CN109615531A - Securities market quantifies precisely returning for investment tactics and surveys and assessment system and method - Google Patents
Securities market quantifies precisely returning for investment tactics and surveys and assessment system and method Download PDFInfo
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Abstract
The invention discloses a kind of precisely returning for securities market quantization investment tactics to survey and assessment system and method, system uses the historical data and real time data of precision data processing model treatment exchange quotation, provides objective data basis for precisely time survey and accurate evaluation；Precisely return examining system and trading strategies traced back into the dealing of any point-in-time/open when closing a position to the information of the specific site-directed quantitative of setting stick, with accurately determine trading strategies trading activity it is effective whether；Determine quantization investment tactics on the basis of the validity of the trading activity of particular transactions target accurate, can every key index for most being paid close attention to than investors such as steady degree, the maximum risk values of, investment return of risk income to combined investment tactics give precisely reasonable assessment, it is used for quantization strategy/combined strategy firm offer and strong decision-making foundation is provided, meanwhile the system is also scientific evaluation system necessary to tactful lasting research and development.
Description
Technical field
The present invention relates to securities trading technical fields, and in particular to a kind of precisely time survey of security quantization investment deal strategy
Method and the system that accurate evaluation is made to the validity and risk of quantization strategy.
Background technique
Since the last century 50's, a large amount of scholars study the relationship of asset risk and earning rate in securities market.Horse
The portfolio theory of Ke Weici (Markowitz, 1952) has established the foundation stone of risk and return relationship research, and results in existing
For the development of capital market theory.Based on the portfolio theory, Sharp (Sharp, 1964), Lin Tena (Lintner, 1965)
CAMP capital asset pricing model is proposed with Mo Xin (Jan Mossin, 1966), and different cards is selected according to general trend of market development prediction
Certificate combination is to evade the market risk, obtain compared with high yield.With the development of securities market, Ross (Ross, 1976) proposes APT set
Sharp Option Pricing, Mo Dun (Merton, 1973) propose OPT option pricing theory.These theoretical models are in portfolio performance, card
The fields such as certificate appraisal, investment securities become landmark investment model, are widely applied.However, these classical models
And later Bu Lideng (Breeden, 1979), Lyons Nome (Reinganum, 1981), the south Chen Lang etc. (2000), Jin Yun remittance etc.
(2001) it all concentrates in the research to investment portfolio risk, is seldom related to the risk investigation of trading strategies；Joseph Conrad and
Cauer (Conrad and Kaul, 1998) has studied trading strategies, but in terms of the risk assessment without specifically studying trading strategies.It throws
There are certain differences for the risk of money combined risk and trading strategies: the former belongs to investment target selection strategy scope, and
The latter belongs to the trading strategies scope of operating level；The risk for investing target itself has uncontrollability, and operation strategy is often
It can be by means such as " being only full of " or " stopping loss " come effective controlled investment target itself bring risk.
Although current some theories attempt the reason of disclosing securities market complex behavior, and predict the following row of investment target
For, but the progress of this respect is still very slowly or even most of successful investors are it also holds that the complicated market behavior is
It is uncertain.Ba Feite said, his never prediction markets, and also nobody being capable of prediction markets.When people summarize these investments
When person invests successful reason, it is found that the control of their often exactissima diligentia investment risks, although they also take much count of to throwing
The selection of target is provided, but never makes firm expection to market.This explanation, the complicated market behavior is still that the mankind do not solve so far
Mystery, and effect of the risk investigation of the trading strategies including risk control and risk assessment during actual investment is past
Toward the risk investigation for being important to investment combination or investment target itself, that is, whether logic is clear for the formulation process of trading strategies
It is clear and whether the selection much more significant of scientific and effective specific investment combined strategy.
Due to the formulation of trading strategies and the objective reality of historical trading data, it is believed that the income invested each time
Rate is often controllable, therefore history is returned to survey and always verified repeatedly to pursue the constant return of investment.But it is based in the past
The precision of securities trading historical data is not high, most of history return survey based on historical data statistical result fit come program
Change trading strategies model, it is often huge with desired effect difference after being applied to firm bargain.
Summary of the invention
The object of the present invention is to provide one kind to promote verifying accuracy to that can quantify investment tactics, finds fitting problems, hair
Precisely the returning for securities market quantization investment tactics that existing extreme risk market very unwise move omits validity is surveyed and assessment system and method.
In order to solve the problems existing in background technology, the present invention adopts the following technical scheme: a kind of securities market amount
The accurate of change investment tactics returns survey and assessment system, it includes that precision data handles model, site-directed quantitative precisely returns examining system, certainly
Dynamicization strategy can back forecasting model and simulation/firm bargain data double-way verify model, wherein at the precision data
Reason model precisely returns examining system with the site-directed quantitative and connect, exchange quotation data is handled for precision, at present quotation data
Reason provides data basis precisely to return to survey；
The site-directed quantitative precisely return examining system and the automation strategy can back forecasting model connect, for according to opponent
Disk information fixed-point quantitatively carries out strategy/decision and precisely determines；
The automation strategy can back forecasting model and the simulation/firm bargain data double-way verifying model connect, use
It arbitrarily can the progress high-precision history time survey of quantitative model trading strategies in selection；
The simulation/firm bargain data double-way verifying model is used to carry out two-way test to mock trading effect and firm offer result
Card and contrast simulation transaction data and firm offer data are to obtain final accuracy conclusion.
Survey and appraisal procedure are precisely returned the present invention also provides a kind of securities market quantization investment tactics, it includes as follows
Step:
(1) it is purchased first from the data supplier of futures company, securities broker company and third party's securities market or cooperates to obtain
Transaction data interface and disk data-interface；For previous historical disk face data, tick data are obtained by way of buying；
For the real-time and following disk data, supplier data is transferred by interface and lands the K of storage and weighted calculation different minutes
Line market data are (for forward market transaction for the resulting index market of specific kind contract weighted calculation, stock is personal share
Market), the buying signals for strategy, which calculate, to be used；
(2) it is returned by setting history and surveys time range, load needs to carry out history and returns test card, or implements the automatic of simplation verification
Change trading strategies, once in the selected kind pond of tactful discovery system certain species buying signals, system initiates committee to the back-end
Support instruction, rear end obtains the tick grade disk data within the scope of the set time of historical events node at that time, and (futures are specific product
The contract market of kind, stock is individual company share quotations), and comparison is done data to setting stick disk mouth data and is brought together；
It is resulting general by specific contract weighted average calculation according to range of goods index for the trend type strategy of forward market
Including property and nontransaction target feature take Commodity Index to judge benchmark as signal, and using main force's contract of historical time as friendship
Easy target；
For the in a few days tactful of forward market, the weight limit of each contract is main force's contract under more same range of goods, and right
Main force's contract switching special screne decides before trend access as signal and judge benchmark, and finally using main force's contract at that time as friendship
Easy target；
(3) if trading activity is within irrelevance constraint, it is determined as consignment trade success, while returns to transaction results and being somebody's turn to do
Irrelevance influence value of the transaction to disk；
(4) tactful each is struck a bargain all by more or less to market formation impact, calculates market irrelevance numerical value；It is cumulative
Deviation influence value after each conclusion of the business finally show that strategy influences the whole departure of market fund；Deviateing, which influences result, gets over
Big strategy, validity is poorer, and the precision of the strategy is smaller；For all strategies for entering simulation firm bargain, daily
It generates transaction and deviates inventory, illustrate that every transaction influences the deviation of market conditions；
(5) the effective investment strategy that is calculated is derived according to historical data and simulation, can with firm bargain result data into
Row is mutually authenticated, and show whether the investment tactics is effective and does respective handling.
By adopting the above technical scheme, the invention has the following advantages:
1, it supports any one time point in securities trading history, starts strategy and carry out simulation investment, according to market at that time
Market and transaction data, the investment results of authentication policy combination；
2, verified by final firm offer, by any one can quantify the accuracy of investment tactics (by historical data verify) from
Current 60%-70% is promoted to 95% or more, reinforces the precision of backtest results；
3, it avoids trading as caused by model of fit and mislead, accuracy of the discovery strategy model under extreme risk market is inclined
Difference.
Detailed description of the invention
In order to more clearly explain the embodiment of the invention or the technical proposal in the existing technology, to embodiment or will show below
There is attached drawing needed in technical description to be briefly described, it should be apparent that, the accompanying drawings in the following description is only this
Some embodiments of invention for those of ordinary skill in the art without creative efforts, can be with
It obtains other drawings based on these drawings.
Fig. 1 is the flow chart of a specific embodiment of the invention.
Specific embodiment
In order to make the objectives, technical solutions, and advantages of the present invention clearer, below in conjunction with attached drawing and specific implementation
Mode, the present invention will be described in further detail.It should be appreciated that the specific embodiments described herein are only to explain this
Invention, is not intended to limit the present invention.
Referring to Fig. 1, in multiple embodiments of the application, precisely the returning of a kind of securities market quantization investment tactics survey with
Assessment system, its system include that precision data processing model, site-directed quantitative precisely return examining system, automation strategy can recall and test
Model of a syndrome and simulation/firm bargain data double-way verify model.Precision data processing model and site-directed quantitative precisely go back to survey system
System connection, and for accurate processing exchange quotation data, present quotation data processing provides data basis precisely to return to survey.Fixed point
Quantitative accurate return examining system with automation strategy can back forecasting model connect, be used for according to opponent's disk information fixed-point quantify into
Row strategy/decision precisely determines.Automating strategy can back forecasting model and simulation/firm bargain data double-way verifying model company
Connect, for select arbitrarily can quantitative model trading strategies carry out high-precision history return survey.Simulation/firm bargain data double-way verifying
Model be used to carry out mock trading effect and firm offer result bi-directional verification and contrast simulation transaction data and firm offer data with
Obtain final accuracy conclusion.
In addition, precisely returning survey and appraisal procedure the present invention also provides securities market quantization investment tactics, it includes such as
Lower step:
(1) it is purchased first from the data supplier of futures company, securities broker company and third party's securities market or cooperates to obtain
Transaction data interface and disk data-interface；For previous historical disk face data, tick data are obtained by way of buying；
For the real-time and following disk data, supplier data is transferred by interface and lands storage, and weighted calculation different minutes are (such as
1 minute, 5 minutes, 15 minutes, 30 minutes, 60 minutes etc.) K line market data, for strategy buying signals calculate use；
(2) it is returned by setting history and surveys time range, load needs to carry out history and returns test card, or implements the automatic of simplation verification
Change trading strategies, once in the selected kind pond of tactful discovery system certain species buying signals, system initiates committee to the back-end
Support instruction, rear end obtains the tick grade disk data within the scope of the set time of historical events node at that time, and compares to setting stick
Disk mouth data are done data and are brought together；
(3) if trading activity is within irrelevance constraint, it is determined as consignment trade success, while returns to transaction results and being somebody's turn to do
Irrelevance influence value of the transaction to disk；
(4) each tactful conclusion of the business will all form impact to market, calculate market irrelevance numerical value；Add up each conclusion of the business
Deviation influence value afterwards finally show that strategy influences the whole departure of market fund；And all simulation/firm offers that enter are handed over
Easy strategy generates transaction daily and deviates inventory；
(5) the effective investment strategy being calculated is derived according to historical data and simulation, carries out phase with firm bargain result data
Mutually verifying show whether the investment tactics is effective and does respective handling.
In one embodiment, irrelevance numerical value in market initiates specific kind+price+transaction to return survey/mock trading
Amount compares the disk of the particular transactions target kind at that time to setting stick mouth data, show that this exchange hand valence is to ought be constantly at that time
Between on piece exchange hand valence ratio, and to five grades at that time/ten grades ratios to setting stick disk amount valence, cause as when transaction
The end value of market deviation market.
Next, carrying out specific detailed description to details of the invention.
The specific embodiment of the application is when precision handles exchange quotation data, according to the otherness and difference in market itself
Data channel is divided into forward market and stock market by the regulatory requirements of marketing behavior, and with the data of forward market at
Reason process description is illustrated:
One, forward market:
The real-time slice of data of 1.1 disks: being subject to tick grades of stepped transactions/commission detail, mainly uses exchange, futures company
CTP interface obtain transaction details data in history/disk of futures contract, by key message item therein: for example each shelves strike a bargain
Valence, trading volume, present price, accumulative exchange hand, the amount of money, the accumulative amount of holding position etc. are extracted and are successively stored.Simultaneously by adding
Weight average calculates chain index tick points of details of futures kind.Chain index tick data are used for plan for subsequent synthesis
Slightly encode the K line number evidence of each time cycle of calculation；About tick data be used for return survey/mock trading during commission at
Friendship valence, amount are done and bring calculation together to setting stick Pan Kou, finally obtain the irrelevance influence value after this entrusts conclusion of the business to disk.
In 1.2 disks/disk after period K line number evidence: based on the real-time slice of data of disk, calculating divides period K line number according to (example
Such as 1 minute, 5 minutes, 15 minutes, 30 minutes) and land.Wherein key message item includes, such as starts, deadline
Point, exchange hand, turnover, time started price, deadline price etc..Chain index period K line number evidence is mainly used for certainly
The coding of dynamicization trading strategies calculates；Kind contract period K line number is according to the problem of being mainly used for data calibration discovery.
Two, data cleansing after disk: due to the network of data channel interface or data supplier, algorithm, flow and other reasons,
Simultaneously there is also the stability difference of the factors such as our network, equipment, algorithm, flow, causes us to obtain and land storage
Each rank transaction data, there is a situation where, and problem that this data inconsistent inconsistent with objective reality, it is likely that lead
It causes back survey/simplation verification effect that can not estimate deviation, the data handling procedure after disk is needed to do the deviation data in disk
Two processing below:
Market data calibration in 2.1 days:
Tick points of details after obtaining the disk of 3 data sources first, with wherein any 2 or more tick of same time point point
The knock-down price numerical value of record (slice of data of the forward temporal difference within 300 milliseconds is defined as notes record of same time point point)
Point notes record that deviation is within 1%, accumulative conclusion of the business numerical quantity deviation is within the 1% of upper transaction daily turnover is as dividing pen to have
Tick data are imitated, for ineffective time point minute tick data, 3 same time points point notes record is subjected to knock-down price, is struck a bargain
The weighted average of amount obtains completely new tick data, replaces original problem data.Tick grades of data cleansings are completed.
After the completion of tick grades of data cleansings, the K line number evidence of different cycles is calculated and generated again, with the data generated in disk
Difference check and correction is carried out, deviation, then replace K line number evidence with newly-generated resulting in if it exists.Cycle stage data cleansing is divided to complete.
2.2 mock trading data calibrations:
Divide after the completion of cycle stage data cleansing, if the data replacement more than 0.5% record number occurs for the same day, needs to be somebody's turn to do all
The mock trading record completed under period carries out rollback calculation.
Market caused by exchange hour, quantitative error or time, quantity is error free but trading activity is found if resulting in
Bias ratio is changed more than 2%, then calculates same day mock trading process again, while generating and issuing " mock trading discrepancy report ".
Three, real time data timeliness: in addition to above post-processing mechanism, while safeguard in advance below is added, entirely
Power promotes the measure of precision of transaction data processing.
Four, technology guarantees: carrying out technical guarantee from following level.
4.1, physical layer: data switching exchane is built by trustship mode in the physical location closest to exchange, is used for
Ensure that exchange exports the data stabilization of this level-one；Biography of the data from interchanger to data processing centre is realized by VPN private network
Defeated stabilization.
4.2, high availability server and high-performance I O storage media implementation data processing data processing level: are used.
4.3, the exploitation of data processing level computer language level: is carried out based on compiled language using C++.
Five, channel guarantees: the promptly and accurately property of data processing, such as access Hang Seng UFX are ensured using multiplexer channel mode
Interface, ten thousand obtain real-time WSI interface, futures company's CTP interface etc. data-interface.
Six, extreme scenes are handled: carrying out the data processing after including interim interruption and restoring for various extreme scenes.
6.1, interim to interrupt: to be interrupted including the unstable caused market of data-interface, special extreme market lower interface data
Interruption under the interruption of market caused by handling capacity is insufficient and other all abnormal scenes, does interruption and caches and stop data
Processing, recovery is handled again after waiting data access to stablize.
6.2, restore post-processing: after the interruption ends, needing to reacquire and calibrate the historical data during interrupting, and
It calculates the automated transaction strategy during interrupting again according to trading strategies, and then supplements the transaction movement during interrupting, until
Current run time point or closing quotation time point.
It is precisely right when present embodiment quantitatively carries out strategy/decision according to opponent's disk information fixed-point and precisely determines
Setting stick face data: it in data analysis layer, has been completed point tick data processing of history and present quotation, calculate and deposit
It stores up, in data record at this time, several gears commission price and commission quantity including more empty both sides, and at that time in timeslice
Knock-down price, amount data.So having been able to complete substantially to any historical time point, more empty both sides' transaction data in disk
Effectively reproduction.
One, pinpoint back survey: based on above precisely to setting stick data, initiation can be put at any time by returning survey person/mimic
Transaction pinpoints back survey, this time survey behavior can be the buying signals generated based on automation investment tactics, be also possible to based on people
The buying signals of work decision.System transfers to rear end to carry out transaction data time survey/simulation calculus after receiving buying signals.
Two, quantitative return is surveyed: based on above precisely to setting stick data, the can arbitrarily be completed by returning survey person/mimic
It on the market of one step precise information processing and kind, initiates quantitative return and surveys, this time survey behavior can be based on automation investment plan
The buying signals slightly generated are also possible to the buying signals based on manual decision.System receive buying signals after transfer to rear end into
Row transaction data returns survey/simulation calculus.
Three, market irrelevance caused by trading: specific kind+price+trading volume is initiated to return survey/mock trading, is compared
The particular transactions target kind (being specific contract in futures, be personal share in stock, be specific fund kind in fund) at that time
Disk show that this exchange hand valence is to the exchange hand valence ratio in timeslice at that time at that time to setting stick mouth data, and at that time
Five grades/ten grades ratios to setting stick disk amount valence, as the end value for leading to deviation market in market when transaction.
Four, dynamic irrelevance calculates: it will be enlarged by or reduce the principle that transaction deviates based on market subsequent transaction behavior itself,
Dynamic divergence indicator is defined first, is then divided to back the Computing Principle surveyed and illustrate dynamic deviation with two kinds of scenes of simulation.
4.1 dynamics deviate: either more empty any directions define after initiating exchange hour point within the same day or when several
Between opposite direction in range and equidirectional active order concluded price, activity data as reversed/in the same direction force data,
If the reversed strength in subsequent period of time is greater than strength in the same direction, market irrelevance caused by trading activity reduces；If after opposite
Reversed strength in the continuous period is greater than strength in the same direction, then market irrelevance caused by trading activity expands.It is specific to reduce and expand
The big illustration calculated in the visible preferred forms of standard.
4.2 return survey scene for history: after trade variety closing quotation, confirming that this strikes a bargain after transaction occurs first and leading
The final market irrelevance of cause.
4.3 for simulating firm offer scene: by each 15 minutes in the time point limited in advance, such as each time bracket
After the completion of market after several seconds, the dynamic deviation value of the time cycle is calculated, until confirming that this strikes a bargain causes after same day closing quotation
Final market irrelevance.
Five, when transaction precision: on the basis of the definition of market irrelevance, further calculating out precision caused by deviation and lack
It loses, in principle, market irrelevance caused by trading activity is bigger, and the final market irrelevance after closing quotation is bigger, then the transaction
Precision is smaller.
Six, survey/mock trading precision is returned: by all market irrelevances when transaction returned in survey/simulated time section
Weight temporal calculates, and show that automation investment tactics or manual decision's trading activity are real-time in particular historical environment/simulation
Transaction precision in environment, the low automation strategy/manual decision of precision, it is possible to determine that be invalidation policy/decision.
Seven, precision alert: for extreme invalidation policy, alarm precise value can be defined, to lower than the value strategy/certainly
Plan is precisely alerted, and then influences continuing to use for investment decision.
Present embodiment may be selected arbitrarily can quantitative model trading strategies carry out high-precision history and return to survey, be competent at any
The method that strategy can return survey are as follows:
1, can quantitative model trading strategies: it is all can be with the investment deal strategy of accurate description, can be by clearly step by step
Variable-definition carries out quantificational description, and ultimately forms the language codes that computer programming language is capable of compilation run.Such friendship
Easy policy definition is that can quantify to form the security market investment strategy of computer model.
2, strategy returns survey process: defined herein a whole set of can quantify the basic judgment criteria that trading strategies model includes.
2.1, trade variety pond can quantify: the selection rule of trade market and trade variety can quantitative evaluation, such as futures
Using the amount of holding position 35 kinds in the top as benchmark, control of holding position is the 80% of kind pond quantity in market.The quantization of kind pond can
A kind of model as basic side quantization exists.
2.2, buying signals can quantify: flat to wear ten on certain disk signal, such as index or the per day line of target five
Equal line is as buy signal judgment criteria；Five average daily lines are worn as the judgement mark of sale signal using under index or the average daily line of target ten
It is quasi-.The quantization of buying signals can be calculated and be exported by disk or basic side standardized data.
2.3, transaction is initiated to quantify: after buying signals generation, the initiation of trading activity must match with current fund
Than requiring and position in storehouse risk control requirement is adapted, the objective enforceable basic demand of quantization strategy be to fund utilization rate and
Effective management of financial risks degree.
2.4, deviate constraint in market caused by trading: increasing market caused by trading and deviate constraint, it can more objectively
The validity for assessing trading strategies, deviates the trading activity of constraint beyond certain market and strategy is not rationally effective investment
Strategy.
2.5, index and its output only transaction results: are required as a result, a trading strategies as constraint by deviateing
Recruitment evaluation be just regarded as quantifiable.
Present embodiment mock trading effect and firm offer result carry out the implementation method of bi-directional verification are as follows:
One, it verifies benchmark: from the angle of firm offer result, difference being carried out to mock trading effect and is objectively evaluated, is a kind of industry
The basic judge mode in boundary, by a series of definition before, it is effective to can be used as a strategy for the quantized result of this judge
Property objectively evaluates index.Meanwhile it standing and maintaining to stablize always in a history validity and almost the same mock trading institute is right
The angle for the investment tactics answered sees the variation of firm bargain result data difference, once firm offer comparison mimic panel generation is larger partially
Difference then can naturally reflect that market is changing to a tactful objective environment, and this variation is basic
It is irreversible, and variation tendency once being formed, it is possible to determine that the strategy enters invalidation period, and system or administrator is needed to be based on city
Field environmental change adjustable strategies combination.Specific verification process includes two aspects:
1.1 simplation verifications based on firm bargain: using the daily transaction results of firm offer strategy as objective standard, after assessing mimic panel
The difference for kind, quantity, the price and firm offer result of holding position, same day variance data is as an evaluation index；Several period rear molds
The difference of quasi- disk is in no manual intervention to the close degree of firm offer result as another evaluation index.As judgement
The effective objective basis of mock trading.
The 1.2 firm offer verifyings based on mock trading: under the premise of mock trading efficiency index keeps basicly stable, to reality
Kind of holding position, quantity, the price of disk result compare the difference of mock trading result, once this reversed objective indicator accelerates
Variation, then be judged as strategy fails, needs to be iterated update in itself to strategy combination and strategy at this time, effective to find the time
Property more preferably quantifies investment tactics.
2, it firm offer data source: to realize objectively evaluating for the above strategy, needs to extract benchmark by following two mode
Data are compared.
L system docking data (in disk): for example forward market can pass through CTP interface data acquisition.
The artificial Interworking Data of l (after disk): other than system-level automatic data acquisition, artificial data typing is also supported
Mode transaction data in disk is safeguarded.
The principle of the present invention are as follows: the landing of (a) real-time transaction data becomes history opponent disk information data, by precisely returning
Examining system carries out the backtracking of the scene in any historical trading period；(b) trading activity is gradually calculated to city by mock trading
Irrelevance caused by the market of field influences；(c) final transaction precision is obtained by the calculation of dynamic irrelevance；(d) accurate backtest results
It is output in analog simulation transaction tracking module, is compared with firm bargain result and exports comparison result.
The present invention is able to ascend verifying accuracy, finds fitting problems, extreme market risk verifying；Reinforce backtest results
Precision；It avoids trading as caused by model of fit and mislead；Accuracy of the discovery strategy model under extreme risk market is inclined
Difference.
Embodiment one:
The calculated example of market irrelevance illustrates:
Strategy initiates one to futures kind A, and 20 hands are checked on 50 yuan of prices (0.5 yuan of sliding point), at this time to setting stick Pan Kou number
According in display at that time timeslice, there are the conclusions of the business that average price is 50.15 yuan of total 100 hands.Then by the pen strike a bargain return survey in will be with
50.5 yuan, 20 hand quantity, which strike a bargain, to be confirmed and returns the result, while being calculated this and being struck a bargain on the influence of the market irrelevance of futures kind A
Value is 20%.If until in the remaining time section on the same day, master buys transaction value and sells transaction value greater than main, and the two ratio is closed after closing quotation
System is 1.25, then the market irrelevance caused by the pen of closing strikes a bargain is 20%*1.25=25%；On the contrary, if until closing quotation after,
In the remaining time section on the same day, main buy sells transaction value, proportionate relationship 0.85, then by the city caused by pen conclusion of the business that closes with main
Field irrelevance is 20%*0.85=17%.(scene is equally effective to stock market investment target)
Embodiment two:
Simulation/firm bargain data double-way verifying for example:
One market irrelevance influences to maintain the simulation real-time deal strategy between 0.001%-0.0025% always, in the past one
It in week, finds the kind number that it is held and the kind number deviation that firm offer process is held is more than 5 kinds, be determined as that strategy is short at this time
Phase failure finds to cause the preference pattern in initial kind pond deviation occur, strategy is certainly because fund wind direction in market changes through analysis
Although the trade variety of dynamic selection is verified effectively in mimic panel, market itself rectifies a deviation to firm bargain behavior
Operation.It needs to readjust the variety selection module in Policy model at this time, returns survey historical data again, and effective in verifying
As a result it under, reloads into mock trading, for instructing the firm offer of forthcoming generations to operate.
Embodiment three:
For 5,000,000, the fund of forward market is invested in, is returned and is surveyed by the history of 2010-2017, obtained pen and deviate influence
Value is 0.0025%, adds up to influence after 0.038%, access simulation real-time deal, which has reached
1071.79 ten thousand.Accumulative to deviate influence still within effective range 0.5%, strategy allows to continue to execute.
For 50,000,000 fund, 20,000,000 futures investments are decomposed into, 30,000,000 equity investments pass through 2011-2017
History return and survey, obtain pen to deviate influence value being 0.00019%, add up to influence 0.27%, after access simulation real-time deal, be somebody's turn to do
Tactical management capital scale has reached 89,000,000.Although accumulative deviate influence within effective range 0.3%, continue to operate,
It is likely within half a year beyond effectively deviation range.Need to reanalyse market conditions, again the capital scale of planning strategy,
It is loaded into the tactful mould group that liquidates in strategy combination, continues to execute.Or part fund is recalled, new strategy combination of fissioning out.
For the fund more than 1,000,000,000, after continuous operations in 3 years, asset size reaches 1,800,000,000 or more at present, and runs
All policies combination substantially met market deviation the effective range upper limit, can suggest at this time capital management side to money manage
Product is shared out bonus in advance, while increasing the tactful R&D intensity of mechanism, kind market scope.Form new investment tactics combination
(such as being expanded to compound market from single market), and then expand the managerial ability of scale fund.
The embodiment uses modeling language for C++ and Python.
It is obvious to a person skilled in the art that invention is not limited to the details of the above exemplary embodiments, Er Qie
In the case where without departing substantially from spirit or essential attributes of the invention, the present invention can be realized in other specific forms.Therefore, no matter
From the point of view of which point, the present embodiments are to be considered as illustrative and not restrictive, and the scope of the present invention is by appended power
Benefit requires rather than above description limits, it is intended that all by what is fallen within the meaning and scope of the equivalent elements of the claims
Variation is included within the present invention.
In addition, it should be understood that although this specification is described in terms of embodiments, but not each embodiment is only wrapped
Containing an independent technical solution, this description of the specification is merely for the sake of clarity, and those skilled in the art should
It considers the specification as a whole, the technical solutions in the various embodiments may also be suitably combined, forms those skilled in the art
The other embodiments being understood that.
Claims (7)
1. a kind of securities market quantization investment tactics precisely returns survey and assessment system, which is characterized in that it includes precision data
Processing model, site-directed quantitative precisely return examining system, automation strategy can back forecasting model and simulation/firm bargain data
Bi-directional verification model, wherein
The precision data processing model precisely returns examining system with the site-directed quantitative and connect, for accurate processing exchange quotation
Data, present quotation data processing provide data basis precisely to return to survey；
The site-directed quantitative precisely return examining system and the automation strategy can back forecasting model connect, for according to opponent
Disk information fixed-point quantitatively carries out strategy/decision and precisely determines；
The automation strategy can back forecasting model and the simulation/firm bargain data double-way verifying model connect, use
It arbitrarily can the progress high-precision history time survey of quantitative model trading strategies in selection；
The simulation/firm bargain data double-way verifying model is used to carry out two-way test to mock trading effect and firm offer result
Card and contrast simulation transaction data and firm offer data are to obtain final accuracy conclusion.
2. a kind of securities market quantization investment tactics according to claim 1 precisely returns survey and assessment system, feature
It is, when the precision data processing model precision handles exchange quotation data, according to the otherness and difference in market itself
Data channel is divided into forward market and stock market by the regulatory requirements of marketing behavior.
3. a kind of securities market quantization investment tactics according to claim 2 precisely returns survey and assessment system, feature
Be, when the described precision data processing model precision processing exchange quotation data, be added physical layer, data processing level and
Computer language level carries out technical guarantee；Post-processing mechanism is added in data handling procedure after disk, and based in disk
Deviation data do the two-way calibrations of in a few days market data and mock trading data respectively.
4. a kind of securities market quantization investment tactics according to claim 1 precisely returns survey and assessment system, feature
It is, the site-directed quantitative precisely returns examining system and quantitatively carries out plan according to opponent's disk information fixed-point of history any point-in-time
When summary/decision precisely determines, accurate opponent's disk data: in data analysis layer, point of history and present quotation is had been completed
Tick data processing, calculation and storage, in data record at this time, several gears commission price and committee including more empty both sides
Quantity is held in the palm, and the knock-down price in timeslice, amount data at that time, futures are with specific kind and about tick and weighted average calculation
Resulting index tick, stock is with personal share tick.
5. a kind of securities market quantization investment tactics precisely returns survey and appraisal procedure, which is characterized in that it is comprised the following steps:
(1) it is purchased first from the data supplier of futures company, securities broker company and third party's securities market or cooperates to obtain
Transaction data interface and disk data-interface；For previous historical disk face data, tick data are obtained by way of buying；
For the real-time and following disk data, supplier data is transferred by interface and lands storage, and the K of weighted calculation different minutes
Line market data, the buying signals for strategy, which calculate, to be used；
(2) it is returned by setting history and surveys time range, load needs to carry out history and returns test card, or implements the automatic of simplation verification
Change trading strategies, once in the selected kind pond of tactful discovery system certain species buying signals, system initiates committee to the back-end
Support instruction, rear end obtains the tick grade disk data within the scope of the set time of historical events node at that time, and compares to setting stick
Disk mouth data are done data and are brought together；
(3) if trading activity is within irrelevance constraint, it is determined as consignment trade success, while returns to transaction results and being somebody's turn to do
Irrelevance influence value of the transaction to disk；
(4) each tactful conclusion of the business will all form impact to market, calculate market irrelevance numerical value；Add up each conclusion of the business
Deviation influence value afterwards finally show that strategy influences the whole departure of market fund；And all simulation/firm offers that enter are handed over
Easy strategy generates transaction daily and deviates inventory；
(5) the effective investment strategy being calculated is derived according to historical data and simulation, carries out phase with firm bargain result data
Mutually verifying show whether the investment tactics is effective and does respective handling.
6. a kind of securities market quantization investment tactics according to claim 5 precisely returns survey and appraisal procedure, feature
It is, the market irrelevance numerical value initiates specific kind+price+trading volume to return survey/mock trading, compares the tool at that time
The disk of body Object of Transaction kind show that this exchange hand valence is to the exchange hand valence in timeslice at that time at that time to setting stick mouth data
Ratio, and to five grades at that time/ten grades ratios to setting stick disk amount valence, as the knot for leading to deviation market in market when transaction
Fruit value.
7. a kind of securities market quantization investment tactics according to claim 5 precisely returns survey and appraisal procedure, feature
It is, described being mutually authenticated includes:
Simplation verification based on the firm bargain: using the daily transaction results of firm offer strategy as objective standard, mimic panel is assessed
The difference for kind, quantity, the price and firm offer result of holding position afterwards, same day variance data is as an evaluation index；After several periods
The difference of mimic panel in no manual intervention to the close degree of firm offer result as another evaluation index, as sentencing
Determine the objective basis of mock trading effectiveness；
Firm offer verifying based on the mock trading: when mock trading efficiency index keeps basicly stable, to firm offer result
Kind, quantity, the price of holding position compare the difference of mock trading result, once this reversed objective indicator occurs to accelerate variation, then
It is judged as strategy fails, needs to be iterated update in itself to strategy combination and strategy at this time, it is more excellent to find available time
Quantization investment tactics.
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