Strategy Algorithmic Trading Stock Online Theory

Algorithmic trading has been considered as an important form of transaction in financial market, more than70%trading volumes were ordered using algorithmic trading by investors among developed countries in Europe and the United States. Started form2010, algorithmic trading had a great boom in2011, there had been more than20fond companies using algorithmic trading in2012in our country. Trading strategy is a key problem in the use of algorithmic trading. The profit and loss of investors are directly determined by the quality of trading strategy. The changing price variance in financial market can be quickly caught by a good algorithmic trading strategy which will do help to making scientific and reasonable trading decision increasing investors’profits while improving the operational efficiency in financial market.The online theory is used to study multi-stock algorithmic trading strategy in the paper.First,the current situation of algorithmic trading is analyzed,the main theory of algorithmic trading construction and algorithmic trading strategy which has come into wide use are expounded.Second,the stock selecting strategy is put forwarded, the methods of DEA and TEP index are used to select the stock.Third,the online theory is used to construct single stock algorithmic trading strategy which is proved to be the optimal online strategy later.Then multi-stock algorithmic trading strategy is designed and the investment portfolio is determined by weighting every stock yield with applying single stock trading strategy into multi-stock trading strategy.Finally,the stock picked out on the basic of the stock selecting strategy are used to test and verify the validity of the multi-stock algorithmic trading strategy mentioned in this paper according to the historical data of the selected stock.The results show that stock selecting strategy designed in the paper is proved to have a good effect, and the stock numbers of average rate of return which is greater than zero are65.All of the selected multiple stock have good profits which are relative stable according to the designed strategy. The times of income which is more than initial capital are68, and the maximum variance of income is0.006while the minimum variance is2.38E-05in the100tests.Ten even length is selected for test and the result implies the average profit will reach its maximum when the transaction cycle is eighteen and the average rate of profit is3.9%.So it shows that the results of the strategy accord with reality,a good situation in stock market is more important than selecting good stock and using good algorithmic trading strategy.This paper mainly studies the multi-stock algorithmic trading strategy. Providing theory basis and reality guiding for investors in process of using the algorithmic trading based on online theory is the most important purpose of this paper.