發(fā)布時間：2018-04-20 09:25

  本文選題：量化投資 + 交易策略�。� 參考：《天津大學(xué)》2013年碩士論文

【摘要】：量化投資在海外的發(fā)展已有三四十年的歷史，其投資業(yè)績穩(wěn)定，市場規(guī)模和份額不斷擴大，得到了越來越多的投資者的認可。特別是最近十年，量化投資在海外得到了飛速發(fā)展，以西蒙斯為代表的頂尖級量化投資大師利用量化投資策略和方法創(chuàng)造了一個又一個神話。國外量化投資基金數(shù)量的增長已經(jīng)逐漸超過了傳統(tǒng)投資基金。 然而，，國內(nèi)的量化投資領(lǐng)域還處于發(fā)展起步階段，量化投資占金融投資的比重不超過5%。隨著2010年4月股指期貨的出臺，量化投資在國內(nèi)市場的發(fā)展?jié)摿χ饾u顯現(xiàn)，各大券商和機構(gòu)投資者紛紛對量化交易展開深度研究。量化投資基金近兩年在國內(nèi)的再度火熱，使得部分量化基金的業(yè)績處于領(lǐng)先地位，為廣大國內(nèi)投資者帶來了更多更豐富的投資產(chǎn)品選擇。 本文從實際出發(fā)，針對量化投資的基本概念、發(fā)展現(xiàn)狀、投資平臺、交易策略等方面，進行了較為全面的闡述及分析。并根據(jù)當前研究的需要，自行開發(fā)搭建了量化投資平臺，以便靈活方便地支持量化投資策略的模擬分析。在此基礎(chǔ)上，基于滬深300股指期貨市場的歷史數(shù)據(jù)，本文使用量化投資方法對趨勢跟蹤投資交易策略進行了深入的分析和研究。趨勢跟蹤交易策略主要是借助技術(shù)指標分析行情趨勢方向，本文重點針對移動均線(MA)、平滑異動移動平均線(MACD)、平均線差(DMA)、三重指數(shù)平滑平均線(TRIX)四種指標的趨勢策略進行優(yōu)化、分析及對比。通過模擬檢驗，使用趨勢跟蹤交易策略，投資者可以在滬深300股指期貨市場獲得良好的收益率。本文設(shè)計的量化投資平臺具有一定的實用價值，可以為股指期貨投資提供參考意見。
[Abstract]:Quantitative investment has a history of 30 to 40 years abroad, its investment performance is stable, the market size and share is expanding, and more and more investors recognize it. Especially in the last ten years, the quantitative investment has developed rapidly overseas, and Simmons, represented by Simmons, has created one myth after another by using the strategy and method of quantitative investment. The number of foreign quantitative investment funds has gradually exceeded the growth of traditional investment funds. However, the domestic quantitative investment field is still in the initial stage of development, the proportion of quantitative investment in financial investment does not exceed 5%. With the introduction of stock index futures in April 2010, the potential of quantitative investment in the domestic market gradually appears, and various securities companies and institutional investors have launched in-depth research on quantitative trading. Quantitative investment funds in the past two years in the domestic hot again, the performance of some quantitative funds in the leading position, for the majority of domestic investors to bring more and more rich investment products options. In this paper, the basic concept, development status, investment platform and trading strategy of quantitative investment are expounded and analyzed comprehensively from the point of view of reality. According to the needs of current research, a quantitative investment platform is developed and built in order to support the simulation and analysis of quantitative investment strategy flexibly and conveniently. On this basis, based on the historical data of Shanghai and Shenzhen 300 stock index futures market, this paper makes a deep analysis and research on the trend tracking investment trading strategy by using quantitative investment method. The trend tracking trading strategy is mainly based on technical indicators to analyze the trend direction of the market. This paper focuses on the optimization of the trend strategies of four indicators, namely, moving average, smooth moving moving average, average line difference, triplex index smoothing average line TRIX, etc. Analysis and comparison. Through simulation test, using trend tracking trading strategy, investors can obtain good yield in Shanghai and Shenzhen 300 stock index futures market. The quantitative investment platform designed in this paper has certain practical value and can provide reference for stock index futures investment.
【學(xué)位授予單位】：天津大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F224;F832.51

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本文編號：1777200