Weekly Directional Trading Rules for Chinese Equity Index Futures

Summary

This article outlines a directional strategy for Chinese equity index futures based on a schedule of daily long, short, or no-trade signals prepared in advance for the week. It describes opening an initial position around 10 a.m., adding to it around 2 p.m. when the direction remains unchanged, and closing all positions before the end of the session. A direction reversal prompts closing the old position before entering the new direction. The stated default stop-loss and take-profit thresholds are 0.5% and 1%, respectively.

The post describes configuring a contract and test dates, retrieving closing-price data, simulating orders, and recording trade details and summary statistics. It reports a cumulative backtest return of 10.7%, while noting that the example used a long-only direction and could reflect luck. It provides no further validation, benchmark, or robustness analysis, so the reported result is limited evidence. Intraday execution assumptions, costs, and the quality of the supplied directional signals would matter when assessing the rules.

Key ideas

• The strategy follows daily long, short, or flat directions supplied in advance on a weekly basis.
• It describes two potential entry tranches during the session and requires positions to be closed before the close.
• The default stop-loss is 0.5% and the default take-profit is 1%.
• On a signal reversal, the existing position is closed before a position in the opposite direction is opened.
• The post reports a 10.7% cumulative backtest return but cautions that its all-long example may have benefited from luck.

Tags

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