程序化交易策略的研究与开发

发布时间：2018-01-08 22:32

本文关键词：程序化交易策略的研究与开发　出处：《山东大学》2017年硕士论文　论文类型：学位论文

【摘要】：我国的证券市场目前只有短短二十年的历史,在市场的成熟度方面相比欧洲和美洲来说有巨大的差距,所以我国在程序化交易的发展方面也比其他国家要落后,但程序化交易一经引入就备受欢迎,众多投资者争相尝试,各种程序化交易的平台也随之产生,比较有名的主要有金狐、交易开拓者、文华财经等,随着使用程序化交易的投资者越来越多,各种投资模型也逐渐丰富起来。随着经济的愈发全球化,影响期货品种行情的因素也越来越多,进行基本面分析的成本也随之增加,很多投资者特别是机构投资者希望可以不去考虑基本面就能获得稳定的收益,在这种情况下,投资者对程序化交易的热情度上涨也就很正常了。程序化交易策略就是将人的交易逻辑和思想完全用计算机语言表达出来,并使用计算机来实现自动下单的过程,策略包括完整的开仓和平仓模块,是投资者交易逻辑的完整表达,最大的优势就是可以避免人性的缺陷,保持理性的投资,具有很强的执行力,并且可以将交易的逻辑在历史的数据当中进行回测,以了解交易策略是否可以盈利。期货市场需要依靠博取高胜率来获利,我们需要分散我们的交易,同时在多个期货品种上进行交易,那么不同的品种有不同的特点,如果要靠人工去对众多的品种进行分析,那工作量是非常大的,如果用程序化交易去做的话,可以完美解决这个问题,并且可以有效的进行风险的分散。本文首先介绍程序化交易的国内外发展现状,并介绍程序化交易发展的过程,之后介绍程序化交易的几种经典的指标,将指标的特点、用途、代码、实际应用的范例进行了详细的介绍,之后介绍了交易策略的构成并介绍了几种入场和立场模块,将各模块的使用方法、优点、缺点都做出了详细的分析,为之后进行策略的开发打下一个基础,之后介绍了如何去分析一个策略,如何去评价策略的优劣。本文最后研究了如何去选择策略开发的品种,如何分析策略在历史数据中的绩效,并跟据历史的绩效对策略进行优化和完善,最终得到一个成型的交易策略,清晰的分析了整个开发策略的过程。
[Abstract]:China's securities market is only twenty years of history, maturity in the market in Europe and America has a huge gap, so in terms of the development of program trading in China than in other countries lagging behind, but the program trading is introduced on the popular, many investors scramble to try various programs trading platforms have emerged, there are more famous fox main trading, Portland, financial etc., with the use of program trading more and more investors, investment model is gradually enriched. Along with the economic globalization increasingly, factors affecting the futures market is also increasing, the cost of fundamental analysis also increases, many investors especially institutional investors can not hope to consider the fundamentals will be able to get a stable income, in this case, investors trading on the program The enthusiasm of the rose also normal. Program trading strategy is the transaction logic and ideas fully expressed in computer language, and to realize the automatic single strategy using computer, including the complete opened and closed module, is the expression of investors trading logic, the biggest advantage is that you can avoid the defects of human nature, maintain a rational investment, has a strong executive power, and can be traded back test in the logic of history data, to understand whether the trading strategy can be profitable. The futures market needs to rely on to win high profit winning, we need to diversify our transactions, and transactions in multiple futures the species, so different varieties have different characteristics, if rely on artificial to many varieties were analyzed, the workload is very large, if used to do the program trading You can solve this problem perfectly, and can spread the risk effectively. In this paper, the current situation of the development of program trading at home and abroad firstly, and introduces the process of development of program trading, after the introduction of several classic program trading indicators, the index characteristics, uses, code, application examples a detailed introduction, introduction of the trading strategy and introduces several admission and position module, each module will use the methods, advantages, disadvantages have made detailed analysis for the following lay a foundation of the development strategy, then introduces how to analyze a strategy, how to evaluate strategy the advantages and disadvantages. Finally this article studies how to choose the strategy of products, how to analyze the strategy in the historical data in the performance, and according to the history of performance optimization and improvement of strategy, we obtain a The process of the whole development strategy is clearly analyzed.

【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：TP311.52;F832.51

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