The development process of a quantitative contract system refers to the design and development of a trading system for executing automated trading strategies. The following is the general process for developing a quantitative contract system:
- Strategy definition and requirement analysis: Communicate with trading strategy developers to clarify the specific requirements and logic of trading strategies, including the conditions of buy and sell signals, stop loss strategies, etc.
- Data acquisition and processing: Determine the required market data sources, develop corresponding data acquisition and processing modules, and ensure real-time and accurate data.
- Backtesting and validation: Use historical data to conduct backtesting and validation of trading strategies, evaluate their performance and profitability, identify potential issues, and adjust their needs.
- Algorithm design and coding: Design and implement relevant transaction algorithms, risk management, and execution logic based on strategic requirements and backtesting results, and write corresponding code and scripts.
- Trading interface integration: Develop interfaces to interact with exchanges or brokers according to the requirements of the exchange, ensuring the accuracy and security of executing trading instructions.
- Post test and real test: Use real-time data to conduct post test and real test on the system, verify its stability and performance, and ensure the reliability of actual transactions.
- Risk management and monitoring: Set up and implement risk management measures, including fund management, position control, stop loss, etc., establish a monitoring system, and promptly identify and solve problems.
- Optimization and adjustment: Based on actual transaction results and monitoring data, continuously optimize and adjust the system, improve trading strategies and logic, and improve system efficiency and profitability.
- Operation and maintenance: Monitor the operation of the system, conduct troubleshooting and handling, update data sources and interfaces, and ensure the stability and reliability of the system.
The indicators for measuring the quantitative contract system mainly include:
- Backtesting indicators: Backtesting is a simulation of the trading process based on historical data, which can measure the returns, volatility, maximum pullback, Sharpe ratio, and other indicators of a strategy.
- Real price performance: Based on actual trading results, calculate the true returns, trading frequency, winning rate, fund curve, and other indicators of the strategy.
- Risk management indicators: Measure the risk management ability of the strategy, including maximum risk, maximum single loss, position control, etc.
- Portfolio performance: If a combination of multiple strategies or contracts is involved, the performance and related indicators of the entire investment portfolio need to be measured.
- Other indicators: Depending on specific strategies and requirements, there may be other customized measurement indicators.
In the development process of quantitative contract systems, the verification and measurement of trading strategies and risk management are key steps, and it is necessary to accurately evaluate the performance and potential risks of the strategies as much as possible to ensure the stability and profitability of the system.
