量化投资交易策略研究

发布时间：2018-04-20 09:25

本文选题：量化投资 + 交易策略　；参考：《天津大学》2013年硕士论文

【摘要】：量化投资在海外的发展已有三四十年的历史，其投资业绩稳定，市场规模和份额不断扩大，得到了越来越多的投资者的认可。特别是最近十年，量化投资在海外得到了飞速发展，以西蒙斯为代表的顶尖级量化投资大师利用量化投资策略和方法创造了一个又一个神话。国外量化投资基金数量的增长已经逐渐超过了传统投资基金。然而，，国内的量化投资领域还处于发展起步阶段，量化投资占金融投资的比重不超过5%。随着2010年4月股指期货的出台，量化投资在国内市场的发展潜力逐渐显现，各大券商和机构投资者纷纷对量化交易展开深度研究。量化投资基金近两年在国内的再度火热，使得部分量化基金的业绩处于领先地位，为广大国内投资者带来了更多更丰富的投资产品选择。本文从实际出发，针对量化投资的基本概念、发展现状、投资平台、交易策略等方面，进行了较为全面的阐述及分析。并根据当前研究的需要，自行开发搭建了量化投资平台，以便灵活方便地支持量化投资策略的模拟分析。在此基础上，基于沪深300股指期货市场的历史数据，本文使用量化投资方法对趋势跟踪投资交易策略进行了深入的分析和研究。趋势跟踪交易策略主要是借助技术指标分析行情趋势方向，本文重点针对移动均线(MA)、平滑异动移动平均线(MACD)、平均线差(DMA)、三重指数平滑平均线(TRIX)四种指标的趋势策略进行优化、分析及对比。通过模拟检验，使用趋势跟踪交易策略，投资者可以在沪深300股指期货市场获得良好的收益率。本文设计的量化投资平台具有一定的实用价值，可以为股指期货投资提供参考意见。
[Abstract]:Quantitative investment has a history of 30 to 40 years abroad, its investment performance is stable, the market size and share is expanding, and more and more investors recognize it. Especially in the last ten years, the quantitative investment has developed rapidly overseas, and Simmons, represented by Simmons, has created one myth after another by using the strategy and method of quantitative investment. The number of foreign quantitative investment funds has gradually exceeded the growth of traditional investment funds. However, the domestic quantitative investment field is still in the initial stage of development, the proportion of quantitative investment in financial investment does not exceed 5%. With the introduction of stock index futures in April 2010, the potential of quantitative investment in the domestic market gradually appears, and various securities companies and institutional investors have launched in-depth research on quantitative trading. Quantitative investment funds in the past two years in the domestic hot again, the performance of some quantitative funds in the leading position, for the majority of domestic investors to bring more and more rich investment products options. In this paper, the basic concept, development status, investment platform and trading strategy of quantitative investment are expounded and analyzed comprehensively from the point of view of reality. According to the needs of current research, a quantitative investment platform is developed and built in order to support the simulation and analysis of quantitative investment strategy flexibly and conveniently. On this basis, based on the historical data of Shanghai and Shenzhen 300 stock index futures market, this paper makes a deep analysis and research on the trend tracking investment trading strategy by using quantitative investment method. The trend tracking trading strategy is mainly based on technical indicators to analyze the trend direction of the market. This paper focuses on the optimization of the trend strategies of four indicators, namely, moving average, smooth moving moving average, average line difference, triplex index smoothing average line TRIX, etc. Analysis and comparison. Through simulation test, using trend tracking trading strategy, investors can obtain good yield in Shanghai and Shenzhen 300 stock index futures market. The quantitative investment platform designed in this paper has certain practical value and can provide reference for stock index futures investment.
【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51

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