Investment Strategies for KOSPI200 Index Futures Using Negative Correlation of Time-Series

Jaepil Ryu (Sangmyung University)
Hyun Joon Shin (Sangmyung University)

Journal of Derivatives and Quantitative Studies: 선물연구

ISSN: 1229-988X

Article publication date: 30 November 2014



This paper presents 6 time-series that have negative correlation with KOSPI200 Index and a quantitative trading methodology based on stochastic control chart using these time-series. The proposed quantitative trading framework detects trade (long or short) timing by monitoring whether a time-series touches 4 trigger lines, which play a role as control limits in control chart. In other words, a time-series upwardly touches one of trigger line, then the framework take a short position on KOSPI200 Index Futures, while in case of downward touch, it takes a long position. The 6 time-series are derived from VKOSPI and USD Futures Index that are negatively correlated with KOSPI200 Index, and have a significance that prevents disclosure of trading strategies by processing and transforming the original time-series. Computational experiments using real KOSPI200 futures index for recent 4 years are conducted to show the excellence of the proposed investment strategies against benchmark strategies under quantitative trading framework.



Ryu, J. and Shin, H.J. (2014), "Investment Strategies for KOSPI200 Index Futures Using Negative Correlation of Time-Series", Journal of Derivatives and Quantitative Studies: 선물연구, Vol. 22 No. 4, pp. 723-746.



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