程序化交易中的交易指标优化方法研究

发布时间：2018-02-28 22:06

本文关键词： 技术指标优化程序化交易交易策略　出处：《上海交通大学》2013年硕士论文　论文类型：学位论文

【摘要】：金融投资在资本市场中占着极其重要的地位。大量投资者广泛使用技术分析指标来进行投资决策。但在现实中,人们往往是基于主观或经验来确定指标的时间窗口参数。但是即使是同一个技术指标,同样的参数,对不同投资标的来说投资业绩相差巨大。因此,根据投资标的的特征,找到一个交易指标优化策略,以选择最优组合指标方案和参数,是一个很有意义的课题。特别是在程序化交易迅速发展的背景下,交易指标的优化尤显重要。本文首先介绍了本课题的研究背景与意义及研究思路,接着对程序化交易的发展做了一个概括,包括程序化交易的历史与现状,程序化交易的概念,以及现有的成熟的程序化交易策略等。然后,本文重点讨论了基于程序化交易的优化方法的构建,其中包括基于技术指标的优化方法和引入基本面分析的优化方法。基于技术指标的优化方法将主要从技术指标的选择和时间窗口参数优化这两个方面分析技术指标的选取与优化的必要性以及方法步骤。引入基本面分析的方法将讨论基本面分析对优化交易策略的重要性,并以引入非农数据分析为例,介绍相关优化方法。紧接着本文对一些主流的程序化交易系统进行了介绍与归纳,并且通过一个实例,介绍如何选择适合自己的程序化交易系统,怎么实现交易策略,如何回测与优化以提高投资业绩等。经程序化交易回测检验表明,本文提出的基于技术分析和基本面分析的优化方法是有效的,可以大幅提高投资业绩。其中技术分析优化方法可以广泛用于各种已有的技术指标,基于基本面分析的优化具有很好的扩展性,可以根据不同的投资品种进行调整。
[Abstract]:Financial investment plays an extremely important role in the capital market. A large number of investors widely use technical analysis indicators to make investment decisions. But in reality, People tend to determine the time window parameters of an indicator based on subjective or experience. But even if the same technical indicator, the same parameter, the investment performance varies greatly among different investment targets. Therefore, according to the characteristics of the investment target, It is a meaningful topic to find an optimal trading index strategy to select the optimal combination index scheme and parameters, especially in the context of the rapid development of programmed trading. This paper first introduces the research background, significance and research ideas of this subject, and then makes a summary of the development of procedural trading, including the history and current situation of procedural transactions, the concept of procedural transactions. Then, this paper mainly discusses the construction of optimization method based on procedural transaction. It includes the optimization method based on technical index and the optimization method of introducing fundamental analysis. The optimization method based on technical index will mainly focus on the choice of technical index and the optimization of time window parameter. The importance of fundamental analysis in optimizing trading strategy will be discussed by introducing the method of fundamental analysis. Then this paper introduces and induces some mainstream procedural trading systems, and through an example, introduces how to choose a program trading system suitable for itself. How to realize the trading strategy, how to measure and optimize the investment performance, etc. The result of programmed transaction test shows that the optimization method proposed in this paper based on technical analysis and fundamental analysis is effective. The optimization method of technical analysis can be widely used in various existing technical indexes, and the optimization based on fundamental analysis has good expansibility and can be adjusted according to different investment varieties.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F831.5

【相似文献】