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

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...

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 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.

[0005] The current investment strategy is constructed from the target factors selected by investors, but there is no technical literature on further optimization of the target factors in the prior art

Images