CN106373009A - Transaction decision system based on risk control quantitative model - Google Patents
Transaction decision system based on risk control quantitative model Download PDFInfo
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- CN106373009A CN106373009A CN201610798131.8A CN201610798131A CN106373009A CN 106373009 A CN106373009 A CN 106373009A CN 201610798131 A CN201610798131 A CN 201610798131A CN 106373009 A CN106373009 A CN 106373009A
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Abstract
The invention mainly belongs to the transaction decision technology field and particularly relates to a transaction decision system based on a risk control quantitative model and a method. The system carries out multifactorial quantitative securities selecting and market timing and carries out real-time quantitative evaluation on investment risks, buy, sell, profit stop and loss stop instructions are provided through a client in real time, and the position risk state prompting information is further provided in real time; the system comprises an input module, a processing module, a transaction decision module and the client, wherein the client comprises an instruction output module. Through the system, an excellent transaction object and low-cost transaction opportunity are provided for the client through a multifactorial quantitative market timing model, simulation trial and error transaction is carried out through a risk control model, an error instruction is provided with a loss stop value, forced close out is realized, a profit stop value is provided for a correct instruction, and quantitative transaction or subjective transaction is provided.
Description
Technical field
The present invention principally falls into trade decision technical field and in particular to a kind of trade decision based on air control quantitative model
System and method.
Background technology
Quantify the rise of investment, with flourishing of eighties of last century computer industry, financial market and financial market theory
Constantly improve inseparable.Current quantization investment tactics can merge with modern finance theory, statistics, mathematics, with
And the achievement of computer aspect, develop towards complexity and multifarious direction.The application of a large amount of frontier theories is also great
Enrich the extension quantifying investment and intension, greatly enhance the vitality quantifying to invest money in developing simultaneously.Through generation more than half
The development recorded, quantifies investment and has increasingly been recognized by industry and be familiar with.
Quantifying investment can overcome psychological factor to the interference of investment deal so that transaction more rationality is rich in orderliness.?
Quantify in the process of exchange of investment, quantify investment and mainly pass through the applied statistics knowledge and Financial engineering theory operation feelings to market
Condition is analyzed it is possible to automatically be placed an order by computer.Overcome the interference to transaction results for the investor sentiment, can
Effectively reduce impact greedy, panic and that population effect is to investment decision.Guiding investor is surveyed in transaction
Examination rational decision making has important function.
Quantitative analysiss have numerous benefits better than traditional analysis, but are not to replace traditional analysis or subjective point
Analysis, can solve the problems, such as all trade decisions, this is a very big mistake in understanding.Rely on quantitative model and carry out completely sequencing
How clearly, clearly trading effect is also undesirable, but when define using quantization trade decision, when with subjective analysis side
Method, just becomes a very big difficult point in actual investment trade decision.Therefore although there being various trade decisions to divide at present
Analysis method, but due to research and development theory, the cognitive Bias of realizing technology, really can accomplish immediately clearly to be given in disk dealing time point,
Not only objective control transaction risk but also the subjective quantization trade decision obtaining reasonable maximum return and realizing sustainable stable profit
Scheme is simultaneously few, so that investor lacks supplemental transaction instrument, credulous hearsay, blindness transaction, loss repeatedly.
In addition, finding stable excess earnings strategy in quantifying investment to become asking of countless investment manager's primary study
Topic.
Content of the invention
For the problems referred to above, the present invention provides a kind of trade decision system and method based on air control quantitative model, described
When decision system quantifies to select by multiple-factor, model provides the trading object of high-quality and inexpensive transaction opportunity for client, not only drops
Low transaction cost is moreover it is possible to reduce time cost and psychological cost；And trial and error transaction is simulated by air control model, to mistake
Instruction offer stops loss value, forces to close a position, and right instructions is provided and is only full of value, provides quantization transaction or subjective transaction, strengthening risk
Control, changeable in mood transaction of keeping under strict control, on the basis of fund security, carry out blue chip investment.
The present invention is achieved by the following technical solutions:
A kind of trade decision system based on air control quantitative model, described trade decision system first passes through multiple-factor and quantifies
When selecting, model is selected stocks, and the stock that the stock that system is selected and client select is held position wind in real time by air control model
The quantitative evaluation of danger, using client, whenever and wherever possible, is given in real time and accurately buys in, sells, being only full of, stopping loss instruction and reality
When risk status prompting message of holding position.
Further, described trade decision system includes input module, processing module, trade decision module and client,
Described client includes command output module；Described processing module one end connects input module, and the other end connects described transaction and determines
Plan module, described trade decision module is connected with the described command output module in client；
Described processing module includes select stocks when quantization is selected unit and air control computing unit；Described trade decision module includes handing over
Easily instruction computing unit, for producing trading instruction；
Described client receives and shows the trading instruction that described trade decision module produces；And user can pass through institute
State client and provide stock indication signal, described indication signal is transferred into described input module, described indication signal is specially
The stock code information of concrete stock.
Further, described quantization unit of selecting stocks includes multiple-factor and quantifies model when selecting:
In formula, ziThe comprehensive grading of the multiple-factor equal weight for stock i；K represents the number of efficiency factor, k=5；I is stock
Ticket i；zi,epIndex of selecting stocks for stock i is score value during earnings yield rate ep；zi,bmIndex of selecting stocks for stock i is book city
Value than bm when score value；zi,crIndex of selecting stocks for stock i is score value during cash yield cr；zi,roacFor selecting stocks of stock i
Index changes score value during roac for Return on Assets；zi,pegIndex of selecting stocks for stock i increases ratio for p/e ratio the relative profitability
Score value during rate peg；
Described input module to described multiple-factor quantify select when model in input stock pond in the corresponding profit of each stock i
Earning rate ep, book market value change roac, p/e ratio the relative profitability rate of increase than bm, cash yield cr, Return on Assets
Peg, described quantization select stocks unit when quantifying to select by multiple-factor model calculate the multiple-factor etc. obtaining all stocks in stock pond
The comprehensive grading z of weighti, and the comprehensive grading z according to multiple-factor equal weightiAll stocks in stock pond are ranked up, then
Ranked forward 1-20 props up the stock code information transmission that stock code information and user provided by client to wind
Control computing unit, described air control unit, according to the stock code information being received, is simulated handing over to each accordingly stock
Easily；
Described air control unit includes air control model:
Risk=co t v ra pr
Wherein: co is transaction cost valency；
T is the trend durations after transaction success；
V is the value-at-risk of holding period after transaction success；
Ra is price fluctuation amplitude in holding period after transaction success；
Pr be after transaction success holding period be only full of value；
Described air control unit passes through air control model and is simulated transaction, and after mock trading success, described input module is to institute
State in air control model middle input transaction cost valency, transaction success after trend durations, transaction success after holding period risk
Holding period after value, transaction success, after price fluctuation amplitude in holding period after transaction success, transaction success holding period be only full of value,
Value-at-risk risk of transaction.
Further, described trade decision module includes trading instruction computing unit, for producing trading instruction, specifically
For: described trading instruction computing unit determines exchange hour according to value-at-risk risk in air control model, and risk value is on the occasion of entering
Enter to quantify transaction, produce and buy in trading instruction, and according to activity price be only full of the comparative result of value and send and be only full of instruction,
And risk be on the occasion of when, user can be sent at any time by client and sell instruction；Risk value is negative value, and price triggering stops loss
Value, sends and stops loss instruction.
Further, described trade decision module input connects air control computing unit described in processing module, described friendship
Easily decision-making module outfan connects the described command output module in client.
Further, described input module connects transaction platform, to obtain described transaction cost valency, becoming after transaction success
After price fluctuation amplitude in holding period after the value-at-risk of holding period after gesture durations, transaction success, transaction success, transaction success
Holding period be only full of value, and each stock i corresponding earnings yield rate ep, book market value are than bm, cash yield cr, assets
Earning rate changes roac, the data of p/e ratio the relative profitability rate of increase peg；Output module in described client is handed over far-end
Easily platform connects, and can convey to Remote Transaction platform according to the described trading instruction that client receives and be traded.
A kind of trade decision method based on air control quantitative model, on the basis of methods described model when multiple-factor quantifies to select
Select trading object, under the premise of risk control, trial and error transaction is simulated to described trading instruction, according to air control result, is given
Buy in, sell, be only full of, stop loss instruction, and risk status prompting message of holding position in real time.
Further, methods described specifically includes following steps:
(1) build multiple-factor to quantify to select stocks model:
In formula, ziThe comprehensive grading of the multiple-factor equal weight for stock i；K represents the number of efficiency factor, k=5；I is stock
Ticket i；zi,epIndex of selecting stocks for stock i is score value during earnings yield rate ep；zi,bmIndex of selecting stocks for stock i is book city
Value than bm when score value；zi,crIndex of selecting stocks for stock i is score value during cash yield cr；zi,roacFor selecting stocks of stock i
Index changes score value during roac for Return on Assets；zi,pegIndex of selecting stocks for stock i increases ratio for p/e ratio the relative profitability
Score value during rate peg；
(2) when utilizing the multiple-factor of step (1) framework to quantify to select, model calculates multiple-factor of all stocks etc. in stock pond
The comprehensive grading z of weighti, and the comprehensive grading z according to multiple-factor equal weightiAll stocks are ranked up；
(3) the forward 1-20 that sorts is propped up stock code information and user to believe by the stock code that client is given
Breath send air control computing unit to, described air control unit according to the stock code information being received, to each accordingly stock
Trial and error transaction is simulated by air control model, calculates value-at-risk risk of transaction every time；
Described air control model is: risk=co t v ra pr；
(4) judge risk value, risk value is on the occasion of entrance step (5)；Risk value is negative value, enters step (6)；
(5) quantify transaction, produce and buy in trading instruction, and according to real price be only full of value and send and be only full of instruction；Or
User can be sent at any time by client and sell instruction；
(6) triggering stops loss value, sends and stops loss instruction.
Further, in step (1), multiple-factor quantifies the construction method of model when selecting and specifically includes following steps:
(1) choose efficiency factor, including earnings yield rate (ep), book market value ratio (bm), cash yield (cr), assets
Earning rate changes (roac) and 5 efficiency factors of p/e ratio the relative profitability rate of increase (peg)；
(2) personal share marking: each efficiency factor k is given a mark in personal share, the size according to different factors k will be opened a position
In initial stage stock pond, all stock i are ranked up giving a mark successively so that the score value of personal share stock i is distributed in [0, n] interval, n
Scope be 1-100；The score value of the index k of selecting stocks of stock i is designated as zi,k；
(3) multiple-factor quantifies to select stocks the structure of model: with equal weight method by the score value z of single index of selecting stocksi,kComment
Divide the comprehensive grading z collecting for multiple-factor equal weighti:
In formula, ziThe comprehensive grading of the multiple-factor equal weight for stock i；K represents the number of efficiency factor, k=5；I is stock
Ticket i；zi,epIndex of selecting stocks for stock i is score value during earnings yield rate ep；zi,bmIndex of selecting stocks for stock i is book city
Value than bm when score value；zi,crIndex of selecting stocks for stock i is score value during cash yield cr；zi,roacFor selecting stocks of stock i
Index changes score value during roac for Return on Assets；zi,pegIndex of selecting stocks for stock i increases ratio for p/e ratio the relative profitability
Score value during rate peg.
The Advantageous Effects of the present invention:
1. quantify to select stocks model by multiple-factor, carry out marking sequence with numerous stocks, effective control transaction risk.
2. pass through air control model, be given and accurately buy, sell, being only full of, stopping loss operating point, it is to avoid the uncertainty of subjective transaction
With changeable in mood impact；
3. effective control Fail Transaction risk, catches the transaction of tendency chance non-high frequency, and dynamic tracking is only full of, and obtains rationally
Investment return；Sustainable, stable profit；
4. the utilization boundary of clear and definite subjective transaction and quantization transaction is it may be assumed that in the case of profit, can subjective conclude the business to win
Good income；In the case of loss, strict pressing quantifies decision system execution, it is to avoid fluke mind causes damage expansion；
5. quantify to specify that exercisable minimum rise and fall period, contribute to selecting that makes a profit or stop loss most preferably to finish time point,
That is: contribute to during profit selecting most preferably to make a profit time point；Avoid subjectivity to look around during loss, miss the opportunity that most preferably stops loss.
Brief description
Fig. 1 trade decision of the present invention system schematic；
Reference: 1. input module, 2. processing module, 3. trade decision module, 4. client, 5. transaction platform, 2-
1. quantify to select stocks unit, 2-2. air control computing unit, 3-1. trading instruction computing unit, 4-1. command output module.
Specific embodiment
In order that the objects, technical solutions and advantages of the present invention become more apparent, below in conjunction with drawings and Examples, right
The present invention is explained in further detail.It should be appreciated that specific embodiment described herein is used only for explaining the present invention, and
It is not used in the restriction present invention.
On the contrary, the present invention covers any replacement done in the spirit and scope of the present invention being defined by the claims, repaiies
Change, equivalent method and scheme.Further, in order that the public has a better understanding to the present invention, thin to the present invention below
In section description, detailed describe some specific detail sections.Part without these details for a person skilled in the art
Description can also understand the present invention completely.
Embodiment 1
As shown in figure 1, a kind of trade decision system based on air control quantitative model, described trade decision system first passes through
Multiple-factor quantifies model when selecting and is selected stocks, and the stock that the stock that system is selected and client select is carried out by air control model
The real-time quantization assessment of investment risk, by client, whenever and wherever possible, is given in real time and accurately buys in, sells, being only full of, stopping loss
Instruction, and risk status prompting message of holding position in real time.
Described trade decision system includes input module, processing module, trade decision module and client, described client
Including command output module；Described processing module one end connects input module, and the other end connects described trade decision module, described
Trade decision module is connected with the described command output module in client；
Described processing module includes quantization and selects stocks unit and air control computing unit；Described trade decision module includes transaction and refers to
Make computing unit, for producing trading instruction；
Described client receives and shows the trading instruction that described trade decision module produces；And user can pass through institute
State client and provide stock indication signal, described indication signal is transferred into described input module, described indication signal is specially
The stock code information of concrete stock.
Described quantization unit of selecting stocks includes multiple-factor and quantifies model when selecting:
In formula, ziThe comprehensive grading of the multiple-factor equal weight for stock i；K represents the number of efficiency factor, k=5；I is stock
Ticket i；zi,epIndex of selecting stocks for stock i is score value during earnings yield rate ep；zi,bmIndex of selecting stocks for stock i is book city
Value than bm when score value；zi,crIndex of selecting stocks for stock i is score value during cash yield cr；zi,roacFor selecting stocks of stock i
Index changes score value during roac for Return on Assets；zi,pegIndex of selecting stocks for stock i increases ratio for p/e ratio the relative profitability
Score value during rate peg；
Described input module to described multiple-factor quantify select when model in input stock pond in the corresponding profit of each stock i
Earning rate ep, book market value change roac, p/e ratio the relative profitability rate of increase than bm, cash yield cr, Return on Assets
Peg, described quantization select stocks unit when quantifying to select by multiple-factor model calculate the multiple-factor etc. obtaining all stocks in stock pond
The comprehensive grading z of weighti, and the comprehensive grading z according to multiple-factor equal weightiAll stocks in stock pond are ranked up, then
Ranked forward 1-20 props up the stock code information transmission that stock code information and user provided by client to wind
Control computing unit, described air control unit, according to the stock code information being received, is simulated handing over to each accordingly stock
Easily；
Described air control unit includes air control model:
Risk=co t v ra pr
Wherein: co is transaction cost valency；
T is the trend durations after transaction success；
V is the value-at-risk of holding period after transaction success；
Ra is price fluctuation amplitude in holding period after transaction success；
Pr be after transaction success holding period be only full of value；
Described air control unit passes through air control model and is simulated transaction, and after mock trading success, described input module is to institute
State in air control model input transaction cost valency, the trend durations after transaction success, the value-at-risk of holding period after transaction success,
Holding period after transaction success, after price fluctuation amplitude in holding period after transaction success, transaction success holding period be only full of value, conclude the business
Value-at-risk risk.
Described trade decision module includes trading instruction computing unit, for producing trading instruction, particularly as follows: described transaction
Instruction computing unit exchange hour is determined according to value-at-risk risk in air control model, risk be on the occasion of when, then air control model meeting
Follow the tracks of price trend, by calculating holding period price fluctuation amplitude, value pr is only full of in real-time generation, real price triggers and is only full of value
Afterwards, system sends and is only full of instruction it is ensured that transaction obtains reasonable profit；Meanwhile, risk be on the occasion of in the case of, also can be according to throwing
Money person's experience, is sent at any time by client and sells instruction；Risk value is negative value, and price triggering stops loss value, sends and stops loss instruction.
Specify that subjective transaction and the utilization boundary quantifying transaction it may be assumed that in the case of profit, can subjective conclude the business to win optimal benefit；
In the case of loss, strict pressing quantifies decision system execution, it is to avoid fluke mind causes damage expansion.
Described trade decision module input connects air control computing unit described in processing module, described trade decision module
Outfan connects the described command output module in client.
Described input module connects transaction platform, and to obtain described transaction cost valency, the trend after transaction success continues week
Holding period after price fluctuation amplitude in holding period after the value-at-risk of holding period after phase, transaction success, transaction success, transaction success
Only it is full of value, and each stock i corresponding earnings yield rate ep, book market value become than bm, cash yield cr, Return on Assets
Dynamic roac, the data of p/e ratio the relative profitability rate of increase peg；Output module in described client is with Remote Transaction platform even
Connect, Remote Transaction platform can be conveyed to according to the described trading instruction that client receives and be traded.
A kind of trade decision method based on air control quantitative model, methods described is selected stocks in multiple-factor quantization on the basis of model
Select trading object, send trading instruction, under the premise of risk control, trial and error transaction is simulated to described trading instruction, to mistake
By mistake instruction offer stops loss value, forces to close a position, and right instructions is provided and is only full of value, provides quantization transaction or subjective concludes the business.
Methods described specifically includes following steps:
(1) build multiple-factor to quantify to select stocks model:
In formula, ziThe comprehensive grading of the multiple-factor equal weight for stock i；K represents the number of efficiency factor, k=5；I is stock
Ticket i；zi,epIndex of selecting stocks for stock i is score value during earnings yield rate ep；zi,bmIndex of selecting stocks for stock i is book city
Value than bm when score value；zi,crIndex of selecting stocks for stock i is score value during cash yield cr；zi,roacFor selecting stocks of stock i
Index changes score value during roac for Return on Assets；zi,pegIndex of selecting stocks for stock i increases ratio for p/e ratio the relative profitability
Score value during rate peg；
(2) when utilizing the multiple-factor of step (1) framework to quantify to select, model calculates multiple-factor of all stocks etc. in stock pond
The comprehensive grading z of weighti, and the comprehensive grading z according to multiple-factor equal weightiAll stocks are ranked up；
(3) the forward 1-20 that sorts is propped up stock code information and user to believe by the stock code that client is given
Breath send air control computing unit to, described air control unit according to the stock code information being received, to each accordingly stock
Trial and error transaction is simulated by air control model, calculates value-at-risk risk of transaction every time；
Described air control model is: risk=co t v ra pr, and wherein, co is transaction cost valency；T is to conclude the business successfully
Trend durations afterwards；V is the value-at-risk of holding period after transaction success；Ra is price fluctuation width in holding period after transaction success
Degree；Pr be after transaction success holding period be only full of value；As transaction cost valency is 18 yuan, the trend durations after transaction success
For 1 day/cycle, after success of concluding the business, the value-at-risk of holding period was 80%, and in holding period after transaction success, price fluctuation amplitude is upper
State 15.75-22.05 unit, after transaction success, holding period is only full of value in 15.71-18=-2.29 unit and 22.05-18=4.05 unit
In interval, therefore before price is 18 yuans, risk value is negative value, carries out pressure and closes a position, if risk value is on the occasion of providing
Two kinds of selections, can only be full of a transaction it is also possible to judge according to personal experience；
(4) judge risk value, risk value is on the occasion of entrance step (5)；Risk value is negative value, enters step (6)；
(5) quantify transaction, produce and buy in trading instruction, and according to real price be only full of value and send and be only full of instruction；Or
User can be sent at any time by client and sell instruction；
(6) triggering stops loss value, sends and stops loss instruction.
Described output module after having executed transaction, buy in again and obtain information from the transaction platform of far-end by input module,
Circulated with this, the moment allows transaction to be in decision system.
In step (1), multiple-factor quantifies the construction method of model when selecting and specifically includes following steps:
(1) choose efficiency factor, including earnings yield rate (ep), book market value ratio (bm), cash yield (cr), assets
Earning rate changes (roac) and 5 efficiency factors of p/e ratio the relative profitability rate of increase (peg)；
(2) personal share marking: each efficiency factor k is given a mark in personal share, the size according to different factors k will be opened a position
In initial stage stock pond, all stock i are ranked up giving a mark successively so that the score value of personal share stock i is distributed in [0, n] interval, n
Scope be 1-100；The score value of the index k of selecting stocks of stock i is designated as zi,k；Scoring process particularly as follows: standard screening we need
Stock pond, reject combination and build the stock that day trade transaction amount is 0, reject the stock within starting listing date sky, so
Be divided into 100 grades to each index according to its size order afterwards, give a mark respectively for 1 to 100 points (the bigger score value of positive index is higher,
The less score value of negative sense index is higher), obtain the score of personal share each efficiency factor corresponding；
(3) multiple-factor quantifies to select stocks the structure of model: with equal weight method by the score value z of single index of selecting stocksi,kComment
Divide the comprehensive grading z collecting for multiple-factor equal weighti:
In formula, ziThe comprehensive grading of the multiple-factor equal weight for stock i；K represents the number of efficiency factor, k=5；I is stock
Ticket i；zi,epIndex of selecting stocks for stock i is score value during earnings yield rate ep；zi,bmIndex of selecting stocks for stock i is book city
Value than bm when score value；zi,crIndex of selecting stocks for stock i is score value during cash yield cr；zi,roacFor selecting stocks of stock i
Index changes score value during roac for Return on Assets；zi,pegIndex of selecting stocks for stock i increases ratio for p/e ratio the relative profitability
Score value during rate peg.
During system of the present invention solves actual investment, air control stream in system, difficult effectively implementation issue；Solve wind
Dangerous evaluation criteria is indefinite, not unique, and air control opportunity problem is missed in artificial arguement when risk occurs；Described system can also include
Logical journey algorithm, not only reduces " transaction cost " moreover it is possible to reduce " time cost " and " cost at heart "；Described system can solve the problem that mistake
The fault-tolerance of error signal and risk control mandatory, can rationally trial and error, reduce unnecessary transaction cost, little risk is won greatly
Income；Can effectively prevent risk from expanding again, puncture safe baseline；Using mobile interchange client-side technology, man-computer cooperation, solve people
Changeable in mood serious for concluding the business, algorithm Transaction Income is difficult to maximize and " black Swan " event algorithm transaction problem out of control, realizes " machine
The meeting "/real-time assessment of " risk ", navigation, are sent to, unmanned at once, liberate investor, invest convenience, save worry.
Claims (9)
1. a kind of trade decision system based on air control quantitative model is it is characterised in that described trade decision system first passes through
Multiple-factor quantifies model when selecting and is selected stocks, and the stock that the stock that system is selected and client select is carried out by air control model
The quantitative evaluation of risk of holding position in real time, using client, whenever and wherever possible, is given in real time and accurately buys in, sells, being only full of, stopping loss
Instruction and risk status prompting message of holding position in real time.
2. according to claim 1 a kind of trade decision system based on air control quantitative model it is characterised in that described transaction
Decision system includes input module, processing module, trade decision module and client, and described client includes instruction output mould
Block；Described processing module one end connects input module, and the other end connects described trade decision module, described trade decision module with
Described command output module in client connects；
Described processing module includes select stocks when quantization is selected unit and air control computing unit；Described trade decision module includes transaction and refers to
Make computing unit, for producing trading instruction；
Described client receives and shows the trading instruction that described trade decision module produces；And user can pass through described visitor
Family end provides stock indication signal, and described indication signal is transferred into described input module, and described indication signal is specially concrete
The stock code information of stock.
3. according to claim 2 a kind of trade decision system based on air control quantitative model it is characterised in that described quantization
Unit of selecting stocks includes multiple-factor and quantifies model when selecting:
In formula, ziThe comprehensive grading of the multiple-factor equal weight for stock i；K represents the number of efficiency factor, k=5；I is stock i；
zi,epIndex of selecting stocks for stock i is score value during earnings yield rate ep；zi,bmIndex of selecting stocks for stock i is book market value ratio
Score value during bm；zi,crIndex of selecting stocks for stock i is score value during cash yield cr；zi,roacIndex of selecting stocks for stock i
Change score value during roac for Return on Assets；zi,pegIndex of selecting stocks for stock i is p/e ratio the relative profitability rate of increase peg
When score value；
Described input module to described multiple-factor quantify select when model in input stock pond in the corresponding earnings yield of each stock i
Rate ep, book market value change roac, p/e ratio the relative profitability rate of increase peg than bm, cash yield cr, Return on Assets,
Described quantization select stocks unit by multiple-factor quantify select when model calculate obtain stock pond in all stocks multiple-factor equal weight
Comprehensive grading zi, and the comprehensive grading z according to multiple-factor equal weightiAll stocks in stock pond are ranked up, then through row
The forward 1-20 of sequence props up the stock code information transmission that stock code information and user provided by client to air control meter
Calculate unit, described air control unit, according to the stock code information being received, is simulated transaction to each accordingly stock；
Described air control unit includes air control model:
Risk=co t v ra pr
Wherein: co is transaction cost valency；
T is the trend durations after transaction success；
V is the value-at-risk of holding period after transaction success；
Ra is price fluctuation amplitude in holding period after transaction success；
Pr be after transaction success holding period be only full of value；
Described air control unit passes through air control model and is simulated transaction, and after mock trading success, described input module is to described wind
The value-at-risk of holding period, friendship after trend durations after middle input transaction cost valency in control model, transaction success, transaction success
Easily holding period after success, after price fluctuation amplitude in holding period after transaction success, transaction success holding period be only full of value, transaction
Value-at-risk risk.
4. according to claim 3 a kind of trade decision system based on air control quantitative model it is characterised in that described transaction
Decision-making module includes trading instruction computing unit, for producing trading instruction, particularly as follows: described trading instruction computing unit according to
Value-at-risk risk in air control model determines exchange hour, and risk value is on the occasion of entrance quantifies transaction, and generation is bought in transaction and referred to
Order, and according to activity price be only full of the comparative result of value and send and be only full of instruction, and risk be on the occasion of when, user can be led to
Cross client and send at any time and sell instruction；Risk value is negative value, and price triggering stops loss value, sends and stops loss instruction.
5. according to claim 4 a kind of trade decision system based on air control quantitative model it is characterised in that described transaction
Decision-making module input connects air control computing unit described in processing module, and described trade decision module outfan connects client
In described command output module.
6. according to claim 3 a kind of trade decision system based on air control quantitative model it is characterised in that described input
Module connect transaction platform, with obtain described transaction cost valency, transaction success after trend durations, transaction success after hold
After price fluctuation amplitude in holding period after the value-at-risk of phase, transaction success, transaction success, holding period is only full of value, and often personal share
Ticket i corresponding earnings yield rate ep, book market value change roac, p/e ratio relatively than bm, cash yield cr, Return on Assets
The data of profit rate of increase peg；Output module in described client is connected with Remote Transaction platform, can be according to client
The described trading instruction receiving conveys to Remote Transaction platform and is traded.
7. a kind of trade decision method based on air control quantitative model is it is characterised in that methods described is when multiple-factor quantifies to select
Select trading object on the basis of model, under the premise of risk control, trial and error transaction is simulated to described trading instruction, according to wind
Control result, is given and buys in, sells, being only full of, stopping loss instruction, and risk status prompting message of holding position in real time.
8. according to claim 7 a kind of trade decision method based on air control quantitative model it is characterised in that methods described
Specifically include following steps:
(1) build multiple-factor to quantify to select stocks model:
In formula, ziThe comprehensive grading of the multiple-factor equal weight for stock i；K represents the number of efficiency factor, k=5；I is stock i；
zi,epIndex of selecting stocks for stock i is score value during earnings yield rate ep；zi,bmIndex of selecting stocks for stock i is book market value ratio
Score value during bm；zi,crIndex of selecting stocks for stock i is score value during cash yield cr；zi,roacIndex of selecting stocks for stock i
Change score value during roac for Return on Assets；zi,pegIndex of selecting stocks for stock i is p/e ratio the relative profitability rate of increase peg
When score value；
(2) when utilizing the multiple-factor of step (1) framework to quantify to select, model calculates the multiple-factor equal weight of all stocks in stock pond
Comprehensive grading zi, and the comprehensive grading z according to multiple-factor equal weightiAll stocks are ranked up；
(3) the forward 1-20 that sorts is propped up the stock code information biography that stock code information and user are provided by client
Give air control computing unit, described air control unit, according to the stock code information being received, passes through to each accordingly stock
Air control model is simulated trial and error transaction, calculates value-at-risk risk of transaction every time；
Described air control model is: risk=co t v ra pr；
(4) judge risk value, risk value is on the occasion of entrance step (5)；Risk value is negative value, enters step (6)；
(5) quantify transaction, produce and buy in trading instruction, and according to real price be only full of value and send and be only full of instruction；Or user
Can be sent at any time by client and sell instruction；
(6) triggering stops loss value, sends and stops loss instruction.
9. according to claim 7 a kind of trade decision method based on air control quantitative model it is characterised in that step (1)
When middle multiple-factor quantifies to select, the construction method of model specifically includes following steps:
(1) choose efficiency factor, including earnings yield rate (ep), book market value ratio (bm), cash yield (cr), return on assets
Rate changes (roac) and 5 efficiency factors of p/e ratio the relative profitability rate of increase (peg)；
(2) personal share marking: each efficiency factor k is given a mark in personal share, the size according to different factors k will be opened a position the initial stage
In stock pond, all stock i are ranked up giving a mark successively so that the score value of personal share stock i is distributed in [0, n] interval, the model of n
Enclose for 1-100；The score value of the index k of selecting stocks of stock i is designated as zi,k；
(3) multiple-factor quantifies to select stocks the structure of model: with equal weight method by the score value z of single index of selecting stocksi,kScoring converges
It is always the comprehensive grading z of multiple-factor equal weighti:
In formula, ziThe comprehensive grading of the multiple-factor equal weight for stock i；K represents the number of efficiency factor, k=5；I is stock i；
zi,epIndex of selecting stocks for stock i is score value during earnings yield rate ep；zi,bmIndex of selecting stocks for stock i is book market value ratio
Score value during bm；zi,crIndex of selecting stocks for stock i is score value during cash yield cr；zi,roacIndex of selecting stocks for stock i
Change score value during roac for Return on Assets；zi,pegIndex of selecting stocks for stock i is p/e ratio the relative profitability rate of increase peg
When score value.
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