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An automatic construction and optimization method for programmed trading strategies

A programmatic transaction and automatic construction technology, applied in program control devices, instruments, finance, etc., can solve the problems of small number of strategies, unverifiable black box signal reliability, and small user selection range, to improve flexibility and reliability. The effect of avoiding the emission of black box signals

Active Publication Date: 2017-06-23
石玉峰
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Problems solved by technology

[0010] 1. Users can only adjust a small number of parameters, and the strategy logic cannot be adjusted. This form does not have the flexibility of strategy development
[0011]2. The number of strategies is usually small, and the range of choices for users is small
[0012]3. The policy logic is a black box for the user, and the reliability of the black box signal cannot be verified

Method used

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  • An automatic construction and optimization method for programmed trading strategies
  • An automatic construction and optimization method for programmed trading strategies

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Embodiment Construction

[0033] In order to enable those skilled in the art to better understand the technical solutions of the present invention, the specific implementation manners of the present invention will be described below in conjunction with the accompanying drawings.

[0034] The embodiment provides a specific implementation scheme of the present invention, that is, a method for automatically constructing and optimizing a programmed trading strategy, see figure 2 , including the following steps:

[0035] A01. Define a set of indicators, including market price, trading volume, mathematical functions, operators, technical indicators, etc. Here are examples:

[0036] Market price: opening price O, highest price H, lowest price L, closing price C;

[0037] Volume: Vol;

[0038] Mathematical functions: maximum value max, minimum value min, average value mean;

[0039] Operators: and, or, >, <;

[0040] Technical indicators: MACD, ATR.

[0041] A02. Randomly select multiple different indica...

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Abstract

The invention discloses a method for automatically constructing and optimizing a programmed trading strategy, which includes the following steps: A. automatically constructing the logic structure of the strategy in batches; B. automatically optimizing the logic structure of the strategy, and the logic structure of the strategy is in the optimization process Change; C. Output the logical structure of the policy as a policy instance. Using the present invention, users can quickly obtain a specified number of strategy source codes without analyzing data and writing codes, and the transaction logic of each strategy is different; on the one hand, the present invention reduces the difficulty and cost of programmatic transaction strategy development, At the same time, the source code of the strategy can be opened to maintain the flexibility of strategy development and avoid the unreliability of black-box signals.

Description

technical field [0001] The present invention relates to the field of programmed transactions, in particular to an automatic construction and optimization method of programmed transaction strategies. Background technique [0002] With the expansion of the financial market, investment methods and means are increasingly diversified. Among them, program trading is gradually playing a huge role due to its strong execution and strict discipline. Programmatic trading is realized by developing trading strategies, which can also be called programmatic trading systems. However, the development of programmatic trading strategies is relatively difficult. The time and labor costs of strategy development and maintenance are the application bottlenecks of programmatic trading. [0003] At present, the function of the existing strategy development aids is usually to integrate common trading models and technical indicators in the market, and output fixed logic trading signals in the form of...

Claims

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Application Information

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Patent Type & Authority Patents(China)
IPC IPC(8): G06F9/44G06Q40/00
Inventor 石玉峰王鑫滕斌
Owner 石玉峰
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