基于技术分析的程式交易策略设计与实现

发布时间：2018-03-04 01:17

本文选题：程式交易　切入点：策略模型化　出处：《山东大学》2012年硕士论文　论文类型：学位论文

【摘要】：量化投资在海外已有30余年的发展历史,其中程式交易技术在国际金融市场上的应用已经十分成熟,当前其市场规模和份额正在不断扩大,并已逐渐成为市场交易的主流方式之一。在美国,几乎所有的投资经理都在使用程式交易系统来辅助金融产品交易与资产管理。程式交易在世界上主要交易所都有非常广泛的应用,根据纽约-泛欧证券交易所的统计报告,2011年10月10日至14口这一周中,口均交易量为18.96亿股,其中6.054亿股是由程式交易完成的,古市场总成交量的31.9%.其中进行程式交易的前五大机构分别是：摩根士丹利、拉图贸易、高盛、巴克莱资本以及加拿大皇家银行资本。相对而言,受制于交易标的种类的不足以及监管政策的限制,国内的程式交易才刚刚起步,而且,主要是在股指期货上市以后,才带动了这一投资理念的推广。数量化的投资方法与程式自动化下单交易相结合,逐渐成为机构非常重要的交易方式,因为这必然是未来交易发展的一个方向。在本文中我们首先介绍了量化交易的概念以及分类,引导读者对这一概念有所认知,其实现在的交易方法已经没有严格的分类界限了,在一个投资策略里可能就会包含很多的技术方法,只要这些方法符合投资者的交易理念,能较好的实现投资目标,那么这样的投资方式就值得加以研究和应用。其次,我们简单的介绍了程式交易在国内外发展的情况,无论是从交易标的的多样性、监管政策、交易者的理性程度或者市场的有效、成熟度上来说,国内的市场与国外相比还是有很大差距的,但这也给我们带来了很大的机遇,科学的交易方式的推广肯定会促进中国证券市场的不断发展与完善。另外,量化交易的方法有很多种,运用的知识也是包罗万象,本文主要关注基于技术分析的程式交易策略在期货商品上的开发、测试及应用。所以在第二章中我们详细地讲解了开发程式交易系统的步骤,从交易思想的构建到交易策略的程式化,从样本内的统计测试、参数优化到样本外的检验都进行了详细叙述,以期能给更多投资者带去科学理性的开发步骤和研究方法。同时,我们也分析了程式化交易带来的优势,例如不受交易员心理因素的影响,纪律性强;能量化风险源头,降低投资风险,科学的构建投资组合等等。在第三章中介绍了现在常见的一些交易模型,重点研究了基于技术分析的交易策略,在MultiCharts平台上将其转化成可自动交易的程式模型,并加以测试、改进,从交易系统的构建到多商品多周期的策略测试,从交易策略进山场条件的不断完善到最终形成一个完整的日内交易策略,我们详细的展示了程式交易策略的测试、改进、不断完善的流程。最后,我们给出了一些建议和结论,有助于交易者尽快吸纳程式交易的核心思想,进而帮助他们运用好这一工具,实现在风险可控的前提下资产的长期、稳定增长的投资目标。
[Abstract]:Quantitative investment has a history of more than 30 years in the overseas, including the application of trading technology in the international financial market has been very mature, and the scale of the market share is growing, and has gradually become one of the mainstream market. In the United States, almost all investment managers in the use of program trading system to assist financial product trading and asset management. Program trading in the world major exchanges have a very wide range of applications, according to the statistics report of New York - Euronext, October 10, 2011 to 14 this week, in both the trading volume of 1 billion 896 million shares, of which 605 million 400 thousand shares is completed by program trading, the total volume of the ancient market 31.9%. for program trading of the top five institutions are: Morgan Stanley, Latour trade, Goldman, Barclays and Royal Bank of Canada for capital. Insufficient, subject to the types of transactions subject and regulatory policy restrictions, the domestic trading program has just started, but mainly after the listing of stock index futures, led to the promotion of this investment philosophy. Quantitative investment method and program of automated trade combination mechanism has gradually become very important trade way because, this is definitely a direction for the future development of the transaction.
In this paper we first introduce the concept and classification of quantitative trading, to guide readers to have an understanding of this concept, in fact, now the transaction method has no strict classification boundaries, in an investment strategy may contain many technical methods, as long as these methods are consistent with investors trading ideas, to achieve better investment targets so, this investment is worthy of research and application. Secondly, we introduce the program trading in the domestic and foreign development situation, whether it is the subject of diversity from transactions, regulatory policies, the rational degree of market traders or effective maturity of the domestic market, compared with foreign countries there are still a big gap, but it also gives us a great opportunity, the promotion of scientific transactions will certainly promote the development and perfection of the securities market. On the other China Outside, there are many methods of quantitative trading, the use of knowledge is the main concern of this paper cover and contain everything, program trading strategies based on technical analysis in commodity futures on the development, testing and application. So in the second chapter we explain in detail the development of program trading system steps from the construction to trading ideas trading strategy program from the statistics, test sample, test sample to parameter optimization are described in detail, in order to take scientific and rational development steps and methods to more investors. At the same time, we also analyze the stylized trading advantages, such as traders is not affected by psychological factors, strong sense of discipline energy; the source of risk, reduce the risk of investment, scientific portfolio construction and so on. The third chapter introduces some common now focus on the trading model, based on technical analysis Trading strategies in MultiCharts platform will be converted into programmable automatic transaction model, and tested, improved, from the construction of the trading system to the test strategy of multi commodity multi period, into the mountain conditions from the trading strategy and constantly improve to eventually form a complete day trading strategy, we detailed display of the program the trading strategy of testing, improvement, continuous improvement process. Finally, we give some conclusions and suggestions, help traders as soon as possible to absorb the core idea of program trading, and help them make good use of this tool to achieve long-term assets under the premise of risk control, the steady growth of investment targets.

【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：TP311.1;F831.5

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