基于PE-局部最优算法在基金智能定投领域的研究

Research on Intelligent Investment of FundsBased on PE-Local Optimal Algorithm

通过对上海证券交易所股票价格综合指数市盈率(简称:上证市盈率,PE)进行分析和研究,提出一种基于PE的局部最优定时不定额投资算法,并选取6支基金进行数值实验,其中包括3支股票型基金、股票型平均指数、混合型平均指数和沪深300指数.实验结果表明本文算法在基金购买份数比、年化收益率以及最大回撤等指标上的表现均优于普通定投算法.

By analyzing and studying the PE of Shanghai Stock Exchange,this article puts forward a local optimal timing irregular investment algorithm based on PE,and selects 6 funds for numerical experiments,including 3 stock funds,stock average index,mixed average index and Shanghai-Shenzhen 300 index.The results show that,this proposed algorithm is better than the traditional automatic investment algorithm in fund purchase share ratio,annualized yield and maximum pullback.