Abstract
This paper proposes quantitative investment strategies for KOSPI200 index futures using VKOSPI and control chart. Stochastic control chart is employed to decide when to take a position as well as what position out of long and short should be taken by monitoring whether VKOSPI or difference of VKOSPI touches the control limit lines. The strategies include 4 approaches, which are traditional control chart and 2-Area control chart coupled with VKOSPI and its difference, respectively. Computational experiments using real KOSPI200 futures index for recent 3 years are conducted to show the excellence of the proposed investment strategies under control chart framework.
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