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Stock index futures quantitative transaction strategy optimization method based on pivot breakthrough and a genetic algorithm

A genetic algorithm and optimization method technology, applied in the field of trading strategies, can solve the problems of quantitative trading system losses, low returns, and zero returns, and achieve the effects of improving debugging speed and operating speed, strengthening risk control, and effectively opening positions

Pending Publication Date: 2019-03-26
GUANGDONG UNIV OF PETROCHEMICAL TECH
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Problems solved by technology

However, this method has not been paid attention to because the market fluctuations are small and the returns are not high. It was not until the launch of my country's stock index futures that it gradually entered the research field of people.
If the two reversal prices of buying and selling are too close, it will cause another opposite strategy to be executed immediately after the strategy is executed, which will have a serious adverse effect on our transaction, and the profit will be almost zero
In addition, due to cognitive biases in research and development concepts and implementation technologies, in many quantitative trading strategies, the processing of signals such as false breakthroughs, such as when the price breaks through the reverse selling price, if it is immediately opened for short selling , but the price does not stand firm but rises in the next minute, which may cause serious losses to the quantitative trading system

Method used

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  • Stock index futures quantitative transaction strategy optimization method based on pivot breakthrough and a genetic algorithm
  • Stock index futures quantitative transaction strategy optimization method based on pivot breakthrough and a genetic algorithm
  • Stock index futures quantitative transaction strategy optimization method based on pivot breakthrough and a genetic algorithm

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Embodiment 1

[0030] Embodiment 1, the present invention uses the one-minute data of CSI 300 stock index futures from 2011.01.01 to 2013.12.31 as sample data.

[0031] Such as figure 1 As shown, a brand-new stock index futures quantitative trading strategy based on pivot breakthrough and genetic algorithm, first establishes the pivot breakthrough strategy, such as figure 2 As shown, the described pivot breakout strategy includes the following steps:

[0032] Step 1. Implement a trend-following strategy:

[0033] (1) In the case of a short position, if the intraday price exceeds the buying breakthrough price, it is considered that there is an upward trend, and you open a long position;

[0034] (2) In the case of a short position, if the intraday price falls below the selling breakthrough price, it is considered that there is a downward trend and a short position is opened.

[0035] Step 2. Implement a reversal trend strategy:

[0036] (3) After the intraday highest price exceeds the up...

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Abstract

The invention discloses a stock index futures quantitative transaction strategy optimization method based on pivot breakthrough and a genetic algorithm. On the basis of a pivot breakthrough strategy,a secondary trend breakthrough point of an original strategy is removed, a secondary trend pressure line is constructed, a secondary trend strategy is added, a new transaction strategy is constructed,and parameters are optimized in the new transaction strategy by using a genetic algorithm, so that the operation speed and accuracy of quantitative transaction are improved. The invention aims to provide timely, accurate, comprehensive and effective transaction information for investors by improving a transaction strategy, enhancing risk control, providing a loss stop value for an error instruction and forcing the interference of leveling and passivating false opening signals.

Description

technical field [0001] The invention relates to an optimization method of a stock index futures quantitative trading strategy based on a pivot breakthrough and a genetic algorithm, and belongs to the technical field of trading strategies. Background technique [0002] Quantitative investment, originated in the 1950s and 1960s, is the use of quantitative investment methods of mathematics, statistics, and information technology to manage investment portfolios. Quantitative investors collect and analyze a large amount of data, rely on the powerful information processing capabilities of the computer system, use advanced mathematical models to replace human subjective judgments, and use computer programs to capture investment opportunities in the entire market and put them into practice, overcoming investor mood swings The impact of the investment greatly increases the stability of investment, avoiding irrational investment decisions due to extreme fanaticism or pessimism in the ...

Claims

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Application Information

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IPC IPC(8): G06Q40/06G06Q40/04G06N3/12
CPCG06Q40/06G06N3/126G06Q40/04
Inventor 吴淦洲杨恩园
Owner GUANGDONG UNIV OF PETROCHEMICAL TECH
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