基于Zigzag的K线趋势拐点识别算法设计与实现

Design and Implementation of the K-line Trend Inflection Point Recognition Algorithm Based on Zigzag

使用Zigzag指标预测期货价格的走势是构造期货程序化交易系统中K线特征趋势算法交易模型的关键技术之一。针对期货程序化交易系统中Zigzag指标函数的实际开发需要,提出了一种基于Zigzag的K线趋势中的高点、低点和拐点的识别算法。为了提高K线特征趋势交易模型的收益率,借助该算法对特定的期货时间序列进行K线模式识别,并对其Zigzag的深度、偏差和后退等参数进行优化。实验结果表明:该算法识别精度高,稳定性好,能很好地满足期货程序化交易系统的K线趋势拐点快速识别的需要。

Applying Zigzag index to predict the trend of futures prices is one of the concerns of building algorithm trading model for K-line trend features in future program trading system.According to the actual development of Zigzag index function in a futures program trading system, the recognition algorithm of the high, low and inflection points for K-line trend based on Zigzag is proposed.In order to improve the return rate on the K-line trend trading model, the above algorithm in specific K-line pattern recognition of futures time series is employed, and the deep, deviation and back parameters of Zigzag are optimized.The experimental results show that the algorithm with high identification accuracy and good stability can meet the needs of rapid recognition of K-line trend inflection point in the futures program trading system.