Investigating the profit performance of quantitative timing trading strategies in the Shanghai copper futures market, 2020–2022

Abstract In conducting an extensive examination, we scrutinize the efficacy of algorithmic trading strategies applied to Futures CopperMainContinuous in the Shanghai Futures Exchange, utilizing a comprehensive data set spanning from January 2020 to December 2022. To mitigate the potential risk of data‐snooping bias—the probability that any favorable results may inadvertently arise from random events rather than the inherent value of the strategies employed to generate these results—our study prudently conducts a reality check and advanced assessments. Throughout the evaluated period, the benchmark demarcation between the in‐sample and out‐of‐sample stages is established in February 2022. Regrettably, our meticulous exploration fails to identify any successful or advantageous algorithmic trading strategies within these categories, particularly following the systematic elimination of data snooping bias. These results underscore the intrinsic challenges in accurately identifying and implementing profit‐generating algorithmic trading strategies within the volatile and intricate futures market.