基于趋势追踪的量化交易策略研究

Research on Quantitative Trading Strategy based on Trend Tracking

量化交易是目前国际金融市场的主流交易方式,趋势追踪在量化交易模型中所占的比例最大,收益率也较为可观。本文基于对趋势追踪MA、MACD、stoch三种指标的研究,以stoch指标为核心,并在算法中加入部分MA与MACD指标建立交易模型,并将该模型编写成基于MT4交易平台上运行的交易程序。在历史数据模拟复盘的五年时间内,年复收益达到了17.74%。

Quantitative trading is the current international financial mainstream market transactions, and the trend of tracking for quantitative trading model in the largest proportion, yield is also more impressive. After got a determined method based on MA, MACD and stoch, this trade model is based on the stoch while some MA and MACD＇s algorithm advantages were taken in this model. At the same time, the use of MT4 platform replay simulation analysis to determine the feasibility of the model of the program model, and in the historical data simulation of complex five years, compound annual yield reached 17.74%.