| The key to quantitative investment was trading strategy.Trading strategy was the major source of investment returns.In addition to trading strategies,quantitative investment models also included risk control models,transaction cost models,and portfolio models.In this thesis,the analysis and optimization of the model mainly aimed at the trading strategy model.The trading strategy model is mainly composed of the transaction targets,the timing of the transactions,the number of transactions,and the timing of exit transactions.Quantitative trading achieved trading strategies through quantitative means,quantitative analysis of the target value to determine what to trade,quantitative analysis of price trends to determine trading opportunities,quantitative analysis of risk volatility to determine the number of transactions,quantitative analysis of stop-profit or stop-loss conditions to determine the timing of exit.This thesis studied the quantitative aspects of the trading strategy,hoping to provide a framework to accommodate the optimization of different aspects of strategy.It is also hoped that through the application of strategy optimization,better returns will be obtained.This thesis built a quantitative strategy analysis system on the basis of data collection,data governance,data analysis,data visualization and other functions by modeling the strategy trading process.In order to achieve better return quality,we optimized several aspects of the strategy,including portfolio,timing of entry,position management,timing of stop-profit,timing of stop-loss.In order to measure the result of model optimization,analysis indicators were constructed to evaluate the revenue quality.Analysis indicators include profitability,risk-reward ratio and size of trading loss.There were many quantitative investment targets,stocks,futures,etc.can be used as trading targets.This thesis took stocks as the investment targets.First of all,a transaction analysis system based on trading strategy is implemented in engineering.On the basis of the historical stock trading data,used the program to retrospect historical data for conducting transaction testing and recording the transaction process.Then,by optimizing the composition method of the stock pool from the judgment of the P/E ratio to the judgment of the financial score,the investment portfolio is improved.By optimizing the 10-day moving average signal to the Bolling Middle Line signal,the trend entry point judgment is improved.Improve the position management by optimizing the fixed increase method to the average true volatility increase method.By optimizing touch-line take-profit and touch-line stop-loss to track take-profit and track stop-loss,improve the exit judgment of positions.Finally,compare the investment results of the two strategy configurations and analyze them.Result analytical indicators were mainly designed as annualized return,Sharpe ratio and maximum drawdown.The annualized return reflects the return,and the Sharpe ratio reflects the return on the risk taken,or maximizes the return when exposed to fixed risks.The maximum drawdown reflects the maximum value of the decline in earnings at the lowest point of the net value. |
