程序化交易模型的开发与优化

发布时间：2018-01-11 07:25

本文关键词：程序化交易模型的开发与优化　出处：《华东师范大学》2013年硕士论文　论文类型：学位论文

【摘要】：程序化交易是根据一定的交易模型和规则成生买卖信号,由计算机自动执行买卖指令的交易过程。简单的说就是用计算机程序来控制买进卖出的时机并自动执行。在这个定义中,突出的是交易模型、计算机程序对交易的重要性。程序化交易具有交易效率高、帮助克服人性弱点、便于交易中风险及成本的控制及管理、能把握市场中的精细机会等优点。程序化交易的应用领域主要有组合管理、套利交易、趋势交易及其他量化策略等。本文主要采用规范研究和实证研究相结合的研究方法,并使用文献综述、对比分析等的方法。针对程序化交易的起源、现状、优缺点和分类等主要采用规范研究和对比分析的方法；国内外程序化交易模型、相关理论等研究现状主要采用文献综述和对比分析等方法；并使用历史数据进行实证研究,以作验证和优化。本文首先对程序化交易的起源、历史发展以及国内外现状进行阐释；然后对程序化交易的理论基础进行总结如道氏理论,波浪理论等；对当今主流程序化交易模型进行分类概述如统计类模型等,技术类模型,预测类模型等并对现阶段国际顶尖的程序化交易系统进行介绍。接下来本篇论文着重以一个实际例子介绍了从最初某个可行性想法的提出到模型的初步创立及后期优化的一个相对完整的交易策略模型的整个开发过程。从最开始通过规律总结,实际操盘积累的经验或者成功交易策略的揣摩借鉴等思想碰撞方式,再通过统计分析或者模拟得出一个切实可行的想法后,得出一个初步完整的交易策略,即包括应有的出场条件,止赢止损的设置及出场条件。然后先后通过对入场条件的优化,入场时机的优化,交易时间的优化,以及加仓条件,从而使一个策略逐渐丰满完善起来。并且最终得到一个在样本内外盈利能力稳定且可观的程序化交易系统。
[Abstract]:Programmed trading is based on a certain trading model and rules to generate trading signals. A trading process in which a computer automatically executes an order. Simply put, a computer program is used to control the timing of buying and selling and to execute automatically. In this definition, a trading model is highlighted. The importance of computer programs to transactions. Programmed transactions are highly efficient, help overcome human weaknesses and facilitate the control and management of risks and costs in transactions. The application fields of programmed trading include portfolio management, arbitrage trading, trend trading and other quantitative strategies. This paper mainly uses normative and empirical research methods, and uses literature review, comparative analysis and other methods to deal with the origin of procedural transactions, the status quo. The advantages and disadvantages and classification of the main methods of normative research and comparative analysis; The domestic and foreign procedural transaction model, the related theory and so on research present situation mainly uses the literature review and the contrast analysis and so on method; And the use of historical data for empirical research, for verification and optimization. At first, this paper explains the origin, historical development and the present situation of the procedural transaction at home and abroad. Then the theoretical basis of programmed trading is summarized, such as Dow's theory, wave theory, etc. The current mainstream procedural transaction model is classified and summarized, such as statistical model, technical model. Then, this paper focuses on a practical example to introduce the initial feasibility of the proposed idea to the initial establishment of the model and after. Period optimization of a relatively complete trading strategy model of the entire development process. From the beginning through the law summary. Actual trading accumulated experience or successful trading strategies such as thinking collision mode, then through statistical analysis or simulation to get a practical idea, a preliminary complete trading strategy. That is to say, it includes the proper conditions of entry, the setting of stop loss and the conditions of exit. Then, through the optimization of admission conditions, the optimization of admission time, the optimization of trading time, and the condition of adding stock. Finally, a stable and considerable program trading system with profitability inside and outside the sample is obtained.
【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F830.9

【共引文献】