基于海龟交易系统的量化交易应用研究

发布时间：2018-05-18 15:11

本文选题：量化交易 + 海龟交易系统　；参考：《河北工业大学》2013年硕士论文

【摘要】：量化交易经过了数十年的快速发展，已经成为全球金融市场中专业投资者的主要交易模式。随着中国证券市场金融产品的创新、与国际金融市场的加速接轨，量化投资的种子已经开始在中国证券市场发芽并茁壮成长。股指期货、ETF基金、融资融券、转融通等创新产品的推出将使中国证券市场交易活动和投资越来越频繁，可以预见量化交易将给中国证券行业带来巨大的发展空间。海龟交易策略曾经在美国期货市场取得惊人的回报，，其交易策略后来被免费公之于众，海龟交易策略其实是一种中长期的趋势跟踪的技术分析策略。本文利用现有程序化交易软件编写了海龟交易策略的量化模型，并借助沪深300股指期货进行模型检验。通过对量化交易的初步研究，使用技术分析方法和量化投资分析方法相结合的投资策略，使传统的技术分析手段与先进的信息技术手段相结合，从而使传统的投资分析方法更具活力。本文在前人研究的基础上，首先分析中国证券市场的现状，通过对投资分析理论的研究包括技术分析方法、基本面分析方法和量化投资分析方法的研究，并对这些方法进行比较分析。再根据中国证券市场的本质和特点，选择曾经在美国市场大获成功的趋势跟踪领域中的海龟交易法则作为交易策略，建立量化交易模型。最后，用沪深300指数的历史数据检验海龟策略量化交易的效果，通过对交易结果的性能和风险分析，表明海龟交易量化模型完全可以在中国证券市场上获得良好的应用效果。
[Abstract]:After decades of rapid development, quantitative trading has become a major trading model for professional investors in global financial markets. With the innovation of financial products in China's securities market and the accelerating integration with the international financial market, the seeds of quantitative investment have begun to sprout and thrive in China's securities market. The introduction of stock index futures ETF funds, margin financing, conversion and other innovative products will make China's securities market trading activities and investment more and more frequent. It can be predicted that quantitative trading will bring huge development space to China's securities industry. The Turtle trading strategy, which has made astonishing returns on the U.S. futures market, was later made public for free. It is actually a medium- and long-term trend-following technical analysis strategy. In this paper, the quantitative model of Turtle trading strategy is compiled by using the existing program trading software, and the model test is carried out with the help of Shanghai and Shenzhen 300 stock index futures. Through the preliminary research on quantitative trading, the investment strategy of combining the technology analysis method and the quantitative investment analysis method is used to combine the traditional technology analysis means with the advanced information technology means. Thus, the traditional investment analysis method is more dynamic. On the basis of previous studies, this paper first analyzes the current situation of China's securities market, through the research of investment analysis theory, including technical analysis method, fundamental analysis method and quantitative investment analysis method. These methods are compared and analyzed. According to the nature and characteristics of China's securities market, the Turtle trading rules in the trend tracking field, which has been a great success in the American market, are selected as trading strategies to establish a quantitative trading model. Finally, using the historical data of CSI 300 index to test the effect of Turtle strategy quantification trading, through the performance and risk analysis of the trading results, it is shown that the Turtle trading quantification model can obtain good application effect in China's securities market.
【学位授予单位】：河北工业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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