关键词: 信息融合, 策略转换, 商品期货, 量化投资

Abstract: Based on the cointegration theory and the fractal market theory, this paper constructed a new quantitative investment strategy for commodity futures based on information fusion and strategy switching. It verified the effectiveness and robustness of the strategy by empirical analysis. Price linkages are common among commodities. Previous studies have constructed statistical arbitrage strategies for commodity futures based on price linkages. However, this paper used price linkages to construct trend-following strategies based on information fusion. Moreover, it designed a strategy switching regime based on the fractal market theory, i.e., using trend-following strategies in trending markets and switching to statistical arbitrage strategies in mean-reverting markets. The empirical results show that information fusion can improve the performance of trend-following strategies, while applying strategy switching can further improve the investment performance. Furthermore, this paper uses Monte Carlo simulation to verify the robustness of the empirical results, and gives optimal trading strategies in different model assumptions.