基于小波包去噪的量价择时策略研究

A Study of Timing Strategy of Volume and Price Based on Wavelet Denoising

资产价格与成交量之间具有一定的相关关系。本文引入了小波包非线性阈值去噪方法以有效消除上证综指量价序列的噪声,去噪后的协整分析表明,月度成交量变动可以解释月度价格变动,依据月度量价关系可以判断市场长期趋势;结合更灵敏的短期均线指标,本文提出了具体的量价择时策略。回测结果表明,小波包去噪对提高策略绩效有显著贡献。

There is a certain correlation between asset prices and volume.This paper eliminates the noise in time series of price and volume of Shanghai Composite Index by using the wavelet nonlinear threshold denoising method,and the denoised co-integration analysis indicates the degree of price changes can be explained on the basis of monthly volume changes,and meanwhile the relation of price volume can determine the long-term trends in the market; combined with more sensitive short-term moving average index,a specific timing strategy based on these indicators is proposed.The back-testing results show that wavelet denoising can improve the performance of the strategy significantly.