程序化交易系统的检测与优化体系

The Testing and Optimization System of Program Trading

随着国内金融市场的不断发展与完善,程序化交易变得越来越受关注。目前国内大多数程序化交易者并没有建立起一个完备的检测与优化体系,采取的测试方式大多为简单的历史数据回溯测试,这容易导致对历史数据曲线的过度拟合。论文构造出一个较完整的程序化交易系统的检测与优化体系,依次分为六个步骤:设计交易策略,交易策略程式化,验证性检测,交易系统最优化,推进的样本外测试,实战交易。通过此体系可以分析交易模型的风险与收益水平及策略的稳定性,并得出健全的交易策略需具备的特点:获利相对均匀分布、具有相对稳定的盈亏次数比率、具有连续且平滑的最优化参数集、适应不同类型的市场且风险可控。

With the continuous development of the domestic financial market, program trading has received more and more attention. At present, most domestic program traders have not established a complete system of testing and optimization. Most of them just uses the method of backtesting instead, which can easily lead to excessive of historical data curve overfitting, but the overfitting is not equal to optimization. This paper innovative constructed a relatively complete system, including six process, design trading strategy, strategy programming, preliminary testing, optimiza- tion,step-forward analysis, trading. Through this system we can get the degree of the risk of trading model and the stability of strategy, as well as the key element of the sound trading strate- gy, relatively uniform distribution of profit, relatively stable ratio of the times of gains and losses, a group of continuous and smooth optimal parameters set, adaptability in different types of markets and the risk can be controlled.