Quantitative Investing_Research on several questions related to intraday futures trading Futures Trading Many people choose day trading strategies. The biggest advantage of this type of trading strategy is “daily settlement”. The author also prefers this trading method because futures products are not like stocks and other continuously traded products. There is a relationship between the contract and the main force, friends who are familiar with futures know that futures are contracts one by one (Contracts/contracts) have Unlike the case where the stock is basically not delisted, there is a continuous trading trail from the first day the stock is listed until today. It is precisely because of this characteristic that many CTA trading tests use the continuation of the main force (category code TB 888, category Hot code MC) and index (category code TB 000, category code MC 000), but this is considered a (strong and ) method, its method of continuous data representation will be greatly compromised in the actual analysis. For example, if you use the 000 index to analyze commodities, you will get a relatively good curve, but there is a problem with the change of months. New contracts enter the market and old contracts exit. This can lead to huge price differences. , so it is a performance factor in many CTA strategies, which cannot be reflected, creating a “looks good” situation. Remember one thing when doing quantitative analysis: the data analyzed, the performance obtained, the method of placing orders, etc. must be analyzed according to the real situation and must be rigorous and thorough. The advantage of day trading is that there is no worry about contract change (there are other disadvantages on the same day). From this point of view, the actual trading situation and results of the data analysis and the performance results obtained are relatively close. In other words: more peace of mind. But it is more difficult to design than the CTA strategy and requires more precision. There are many intraday trading strategies, such as R-Breaker, DualThrust and other classic strategies. For example, the schematic diagram of the R-Breaker strategy is as follows continuation of the article : https://trader-fund.com/2023/10/11/...uestions-related-to-intraday-futures-trading/