Scheduled Directional Intraday Trading in China Index Futures

Summary

The document presents a BigQuant example for trading the CSI 300 index futures contract from a user-supplied calendar of daily long, short, or no-trade directions. It checks minute data for entry windows around 10:00 and 14:00, targets a specified fraction of capital, and attempts to close positions late in the session. It also describes extracting minute data and running a futures backtest.

The example records entries and exits and prints trade counts, win rate, average win and loss, and their ratio. These are reporting calculations, not evidence of profitable performance; the document supplies no validated results. The directions are inputs rather than signals generated by the strategy, and no meaningful method for determining them is given. The shown logic also depends on platform data, order, and position behavior, so it should be reviewed before use, particularly around contract selection, fills, costs, and position tracking.

Key ideas

• The example takes long, short, or inactive directions from a date-indexed user schedule.
• It checks for entries around two intraday times and attempts to flatten positions near the close.
• The strategy uses minute data for an index futures backtest and specifies a target capital fraction.
• Its printed performance statistics are not accompanied by demonstrated backtest results.
• Signal generation and several execution assumptions are left to the user or platform.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.