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The invention discloses an aAccurate back test and evaluation system and method for a stocksecurities market quantitative investment strategy

A technology for evaluating systems and strategies, applied in instruments, finance, data processing applications, etc., can solve problems such as huge differences in expected effects and low accuracy of historical data, and achieve the effect of enhancing accuracy

Inactive Publication Date: 2019-04-12
厦门依实信息科技有限公司
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  • Summary
  • Abstract
  • Description
  • Claims
  • Application Information

AI Technical Summary

Problems solved by technology

However, in the past, the accuracy based on the historical data of securities transactions was not high. Most of the historical backtests were based on the statistical results of historical data to fit the programmed trading strategy models.

Method used

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  • The invention discloses an aAccurate back test and evaluation system and method for a stocksecurities market quantitative investment strategy

Examples

Experimental program
Comparison scheme
Effect test

Embodiment 1

[0083] The calculation of market deviation is illustrated with an example:

[0084] The strategy initiates a buy order for 20 lots of futures product A at a price of 50 yuan (0.5 yuan slippage). At this time, the opponent's order data shows that there are 100 lots with an average price of 50.15 yuan on the time slice at that time. Then in the backtest, the transaction will be confirmed with 50.5 yuan and 20 lots, and the result will be returned. At the same time, the impact value of this transaction on the market deviation of futures product A will be calculated as 20%. If until after the market closes, the main buying turnover is greater than the main selling turnover during the rest of the day, and the ratio between the two is 1.25, then the market deviation caused by the transaction as of the closing is 20%*1.25=25%; On the contrary, if until after the close of the market, the ratio between the transaction volume of the main buyer and the main seller during the rest of the ...

Embodiment 2

[0086] Examples of two-way verification of simulated / real transaction data:

[0087] A simulated real-time trading strategy whose influence on market deviation is always maintained between 0.001% and 0.0025%. In the past week, it was found that the deviation between the number of varieties held by it and the number of varieties held in the real offer process exceeded 5 varieties. At this time It was determined that the strategy failed in the short term. After analysis, it was found that the selection model of the initial product pool was deviated due to changes in the market capital wind direction. Although the trading product automatically selected by the strategy was verified to be effective in the simulated market, the market itself has corrected the real trading behavior. operate. At this time, it is necessary to readjust the product selection module in the strategy model, retest the historical data, and reload it into the simulated transaction after verifying the valid re...

Embodiment 3

[0089] For 5 million funds invested in the futures market, through historical backtesting from 2010 to 2017, the average deviation impact value of each pen is 0.0025%, and the cumulative impact is 0.038%. Reached 10.7179 million. The cumulative impact of deviation is still within 0.5% of the effective range, and the strategy is allowed to continue to be implemented.

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Abstract

The invention discloses an accurate back test and evaluation system and method for a stock market quantitative investment strategy, and the system employs an accurate data processing model to processhistorical data and real-time data of a transaction market, and provides an objective data basis for accurate back test and accurate evaluation. The accurate backtesting system is used for backtracking the transaction strategy to specific fixed-point quantitative information of the hand plate when the transaction strategy is buyed or opened at any time point, so as to accurately judge whether thetransaction behavior of the transaction strategy is effective or not; T; the effectiveness of the quantitative investment strategy on the transaction behavior of the specific transaction object is accurately judged; t; the risk-to-benefit ratio of the combined investment strategy can be obtained; V; various key indexes which are most concerned by investors, such as the robustness of investment income, t, the maximum risk value and the like, are accurately and reasonably evaluated, a powerful decision basis is provided for the real-disk application of a quantitative strategy / combined strategy,and meanwhile, t, the system is also a scientific evaluation system necessary for the continuous research and development of the strategy.

Description

technical field [0001] The invention relates to the technical field of securities trading, in particular to an accurate backtesting method for securities quantitative investment trading strategies and a system for accurately evaluating the effectiveness and risk of the quantitative strategies. Background technique [0002] Since the 1950s, a large number of scholars have studied the relationship between asset risk and return rate in the securities market. Markowitz's (Markowitz, 1952) portfolio theory laid the cornerstone of the research on the relationship between risk and return, and led to the development of modern capital market theory. Based on the portfolio theory, Sharp (1964), Lintner (Lintner, 1965) and Mossin (Jan Mossin, 1966) proposed the CAMP capital asset pricing model, which selects different portfolios according to market trend predictions to avoid market risks , get higher income. With the development of the securities market, Ross (Ross, 1976) proposed th...

Claims

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Application Information

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Patent Type & Authority Applications(China)
IPC IPC(8): G06Q40/06G06Q40/04
CPCG06Q40/04G06Q40/06
Inventor 许忠伟杨钒
Owner 厦门依实信息科技有限公司
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