Abstract: This paper explores the investment strategy of energy futures from the perspective of individual investors. Based on Markowitz mean-variance model and 4 kinds of energy futures, this paper uses MATLAB software to calculate, constructs the dynamic optimal investment ratio strategy from the nth day to the nth+252nd day, and takes the nth + 1st day and the nth+253rd day as the test interval, and tests the interval rolling k times to prove the effectiveness of the investment ratio strategy and the stability of the dynamic strategy. The effectiveness of capital strategy proves that it is a feasible way for investors to invest in energy futures. At the same time, it is proved that Markowitz mean-variance theory can be applied to a small number of energy futures portfolio.

Key words: Markowitz mean-variance model, energy futures, investment portfolio