基于C-SVM的期货订单簿量化择时交易策略研究

Research on quantitative timing trading strategy of futures order book based on C-SVM

文章利用机器学习支持向量机算法中的C-SVM模型来对期货进行择时,构建基于C-SVM的期货订单簿择时交易策略模型,以上海黄金期货主力合约订单簿数据,引入交易止损机制进行回测评价,通过与实际真实交易信号对比,可以发现基于该模型预测的择时交易信号准确率较高,从而验证基于C-SVM的期货订单簿量化择时交易策略是有效的,可以辅助决策期货交易,选择合适时机进行期货合约买卖盈利。

This article build futures orders based on C-SVM thin timing trading strategy model,with the Shanghai gold futures contract order data,main introduction evaluating back-test stop-loss trading mechanism,compared with the actual real trading signals,can be found based on the timing trading signal high accuracy of the model,so as to verify the futures orders book based on C-SVM quantitative timing trading strategy is effective,auxiliary decision-making futures trading can,choose appropriate time for buying and selling futures contracts to make a profit.