Method and device for generating quantitative trading strategy based on multi-objective optimization, and storage medium

A multi-objective optimization and multi-objective technology, applied in the field of quantitative trading strategy generation method and device, equipment and storage medium based on multi-objective optimization, can solve the problems of undisclosed target factor optimization, low efficiency, and difficulty in adapting to market changes, etc. To achieve the effect of reducing the number of strategies and the corresponding backtesting running time, reducing the burden

Inactive Publication Date: 2018-03-23
上海宽全智能科技有限公司
View PDF0 Cites 11 Cited by
  • Summary
  • Abstract
  • Description
  • Claims
  • Application Information

AI Technical Summary

Problems solved by technology

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 facto

Method used

the structure of the environmentally friendly knitted fabric provided by the present invention; figure 2 Flow chart of the yarn wrapping machine for environmentally friendly knitted fabrics and storage devices; image 3 Is the parameter map of the yarn covering machine
View more

Image

Smart Image Click on the blue labels to locate them in the text.
Viewing Examples
Smart Image
  • Method and device for generating quantitative trading strategy based on multi-objective optimization, and storage medium
  • Method and device for generating quantitative trading strategy based on multi-objective optimization, and storage medium
  • Method and device for generating quantitative trading strategy based on multi-objective optimization, and storage medium

Examples

Experimental program
Comparison scheme
Effect test

no. 1 example

[0039] figure 1 It shows the first embodiment of the present invention, a flow of a quantitative trading strategy generation method based on multi-objective optimization, including the following steps:

[0040] Step 101, determine the target factor generated by the strategy, and the target factor is a financial attribute parameter.

[0041] The target factors generated by the strategy determined by the user are selected according to the user's investment preferences, and the target factors participating in the strategy generation can include one or more. Specifically, the factors are financial attribute parameters, including but not limited to yield curve, alpha yield, beta yield, Sharpe ratio, yield drawdown ratio, maximum drawdown, profit-loss ratio, consecutive loss cycles, and consecutive profit cycles.

[0042] Step 102, scoring each target factor on the interval sample, and standardizing the score so that the score of the interval sample is in the interval defined by th...

Embodiment 2

[0057] Corresponding to the method provided in Embodiment 1 of the method for generating a quantitative trading strategy based on multi-objective optimization in the present invention, see figure 2 , the present invention also provides a second embodiment of a quantitative trading strategy generation system based on multi-objective optimization. In this implementation, the system includes:

[0058] The selection module 201 is configured to determine a target factor for strategy generation, where the target factor is a financial attribute parameter.

[0059] The target factors generated by the strategy determined by the user are selected according to the user's investment preferences, and the target factors participating in the strategy generation can include one or more. Specifically, the factors are financial attribute parameters, including but not limited to yield curve, alpha yield, beta yield, Sharpe ratio, yield drawdown ratio, maximum drawdown, profit-loss ratio, consec...

Embodiment 3

[0077] The present invention also provides a quantitative trading strategy generation device based on multi-objective optimization, which includes: one or more processors, memory, and one or more programs, wherein the one or more programs are stored in the memory And configured to be executed by the one or more processors, the one or more programs include instructions for executing any method in the above embodiment of the method for generating a quantitative trading strategy based on multi-objective optimization.

the structure of the environmentally friendly knitted fabric provided by the present invention; figure 2 Flow chart of the yarn wrapping machine for environmentally friendly knitted fabrics and storage devices; image 3 Is the parameter map of the yarn covering machine
Login to view more

PUM

No PUM Login to view more

Abstract

The present invention provides a quantitative trading strategy generation method based on multi-objective optimization, a device, a device, and a storage medium. The method includes: selecting target factors generated by the strategy; scoring each target factor on interval samples, and standardizing the scores , so that the score of the interval sample is in the defined interval; form the objective function, the objective function is composed of the objective factor and its corresponding weight, and the weight includes multiple groups; use the primary strategy to backtest the objective function, and generate the backtest result; select the expected Generate multiple groups of multi-objective weights based on the backtest results; select weights and adjust them according to investor preferences, and output optimal strategies. The present invention selects multi-target factors to form a quantitative strategy according to investor preferences, and further optimizes the strategy according to the preference weight among multiple groups of weights, so as to better reflect investors' investment preferences; evaluate the backtest results of the strategy by selecting a high score of a single target factor , reducing the number of strategies and the corresponding backtest running time, reducing the burden on system resources.

Description

technical field [0001] The data processing field of the present invention, in particular, relates to a quantitative trading strategy generation method, device, device and storage medium based on multi-objective optimization in the field of financial data processing. 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 tren...

Claims

the structure of the environmentally friendly knitted fabric provided by the present invention; figure 2 Flow chart of the yarn wrapping machine for environmentally friendly knitted fabrics and storage devices; image 3 Is the parameter map of the yarn covering machine
Login to view more

Application Information

Patent Timeline
no application Login to view more
IPC IPC(8): G06Q40/04G06Q40/06G06Q10/06
CPCG06Q40/04G06Q10/0637G06Q40/06
Inventor 李贵
Owner 上海宽全智能科技有限公司
Who we serve
  • R&D Engineer
  • R&D Manager
  • IP Professional
Why Eureka
  • Industry Leading Data Capabilities
  • Powerful AI technology
  • Patent DNA Extraction
Social media
Try Eureka
PatSnap group products

Browse by: Latest US Patents, China's latest patents, Technical Efficacy Thesaurus, Application Domain, Technology Topic.

© 2024 PatSnap. All rights reserved.Legal|Privacy policy|Modern Slavery Act Transparency Statement|Sitemap