Rebar Futures High-Frequency Trading Arbitrage Strategy

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Resource Overview

A MATLAB-implemented high-frequency trading arbitrage strategy for rebar futures, utilizing Moving Average (MA) and Relative Strength Index (RSI) technical indicators for trade decision-making. The core algorithm combines MA's strength in trending markets with RSI's effectiveness in oscillating conditions through signal fusion, achieving robust risk resistance. Backtesting with historical data demonstrates optimized parameters yielding 23.6% annualized return and 2.05 Sharpe ratio. Code implementation includes real-time data processing, multi-timeframe analysis, and automated execution modules.

Detailed Documentation

This is a high-frequency trading arbitrage strategy for rebar futures implemented in MATLAB. The strategy's primary trading decisions are based on Moving Average (MA) and Relative Strength Index (RSI) technical indicators. The underlying algorithm logic leverages MA's effectiveness in clear trending markets while employing RSI for oscillating market conditions; synthesizing signals from both strategies enhances risk resistance capabilities. The MATLAB implementation features real-time data streaming processing, parameter optimization through grid search functions, and automated trade signal generation. During validation, initial price signals were processed using MATLAB's financial toolbox, and historical backtesting with optimized parameters achieved an annualized return of 23.6% and Sharpe ratio of 2.05. Key functions include moving average crossover detection, RSI threshold triggering, and position sizing algorithms based on volatility-adjusted risk management.

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