基于股指期货投资策略的程序化交易系统研究

发布时间：2018-06-13 12:47

本文选题：IF + 股指期货　；参考：《北京邮电大学》2012年硕士论文

【摘要】：随着国内改革开放,我国的金融体系得到了长足发展,涌现出一批又一批的金融人才,希望在金融市场上掘得一桶金。自92年我国建立期货市场以来,培育了无数投资高手、缔造了无数商业神话的同时,也不乏因为投资失败而倾家荡产的失败者。一个个的失败案例惊醒了投资业的高手,纷纷开始总结自己在实际工作中的的经验教训,投入了对交易系统的研究工作。本文通过对现阶段我国股指期货市场和程序化交易的方法与方向的研究,列举了主要有代表性的投资理念与交易指标,并按照需要对我们自己常用的一种自定义投资指标进行评估,了解其适用环境,制定适合现实环境的使用方法,分析其存在的不足,最后运用实践经验和相关理论提出解决改进的方法与方向。本文的主要内容结构由以下六部分组成：第一章绪论,主要介绍股指期货、程序化交易相关的基本概念和研究背景。第二章列举股指期货交易系统和策略相关的分析理论、介绍了国内外相关程序化交易系统。第三章介绍我们应用于股指期货市场的交易系统的设计思想和编制方法。第四章根据对沪深300指数历史数据的评估测试和实际股指期货市场数据试用,找出系统的适用范围。第五章通过对第四章提供数据的分析,阐述在特定条件下发现的系统不足,提出适合系统正确应用的交易策略,并提出预期的改进方法。第六章总结全文,展望今后的交易系统与策略的发展方向。
[Abstract]:With the reform and opening up in China, the financial system of our country has been greatly developed, a number of financial talents have emerged, hoping to dig up a bucket of gold in the financial market. Since the establishment of futures market in 1992, China has cultivated numerous investment experts, created countless commercial myths, but also failed because of the failure of the losers. One by one failed cases awakened the master of the investment industry, began to sum up their own experience and lessons in the actual work, and put into the research of trading system. Based on the research on the methods and directions of stock index futures market and programmed trading in China at present, this paper lists the main representative investment ideas and trading indicators. And according to the needs of our own commonly used one of the custom-defined investment indicators to evaluate, understand its applicable environment, develop suitable for the actual environment of the use of methods, analysis of its shortcomings, Finally, the method and direction of improvement are put forward by using practical experience and relevant theories. The main content structure of this paper is composed of the following six parts: the first chapter is introduction, which mainly introduces the stock index futures, the basic concepts and research background of procedural trading. The second chapter lists the stock index futures trading system and the strategy related analysis theory, introduces the domestic and foreign related program trading system. The third chapter introduces the design idea and compiling method of trading system applied in stock index futures market. The fourth chapter finds out the application scope of the system according to the evaluation and test of the historical data of Shanghai and Shenzhen 300 index and the trial of actual stock index futures market data. In chapter 5, by analyzing the data provided in the fourth chapter, the paper expounds the shortage of the system found under the specific conditions, puts forward the transaction strategy suitable for the correct application of the system, and puts forward the expected improvement methods. Chapter six summarizes the full text and looks forward to the future development of trading system and strategy.
【学位授予单位】：北京邮电大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【参考文献】