A CTA strategy, or Commodity Trading Advisor Strategy, is a strategy that invests in markets, also known as managed futures. The core of the CTA strategy is to take advantage of the trend of *** to make a profit. In China, the ** market implements a T+0 intraday trading system, which allows investors to open and close multiple positions on the same trading day, in contrast to the T+1 system and restricted margin trading for A-shares. In addition, the market supports long-short two-way trading, so in any market environment, whether it is a ** or **, CTA strategies have the potential to make a profit.
CTA policies can be categorized based on different dimensions:
Trading methods: It can be divided into subjective CTA and quantitative CTA. Subjective CTAs rely on the manager's experience and research capabilities to make trading decisions; Quantitative CTAs rely on quantitative models and algorithms to automatically analyze market information and make investment decisions.
Trading varieties: mainly divided into commodity CTA, stock index CTA and compound CTA. Commodity CTAs involve agricultural and sideline products, energy commodities and basic raw materials**; The stock index CTA involves currencies**, interest rates** and indices**; Composite CTAs are a mixture of these categories.
Trading frequency: According to the different trading frequency, it can be divided into high frequency, medium high frequency, medium frequency and low frequency. High-frequency trading is usually at the tick level or minute level, with medium-frequency and high-frequency trading ranging from hourly to intraday levels, with medium-frequency trading holding positions ranging from about overnight to 10 trading days, and low-frequency trading holding positions for more than 10 trading days.
Trading Strategy: CTA strategy can be further subdivided into trend strategy, arbitrage strategy, etc. The trend strategy is the most core part of the CTA strategy, which mainly includes the trend following strategy and the trend reversal strategy.
For the CTA Quality Author List allocation**, more attention should be paid to the ratio of the margin of the product to the size of the CTA. Because of what kind of money CTA makes, CTA institutions take risks to make profits, and earn money that does not take risks and gives up profits. Who are these people? It is the participants of the hedging institutions in this market, they do not trade frequently in the market, and they hold positions for a long time. So when we look at the growth of open interest, we can roughly know how much profit CTA institutions make.
Behind the logic of CTA profitability is the market, in order to develop steadily in the market hedging, so that the market structure changes, this gap is the basis, is the enterprise in order to protect the interests, the premium paid in the market, CTA profit mostly comes from these premiums. From another point of view, a large number of quantitative analysis data can be seen that in the first time the message is sent out, there is often the residual value of the message, which can be profitable at this time, which is another important logic of CTA profitability: behavioral logic.
The quantitative industry is essentially a coordinated relationship between capital, trading logic, and market capacity. In quantitative trading, the strategy will fail but the investment logic will not fail, the key lies in the persistence of investors, if the persistence is very low, then it will always be buying at the high point and selling at the low point.
Arbitrage essentially makes money on the short-term sentiment of the market. When the market is keen to make money on short-term trends, there are more trading opportunities and more capacity for this strategy. When the market is no longer keen on doing the best, they are keen on taking the long-term, the volatility is reduced, and the difficulty of arbitrage to make money increases.
The returns and risks of different arbitrage methods are also different, and the reason for the difference in returns and risks is mainly the words "similar assets", how similar is it? If the assets are closer to the same, then the risk of arbitrage is lower, and vice versa, the higher the risk.
There may be a lot of risk not only for arbitrage, but also for other trading models. We believe that the biggest risk is liquidity risk, if the market is liquid enough to immediately make a stop loss at the current price when you stop the loss, then the risk is not large. If there is a liquidity risk, and you see that you want to stop the loss, but find that you can't get the amount you want, then it is possible that the actual loss will be much greater than the risk shown by all your risk control systems.
The market is uncertain, if it is sure, no one will participate in the transaction, if it is high, it will all be sold, no one will buy, and if it is low, no one will sell. So I don't think the market has accuracy, and the model won't be accurate. If you make certain subjective adjustments, maybe your strategy performance will be much better than others, so I don't think accuracy has a good impact on the results and performance of arbitrage.
Strategy iteration requires people with mathematical and physical thinking and a strong level of data processing to achieve rapid iteration. At present, the only most effective way in the domestic market is to constantly test, which is equivalent to mining, if the mine is about to dig to the end, it must not stopofGo prospecting, go dig for something new.
Today's top private equity companies have diversified strategies, channels, and products. The first is that the strategy cannot be simplified, the second product line cannot be simplified, and the third capital cannot be simplified, that is, the customer cannot be simplified.
A trader's core competitiveness is his learning ability and adaptability, in the trading process, because the market has been changing, so as an excellent trader, you are constantly learning, constantly feeling what the market is like, so learning ability and adaptability are the core competitiveness.