A method of automatically generating a transaction policy over a time series
A time-series, automatic generation technology, applied in the field of financial technology, can solve a large number of labor costs and other problems, achieve the effect of reducing workload and improving research efficiency
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Embodiment 1
[0045] Such as figure 1 , this embodiment provides a mechanism for automatically generating a time series-based trading strategy based on machine learning:
[0046] (1) Establish a factor library and determine the use of a neural network model.
[0047] (2) Given that the target is the one-hour line of the Shanghai Composite Index, first randomly select 5 factors X from the factor library 1,1, , X 1,2 , X 1,3 , X 1,4 , X 1,5, which are MA (real, time period), head and shoulders pattern (open, high, low, close), MA (real, time period), price change rate (close), ATR (high, low, close, time period). After the factor is instantiated, it is MA (close, timeperiod=5), head and shoulders pattern (open, high, low, close), MA (open, timeperiod=10), price change rate (close), ATR (high, low, close, timeperiod=8); Randomly select a prediction target factor Y 1 is SharpeRatio(close, timeperiod). After instantiation, it is SharpeRatio(close, timeperiod=4).
[0048] MA factor: real...
Embodiment 2
[0077] Such as image 3 , this embodiment provides a mechanism for automatically generating a rule-based trading strategy on time series:
[0078] (1) Establish factor library.
[0079] (2) Given the one-hour line of the Shanghai Composite Index, first randomly select 5 factors X from the factor library 1,1, , X 1,2 , X 1,3 , X 1,4 , X 1,5 , which are MA (real, time period), head and shoulders pattern (open, high, low, close), MA (real, time period), price change rate (close), ATR (high, low, close, time period). After the factor is instantiated, it is MA (close, timeperiod=5), head and shoulders pattern (open, high, low, close), MA (open, timeperiod=10), price change rate (close), ATR (high, low, close, timeperiod=8).
[0080] MA factor: real is an unspecified vector, which can randomly take values such as open, high, low, close, volume, amount, etc. timeperiod is an unspecified scalar of int type, so an int value is taken randomly. The output value of the MA facto...
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