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Trend-Tracking Trading Strategy Based on Improved RSI: A Case Study of Chinese CSI 300 Stock Index Futures

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  • Jishan Ma
  • Hongyan Liao

Abstract

In European and American developed countries, quantitative trading is gradually replacing artificial transactions to occupy an important position in the market, and their daily turnover in the market is particularly evident. China securities market and derivatives market started late, and have a relatively obvious difference from abroad, especially in Western countries, in the level of quantitative transactions in mature capital markets. With the improvement of China¡¯s market trading varieties, China¡¯s quantization will develop very rapidly. In this paper, according to the characteristics of China¡¯s CSI 300 Index Futures, we improve trend-tracking trading model based on the improved RSI. Firstly, we apply the wavelet transform for denoising of the price series, then improve RSI, and use the improved RSI and the denoised price series to establish an exit strategy and approach strategy. The strategy is excellent in practical application. In 1 minute K-line data back-test of CSI 300 index futures from 2010 to 2012, the return on invest has reached up to 102 million Yuan, and the ROI risk ratio is 2.61.

Suggested Citation

  • Jishan Ma & Hongyan Liao, 2017. "Trend-Tracking Trading Strategy Based on Improved RSI: A Case Study of Chinese CSI 300 Stock Index Futures," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(4), pages 130-139, April.
    • Handle: RePEc:ibn:ijefaa:v:9:y:2017:i:4:p:130-139
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    More about this item

    Keywords

    quantitative trading; stock index futures; RSI indicator; wavelet transform;
    All these keywords.

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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