股指期货盈利模式分析系统的设计与实现
发布时间：2018-08-13 18:55
【摘要】：随着程序化交易在上世纪七十年代从美国兴起以来，衍生出的量化交易已成为金融市场交易方式的主流方向。在国外，量化交易从八十年代起就得到了充足的发展。而国内，近年来，随着从华尔街归来的华人金融工程师的日益增多，量化交易也开始兴起，量化交易软件也被开发出来。 在这样的潮流大背景下，本文设计了一套股指期货量化交易盈利分析系统，它是金融领域与计算机领域的结合性产品。通过这个系统，我们可以分析各个指标对于历史K线数据的盈利情况，从而正确地执行交易过程。 系统的主要功能如下： 1.界面显示功能：软件可以读取股指期货的1分钟K线数据，并以图形界面的形式显示在屏幕上，同时可以调节显示其它几个不同周期的均线。 2.可以载入若干系统已加载的指标，可以编辑、另存指标，可以按用户的思路编写新的指标。 3.脚本语言支持下单语句，对于一个指标，软件可以对指定指标及指定参数生成盈利分析报告；另外，软件还支持自动化对指标参数进行优化搜索。 接着，利用我们所设计的软件对常用的指标进行了搜索分析。从大量的分析图与分析表中，我们可以看出：如果指标用于较短的时间周期（例如1分钟级别，或者5分钟级别），通常盈利能力不够，甚至于很大一部分还要出现亏损。而对于较长周期的K线（例如30分钟级别，，或者60分钟级别）将可能实现盈利，而且在较大周期级别K线实验上，我们发现大多数的参数都可以取得盈利，这证明在此种情况下，指标的盈利能力比较有保障。 最后，本文对系统的功能和稳定性等指标做了总结，认为在系统稳定性和系统功能、指标功能上，还有一些可以继续扩充范围。
[Abstract]:With the emergence of programmed trading from the United States in the 1970s, the derivative quantitative trading has become the mainstream direction of financial market trading. Abroad, quantitative trading has been well developed since the 1980's. In recent years, with the increasing number of Chinese financial engineers returning from Wall Street, quantitative trading has begun to rise and quantitative trading software has been developed. Under the background of this trend, this paper designs a set of quantitative trading profit analysis system for stock index futures, which is a combined product in the field of finance and computer. Through this system, we can analyze the profit of each index to the historical K line data, and carry out the transaction process correctly. The main functions of the system are as follows: 1. Interface display function: the software can read 1 minute K line data of stock index futures and display on screen in the form of graphical interface. Can load a number of system loaded indicators, can edit, save indicators, can be in accordance with the user's thinking to write new indicators. 3. The script language supports the order statement, for a metric, the software can generate the profit analysis report for the specified index and the specified parameter. In addition, the software also supports the automatic optimization search of the index parameter. Then, the commonly used indexes are searched and analyzed by the software we designed. From a large number of analysis charts and tables, we can see that if indicators are used for a short time period (such as 1 minute level, or 5 minutes level), they are usually not profitable enough, and even a large part of them will suffer losses. On the other hand, for longer period K lines (such as 30 minutes, or 60 minutes), it is possible to make a profit, and in the larger cycle level K line experiments, we find that most of the parameters can be profitable. This proves that in this case, the profitability of the indicators are more secure. Finally, this paper summarizes the function and stability of the system, and points out that there are still some indexes which can be extended in terms of system stability, system function and index function.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：TP311.52
本文编号：2181877
[Abstract]:With the emergence of programmed trading from the United States in the 1970s, the derivative quantitative trading has become the mainstream direction of financial market trading. Abroad, quantitative trading has been well developed since the 1980's. In recent years, with the increasing number of Chinese financial engineers returning from Wall Street, quantitative trading has begun to rise and quantitative trading software has been developed. Under the background of this trend, this paper designs a set of quantitative trading profit analysis system for stock index futures, which is a combined product in the field of finance and computer. Through this system, we can analyze the profit of each index to the historical K line data, and carry out the transaction process correctly. The main functions of the system are as follows: 1. Interface display function: the software can read 1 minute K line data of stock index futures and display on screen in the form of graphical interface. Can load a number of system loaded indicators, can edit, save indicators, can be in accordance with the user's thinking to write new indicators. 3. The script language supports the order statement, for a metric, the software can generate the profit analysis report for the specified index and the specified parameter. In addition, the software also supports the automatic optimization search of the index parameter. Then, the commonly used indexes are searched and analyzed by the software we designed. From a large number of analysis charts and tables, we can see that if indicators are used for a short time period (such as 1 minute level, or 5 minutes level), they are usually not profitable enough, and even a large part of them will suffer losses. On the other hand, for longer period K lines (such as 30 minutes, or 60 minutes), it is possible to make a profit, and in the larger cycle level K line experiments, we find that most of the parameters can be profitable. This proves that in this case, the profitability of the indicators are more secure. Finally, this paper summarizes the function and stability of the system, and points out that there are still some indexes which can be extended in terms of system stability, system function and index function.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：TP311.52
【参考文献】
相关期刊论文 前2条
1 叶萍;;我国股票指数期货市场的风险规避策略分析[J];金融与经济;2007年07期
2 赵新娥;王婷;;对我国股指期货风险管理的思考[J];特区经济;2009年01期
本文编号：2181877
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