基于通道突破思维的程序化交易模型的构建及应用研究
发布时间：2018-12-15 21:10
【摘要】：获得超额回报——这一直以来都是投身金融交易的广大投资者的终极追求,而有效而又科学的进行交易,就必须依托于一套有效的交易策略,无论是基本面分析还是技术分析,从本质来讲,都有其内在的策略。 程序化交易就是将投资的策略进行量化处理的过程,设计的策略由计算机识别并执行,在国外发达市场中,无论是对个人投资者还是对于大型机构投资者,程序化交易都是最前沿、最科学的投资模式。程序化交易可以在复杂和无序的价格波动中,寻求非随机的获利机会。这种非随机的获利机会,表现为市场价格运动存在记忆性,即价格通常会持续沿着一个方向进行运动,直至本阶段行情结束,一旦方向被改变,价格运动又会沿着另一个方向继续持续。这种记忆性特征被人们定义为趋势,同时,趋势的存在为程序化交易提供了设计的方向。 我国目前关于程序化交易模型设计的文章近乎空白。与交易策略有关系的文章所涉及的策略大都很简单,比如普通的均线穿越系统、MACD、KDJ等经典指标衍生出来的交易系统。这些检验大多是验证其正回报特点,而对于系统资金曲线稳定程度、资金回撤率、盈亏比、交易胜率等不进行检验。交易检测结果所包含的时段也甚是有限,有过度数据发掘的可能,在此基础上得出的测试结果,可信度无从判断。 本文在考虑了以上问题基础上,试图设计一个具备稳定盈利能力的程序化交易模型。首先从有效市场假说和行为金融学的相关理论出发,建立了实现超额利润的理论基础,根据投资者的非理性行为,市场定价过程中可能出现大幅度的单向价格运动。之后探讨了程序化交易模型的运行机制,对趋势跟踪这一交易模式做了全面的分析并利用R/S分析法验证了趋势波动的存在,趋势波动正是为交易模型提供利润的核心。论文引入了自适应通道来构建具体的交易模型,自适应通道在各类行情中有较好的泛用性,可以根据当前的行情状态进行自主调整处理,在大趋势中投资者的头寸不至于由于短期回调而提前平仓,最大限度保证了盈利空间,而在横盘期间形成强势突破时,可以保证快速进场建立头寸。最后,引入了大量品种的长期数据对模型的盈利能力和稳定性进行验证,结果表明自适应通道突破模型具有较强的获利能力,对投资者实盘交易具有一定的指导意义。
[Abstract]:Getting excess returns has always been the ultimate pursuit of the vast majority of investors involved in financial transactions, and effective and scientific trading depends on a set of effective trading strategies, whether fundamental or technical. In essence, all have their own internal strategies. Programmed trading is the process of quantifying the investment strategy. The designed strategy is identified and executed by the computer. In developed foreign markets, whether for individual investors or large institutional investors, Procedural trading is the most advanced, most scientific investment model. Programmed trading can seek non-random profit opportunities in complex and disordered price fluctuations. This kind of non-random profit opportunity is represented by the memory of the market price movement, that is, the price usually moves in one direction until the end of the stage, and once the direction is changed, The price movement will continue in the other direction. This memory feature is defined as a trend, and the existence of the trend provides a design direction for programmed transactions. At present, the article about programming transaction model design in our country is almost blank. Most of the strategies related to trading strategies are very simple, such as the ordinary moving average system, MACD,KDJ and other classic indicators derived from the trading system. Most of these tests verify the characteristics of positive returns, but do not test the degree of stability of the system capital curve, the withdrawal ratio of funds, the ratio of profit to loss, the ratio of trade success and so on. The period of time included in the results of transaction detection is also very limited, and there is the possibility of excessive data mining. On the basis of this, the reliability of the test results can not be judged. On the basis of considering the above problems, this paper attempts to design a program trading model with stable profitability. Based on the theory of efficient market hypothesis and behavioral finance, this paper establishes the theoretical basis of realizing excess profit. According to the irrational behavior of investors, there may be a large one-way price movement in the process of market pricing. Then it discusses the operating mechanism of the programmed trading model, makes a comprehensive analysis of the trading model of trend tracking and verifies the existence of the trend volatility by using the R / S method, which is the core of providing profit for the trading model. In this paper, adaptive channel is introduced to build a specific transaction model. Adaptive channel has good universality in all kinds of market, and it can be independently adjusted according to the current market state. In the general trend, investors' positions do not close early because of a short-term correction, which maximizes the margin of profit, while in the event of a strong breakthrough in the horizontal market period, it can guarantee the rapid entry into the market to establish positions. Finally, a large number of long-term data are introduced to verify the profitability and stability of the model. The results show that the adaptive channel breakthrough model has a strong profitability, and has a certain guiding significance for investors' real trading.
【学位授予单位】：中国海洋大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.49
本文编号：2381298
[Abstract]:Getting excess returns has always been the ultimate pursuit of the vast majority of investors involved in financial transactions, and effective and scientific trading depends on a set of effective trading strategies, whether fundamental or technical. In essence, all have their own internal strategies. Programmed trading is the process of quantifying the investment strategy. The designed strategy is identified and executed by the computer. In developed foreign markets, whether for individual investors or large institutional investors, Procedural trading is the most advanced, most scientific investment model. Programmed trading can seek non-random profit opportunities in complex and disordered price fluctuations. This kind of non-random profit opportunity is represented by the memory of the market price movement, that is, the price usually moves in one direction until the end of the stage, and once the direction is changed, The price movement will continue in the other direction. This memory feature is defined as a trend, and the existence of the trend provides a design direction for programmed transactions. At present, the article about programming transaction model design in our country is almost blank. Most of the strategies related to trading strategies are very simple, such as the ordinary moving average system, MACD,KDJ and other classic indicators derived from the trading system. Most of these tests verify the characteristics of positive returns, but do not test the degree of stability of the system capital curve, the withdrawal ratio of funds, the ratio of profit to loss, the ratio of trade success and so on. The period of time included in the results of transaction detection is also very limited, and there is the possibility of excessive data mining. On the basis of this, the reliability of the test results can not be judged. On the basis of considering the above problems, this paper attempts to design a program trading model with stable profitability. Based on the theory of efficient market hypothesis and behavioral finance, this paper establishes the theoretical basis of realizing excess profit. According to the irrational behavior of investors, there may be a large one-way price movement in the process of market pricing. Then it discusses the operating mechanism of the programmed trading model, makes a comprehensive analysis of the trading model of trend tracking and verifies the existence of the trend volatility by using the R / S method, which is the core of providing profit for the trading model. In this paper, adaptive channel is introduced to build a specific transaction model. Adaptive channel has good universality in all kinds of market, and it can be independently adjusted according to the current market state. In the general trend, investors' positions do not close early because of a short-term correction, which maximizes the margin of profit, while in the event of a strong breakthrough in the horizontal market period, it can guarantee the rapid entry into the market to establish positions. Finally, a large number of long-term data are introduced to verify the profitability and stability of the model. The results show that the adaptive channel breakthrough model has a strong profitability, and has a certain guiding significance for investors' real trading.
【学位授予单位】：中国海洋大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.49
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