「厚尾分布下的随机区间突破策略」-金融工程报告详解传统策略优化

The report "Thick-tailed Distribution Random Interval Breakthrough Strategy" published by Guangfa Securities in August 2014 introduces a unique trading strategy in the financial market. Traditionally, the Opening Range Breakout strategy is widely used, where traders enter long positions when the stock index futures break above a certain price level the next trading day, and short positions when they fall below a certain price level. In calculating the breakout price and the downward breakout price, the report suggests using the Opening Range Breakout method as a reference. This method involves adding a certain range width to the opening price to get the breakout price, and subtracting the range width to get the downward breakout price. The range width can be optimized by historical market data to improve the strategy's effectiveness. The report also highlights the equivalence between the Opening Range Breakout strategy and a long position in a wide strangle options combination. It notes that the inclusion of symmetric profit-taking and stop-loss levels in the Opening Range Breakout strategy renders it ineffective. Through mathematical analysis, the report proves that the profits from the breakout strategy are equivalent to the profits from the wide strangle options combination minus the portion of profits lost when the option hits the stop-loss price but returns to the exercise price by the end of the period. Overall, the report provides valuable insights for traders and investors looking to explore alternative trading strategies in the financial market. By understanding the principles of thick-tailed distribution and random interval breakthrough strategies, market participants can better identify risks and discover value in their trading decisions. It is essential to study and analyze the report's findings, bearing in mind the disclaimer provided at the end of the document to make informed investment choices and capitalize on market opportunities effectively.