The research object of CTA strategy: the narrow sense of CTA strategy only includes futures, such as domestic stock index futures, commodity futures and treasury bond futures (interest rate futures), which is the main research object and profit source of CTA strategy in China at present;

Broadly speaking, it can be commodity futures, treasury bonds futures (interest rate futures), stocks, foreign exchange (including spot and futures), and even options with certain historical open positions and price data.

CTA strategy research cycle: Generally speaking, minute, hour and daily data are the main data. The tick data will also be used for a small number of CTA strategies, including secondary bidprice, askprice, bidvolume and askvolume.

CTA strategy research method: analyze the historical transaction volume and price data of a single variety, including opening price, closing price, highest price, lowest price, transaction volume and position, extract the rule with probability advantage, that is, the usual factor or strategy, realize this rule with code, and assume that this rule will still exist in the future. Finally, we use this rule to judge the future trend of varieties and make profits by opening positions, closing positions, adding positions and reducing positions. Generally speaking, CTA strategies evolved so far are basically fully automatic transactions, but there are still transactions supplemented by manual judgment.