China csi 300 futures intraday L/S strategy.

China csi300 futures is an very exciting instrument for quant trading, it has so many potentials as it is basically only open to domestic Chinese investors yet it trades over 700,000 contracts a day on avg. 

i am implementing a Short term intraday L/S strategy, with 500k RMB initial investment (min. required to open a futures account in China as a local, and see if i can profit from it. obviously i have up n downs but the result is pretty interesting as below:

Start Trading date is 18 March 2013 till 31 June 2013, will keep updating result.

Average daily Return

0.286%

Annualized Sharpe Ratio

2.05881

Equity as of 31 June 2013: 594380 RMB (18.8% return so far)

Equity Chart: