PBO算法在量化交易中的应用——以黄金和比特币的交易策略为例

The Application of the PBO Algorithm in Quantitative Trading—Taking Gold and Bitcoin Trading Strategies as Examples

本文以黄金和比特币交易策略为例,讨论了PBO算法在量化交易中的应用。本文提出了一种基于PBO算法的动态优化算法用以优化交易模型参数。为了测试算法的性能与稳定性,本文介绍了五种基于传统技术分析理论的量化交易预测模型,并展示算法对这些模型参数优化后的结果。结果表明,与全局优化的结果相比,本文所提出的算法在两种资产及五种模型上都具有显著提升,说明算法具有良好的性能与稳定性。

This paper discusses the application of the PBO algorithm in quantitative trading, taking the exam-ples of trading strategies for gold and Bitcoin. A dynamic optimization algorithm based on the PBO algorithm is proposed in this paper to optimize trading model parameters. To test the performance and stability of the algorithm, the paper introduces five quantitative trading prediction models based on traditional technical analysis theory, and the results of optimizing the parameters of these models using the algorithm are presented. The results show that compared with the results of glob-al optimization, the algorithm proposed in this paper has significant improvements in both assets and all five models, indicating that the algorithm has good performance and stability.