Understanding Trading Rules
Financial trading rules form the foundational framework that maintains market order, ensures fair trading, and mitigates risks. These regulations create a level playing field for all participants—regardless of size or background—enabling efficient capital allocation. Key aspects include:
- Market Hours: Defines when trading activities occur.
- Price Quotation: Standardizes how asset prices are communicated.
- Settlement Procedures: Outlines post-trade processes.
- Order Handling: Governs how buy/sell orders are executed.
- Disclosure Requirements: Mandates transparency of critical information.
For securities markets, rules prevent market manipulation and fraud while establishing protocols for violations. This structured environment fosters investor confidence and market stability.
Core Quantitative Trading Strategies
1. Dual Moving Average Strategy
Rules:
- Buy: When short-term MA crosses above long-term MA.
- Sell: When short-term MA falls below long-term MA.
Last Updated: 2025-04-15
2. Turtle Trading Strategy
Rules:
- Entry: Price exceeds 20-day high.
- Exit: Price drops below 10-day low.
Uses ATR for position sizing.
3. MACD Reversal Strategy
Filters:
- Excludes ST stocks, suspended shares, and Beijing Exchange listings.
- Requires >270 days since IPO.
Execution: Open-buy, close-sell with 5-day holding period.
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Platform-Specific Implementation
Backtest Configuration (T+2/T+3)
- Set entry at T+2 opening price.
- Exit at T+3 closing price.
Example Case: Applied to CSI 300 components with 15% annualized return.
Capital Allocation Logic
- Same-day sell/buy transactions: Proceeds from sales aren't immediately available for repurchases.
- System alerts when violating liquidity rules.
Strategy Development Workflow
| Step | Action | Tools |
|---|---|---|
| 1 | Define stock universe | BigQuant stock screener |
| 2 | Set entry/exit conditions | TA-Lib technical indicators |
| 3 | Configure position sizing | Volatility-based ATR calculations |
| 4 | Run backtests | 2015-2025 historical data |
FAQ Section
Q: How to handle dividend adjustments in backtesting?
A: Enable "adjust for corporate actions" in platform settings to automatically account for splits/dividends.
Q: Why does my live trade differ from backtest results?
A: Slippage and liquidity variance cause discrepancies—always include 0.5% buffer in simulations.
Q: Can I combine fundamental and technical filters?
A: Yes. Example: PE < 20 + 50-day MA crossover yields 23% better risk-adjusted returns.
Q: Minimum recommended backtest period?
A: 3 market cycles (typically 7-10 years) to capture different volatility regimes.
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Key Takeaways
- Quantitative rules remove emotional decision-making.
- Always validate strategies across multiple market conditions.
- Platform-specific constraints (e.g., T+1 settlement) significantly impact performance.