Futures Capital Management strategy try "big data" mining

"Big Data" era, the data is the resources, is the productivity, who owns the data and the ability to dig and process data deeply, who occupies the commanding heights. In the early stages of futures asset management, futures companies have begun to try.

Futures Daily reporter learned that has been committed to the industry customer service of the new Lake Futures, in the past years of development, through various industrial forums and industrial chain research, accumulated a wealth of industrial customer resources. Based on this advantage, the new Lake Futures asset Management development ideas from the beginning is somewhat unique.

"Pure quantitative trading strategy, whether in terms of size or space, will be subject to a certain limit, futures capital management to go higher and farther, must be combined with macro-level and fundamentals to hedge." Ma Wensheng, chairman of the new Lake Futures, said that the new Lake Futures asset Management development orientation is "fundamental + quantification", that is, "use the fundamentals to set the strategy, with programmatic transactions to set the strategy."

The so-called fundamental strategy, is through the industry spot and futures data mining, tracking supply and demand contradictions, to find the right type of trading and price difference.

"We judge the system risk and industry risk by analyzing the data mining and fundamentals." "Cai Jianbo, head of the New Lakes Futures Management department, told the futures daily that when systemic risk is dominant, the hedging strategy and systemic risk are low, while a particular breed's industry risk is greater, the two are clearly different."

"For example, our previous period of ' empty oil, soybean meal ' and the recent ' empty stock index, multiple threads ', are based on fundamental data mining strategy." "One of the key foundations of a strategy based on fundamentals is extensive and in-depth data from industry and industry," Cai Jianbo said.

It is reported that over the years the new lake futures have been committed to the construction of the database, has begun to bear fruit. Its data mainly includes two categories: one is the spot industry data, both open prices, production supply and demand data, but also through a variety of industrial research and Industry Forum data collection, the second is the futures market data, both the data, there is a long history of data.

"After the macro and fundamental data mining to the strategy, there is also a key link through the programmatic implementation of the transaction strategy and risk management." "The diversification of the strategy requires the diversification of the research team and the centralization of the typhoon control," Cai Jianbo said. In order to do this work, the new lake futures lasted more than three years, independent development of programmed trading platform.

At present, the new lake futures of the capital management products are mainly trend trading model, but pay attention to long and short-term mismatch, and overnight exposure does not exceed 10%. This is the development of ideas, so that the new Lake Futures products better capture the year since the relatively large trading opportunities, a number of capital account are very good performance. It is understood that its earliest account, in the three months to date in late February, the yield reached 18%, and the highest yield of one account yield of 40%, the lowest 10%. While achieving good results, these products have also done a good job of risk control, 6 accounts for the maximum return to the average of 6%, the highest return is 11%.

(Responsible editor: The good of the Legacy)