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Quantitative Strategy2023.04 – 2023.10
基于双均线的期货趋势跟踪 CTA 策略
期货趋势跟踪策略：年化收益 15.9%，最大回撤 10.9%，夏普比率 1.07。
PythonpandasNumPy
CTA strategy developed during internship at a quantitative trading firm.
Problem
Design a robust futures trend-following strategy with proper risk management and automated data pipeline.
Method
Built a dual moving average trend-following strategy for futures with trailing stop-loss and portfolio management capabilities. Developed an automated daily data update module with server-side scheduled tasks.
Result
Historical backtesting showed 15.9% annualized return, 10.9% max drawdown, and 1.07 Sharpe ratio. The automated data pipeline eliminated manual maintenance overhead.
核心成果
- 15.9% annualized return
- Max drawdown 10.9%
- Sharpe ratio 1.07
- Automated data pipeline