基于SVM-Sharpe方法的动量策略在沪深300市场中的应用

The Application of CSI 300 Based on SVM-Sharpe Momentum Strategies

为了提高动量策略的性能,在J/T方法的基础上,提出了新的动量策略并检验我国沪深300市场的有效性,即在C-SVM算法预测股市买点前提下,构造了基于夏普比率方法的动量策略。结果表明,我国股市在短期内存在明显的反转现象,在中长期存在明显的动量现象,这一现象对我国证券市场的发展和沪深300市场投资者具有参考价值。

In order to improve the performance of the momentum strategies and to develop a new criterion of classification based on the Sharpe ratio on the premise of using C-SVM algorithm predict stock market point of purchase. Experiments show that,CSI 300 market has an obvious reverse effect in short term and it exists momentum effect in medium and long term. And it gives some operational suggestions on the development of China＇s stock market and investors＇ investments in Shanghai and Shenzhen 300 market.