Market form-based transaction strategy adaptive adjustment method

Abstract

The invention discloses a market form-based transaction strategy adaptive adjustment method. The method comprises the following steps of setting a logic framework of a transaction strategy; setting aplurality of artificial intelligence models in each logic framework, wherein the artificial intelligence models perform multi-level analysis and training on the input indexes; connecting different artificial intelligence models into a large model combination in a filter mode, screening the input indexes in the model combination, and reserving the input indexes with high significance and low noiseto generate transaction signals; judging a market form, and selecting a logic framework corresponding to the market form; selecting an artificial intelligence model with the best recent performance and good historical long-term stability performance from the logic framework to obtain a transaction strategy; and repeating the operation, and adaptively adjusting the transaction strategy according tothe market form change of each transaction period. The transaction logic can be changed along with the market conditions, the manual intervention is not needed, the labor cost is reduced, and the human errors are avoided.

Description

technical field [0001] The invention relates to an adaptive adjustment method of a trading strategy based on a market form. Background technique [0002] In my country, with the rapid economic development and the exponential growth of state-owned assets and national wealth in the past three decades, China has entered the era of "big asset management" since 2012, of which only the asset management industry's annual average of 2012-16 The compound growth rate is as high as 41%, indicating that the asset management industry has played an increasingly important role in regulating economic operations and optimizing industrial structure. [0003] 2018 is still a year of rapid growth for the asset management industry. According to the "2018 China Asset Management Industry Report: Returning to the Origin and Opening Up, the Era of Big Asset Management Restarts" jointly compiled by China Securities Journal, China Wealth Research Institute, and Star Rock Investment Aviation”, as of Jun...

AI Technical Summary

Problems solved by technology

[0006] (1) The investment method is relatively static, and it is difficult to adapt to the rapidly changing market environment

The investment methods of most asset management institutions are based on fixed principles or ideas, rather than real-time adjustments based on market conditions. When the financial market fluctuates or the market structure changes, the investment methods will perform poorly or even fail;

[0007] (2) The level of risk control is limited, making it difficult to resist systemic risks and avoid non-systematic risks

The asset management industry generally has problems such as lack of risk control personnel, outdated strategies, and imperfect systems. It is greatly impacted by systemic risk events such as black swans and gray rhinos, and the degree of asset portfolio diversification is insufficient, making it vulnerable to industry or target special factors. , leading to a large product drawdown and a low Sharpe rate;

[0008] (3) The homogeneity of a single strategy is serious, making it difficult to create new growth opportunities and avoid the herd effect

In order to solve the problem of static strategies, various attempts have been made in the industry, but generally they are not effective, because the key point is how to keep up with the rhythm of market changes. It is basically impossible to use people to track, because people's Too low efficiency and too much potential for human error

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