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Quantitative transaction strategy generating method, device, equipment and storage medium

A technology for generating equipment and strategies, applied in the field of financial investment, can solve problems such as difficulty in adapting to market changes, low efficiency, time-consuming and labor-intensive strategies, etc., to achieve the effects of improving generation efficiency, reducing workload, and reducing backtesting calculation time

Inactive Publication Date: 2018-03-13
上海宽全智能科技有限公司
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  • Summary
  • Abstract
  • Description
  • Claims
  • Application Information

AI Technical Summary

Problems solved by technology

[0005] Most of the existing quantitative trading strategies are written and generated by financial engineers, and the method of identifying good or bad strategies by backtesting historical data, the strategies generated by this method are time-consuming and labor-intensive, and most of them are invalid strategies
Another method is to test the validity of factors by defining multiple factors, and then manually inspect the validity of the discriminant factors. This method also requires experienced personnel, which is inefficient and difficult to apply to market changes.

Method used

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  • Quantitative transaction strategy generating method, device, equipment and storage medium
  • Quantitative transaction strategy generating method, device, equipment and storage medium
  • Quantitative transaction strategy generating method, device, equipment and storage medium

Examples

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Embodiment 1

[0035] The present invention provides a method for generating quantitative trading strategies, which is applicable to the generation of quantitative trading strategies in financial related fields, including but not limited to the generation of strategies for stocks, funds, futures and other financial derivatives. Defined by policy engineers and automatically generated. Taking stock strategy generation as an example, specifically, such as figure 1 As shown, include:

[0036] The factor clustering step 101 is to define the quantitative trading stock strategy factors. The stock sector strategy factors include fundamental factors, macro factors and technical factors. The above factors can be defined according to investors’ preferences, and the factors can be divided into N1 factors, N2 timing factors, N3 signal generation factors, N4 order control factors, N5 risk control factors, and N6 fund management factors are not limited thereto. For different financial products, the facto...

Embodiment 2

[0055] The present invention also provides a quantitative trading strategy generating device, which is suitable for residing in quantitative trading strategy generating equipment, such as figure 2 As shown, the device includes the following modules:

[0056] The factor clustering module 201 is configured to define factors related to quantitative trading financial strategies, and cluster the factors as defined.

[0057] Define the stock strategy factors for quantitative trading. The stock field strategy factors include fundamental factors, macro factors and technical factors. The above factors can be defined according to investors’ preferences, and the factors can be divided into N1 stock selection factors, stock selection factors N2 time factors, N3 signal generation factors, N4 order control factors, N5 risk control factors, and N6 fund management factors are not limited thereto. For different financial products, the factor clustering method is adjusted according to the act...

Embodiment 3

[0079] The present invention also provides a quantitative trading strategy generation device, including: one or more processors; memory; and one or more programs, wherein one or more programs are stored in the memory and configured to be executed by one or more The processor executes, and the one or more programs include instructions for executing any method in the quantitative trading strategy generation method.

[0080] In this embodiment, the device for generating quantitative trading strategies can be implemented in many general-purpose or special-purpose computer system environments or configurations such as personal computers, server computers, handheld devices or portable devices, tablet devices, multi-processor systems, including any of the above systems Or the distributed computer environment of the equipment, etc.

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PUM

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Abstract

The present invention provides a quantitative transaction strategy generation method, device, equipment and storage medium, wherein the method includes the following steps: factor clustering: defining factors related to the quantitative transaction financial strategy, and clustering the factors according to the definition; factor selection : Carry out single-factor optimization backtest on similar factors, and select the above-mentioned factors; Generate primary strategies: Arrange and combine the above-mentioned factors to generate multiple primary strategies; Quantitative backtest and optimization: Import historical data, use optimization algorithms to The multiple primary strategies are back-tested to generate back-test results, wherein the back-test results include individual scores and comprehensive scores; strategy selection: sort the backtest results of multiple strategies, and select the best comprehensive score according to user needs Or a strategy with a higher individual score. The invention automatically generates a better quantitative strategy, and the strategy engineer develops and improves it on the basis of this, which greatly reduces the workload of the engineer writing the strategy, improves work efficiency, and allows the strategy to be implemented quickly.

Description

technical field [0001] The present invention relates to the field of financial investment, in particular to a method, device, device and storage medium for generating a quantitative strategy for financial investment. technical background [0002] With the continuous popularization of financial management concepts, more and more investment and financial products have emerged as the times require. Financial products such as funds, bonds, stocks, and insurance have gradually matured in the financial market. Investment and financial management are no longer the monopoly of the rich. Ordinary people have also changed their traditional concept of financial management, instead of just choosing to deposit funds in banks. [0003] But for ordinary people, especially those without economic and financial background, they often feel overwhelmed by the complicated investment and wealth management products, so they can only follow the trend blindly. In addition, when buying financial pro...

Claims

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Application Information

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IPC IPC(8): G06Q40/06
CPCG06Q40/06
Inventor 李贵
Owner 上海宽全智能科技有限公司
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