, particularly following the systematic elimination of data snooping bias. These results underscore the intrinsic challenges in accurately identifying and implementing profit-generating algorithmic trading strategies within the volatile and intricate futures market.

关键词futures market technical trading
DOI10.1002/ise3.87
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收录类别ESCI
语种英语English
WOS研究方向Business & Economics
WOS类目Economics
WOS记录号WOS:001279759100001
Scopus入藏号2-s2.0-85199999952
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文献类型期刊论文
条目标识符https://repository.uic.edu.cn/handle/39GCC9TT/12568
专题北师香港浸会大学
通讯作者Tian, Hongyu
作者单位
1.Beijing Normal University—Hong Kong Baptist University United International College,Zhuhai City,China
2.UQ Business School,University of Queensland,Australia
3.HKU Business School,The University of Hong Kong,Hong Kong,China
4.School of Business and Law,Central Queensland University,Australia
第一作者单位北师香港浸会大学
通讯作者单位北师香港浸会大学
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GB/T 7714
Tian, Hongyu,Wang, Wei,Yang, Mengxinet al. Investigating the profit performance of quantitative timing trading strategies in the Shanghai copper futures market, 2020–2022[J]. International Studies of Economics, 2024, 19(4): 589-616.
APA Tian, Hongyu, Wang, Wei, Yang, Mengxin, & Yilmaz, Ali. (2024). Investigating the profit performance of quantitative timing trading strategies in the Shanghai copper futures market, 2020–2022. International Studies of Economics, 19(4), 589-616.
MLA Tian, Hongyu,et al."Investigating the profit performance of quantitative timing trading strategies in the Shanghai copper futures market, 2020–2022". International Studies of Economics 19.4(2024): 589-616.
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