期货程序化交易策略研发-毕业论文（设计）.doc

浙江大学硕士学位论文 STYLEREF 标题,章标题(无序号) \* MERGEFORMAT Abstract PAGE i 期货程序化交易策略研发 摘要 期货程序化交易起源于欧美国家，随着计算机技术的发展，程序化交易得到了快速的发展。程序化交易主要通过阿拉法模型、交易成本模型和风险控制模型三个模型构成，通过对历史数据的分析寻找阿拉法策略，通过多策略组合实现能够收益稳定回撤可控的程序化策略组。本文主要是通过对程序化交易各个环节的特点进行剖析，实现通过数量模型就能稳定盈利的方法。 关键词：　阿拉法模型，交易成本模型，风险控制模型，数据，多策略组合 浙江大学硕士学位论文 Abstract 浙江大学硕士学位论文 Abstract PAGE ii PAGE ii Abstract Futures program trading originated in Europe and the United States, with the development of computer technology, program trading has been rapid development. Program trading is mainly constituted by alpha model, transaction cost model and risk control model of three model, by finding the Alpha strategy for the analysis of historical data, the combination of strategies can yield stable retracement controllable program strategy group. This paper is mainly through the analysis of characteristics of every part of the transaction on the program, through the method of quantitative model can stable profit. Key Words：　Alpha model, Transaction cost model, Risk control model, Data, Multiple strategies 浙江大学硕士学位论文 STYLEREF 章标题(不加入目录内) \* MERGEFORMAT 目录 浙江大学硕士学位论文 STYLEREF 章标题(不加入目录内) \* MERGEFORMAT 目录 PAGE IV PAGE IV 目录 TOC \o 1-3 \h \z \u HYPERLINK \l _Toc354669112 摘要 PAGEREF _Toc354669112 \h i HYPERLINK \l _Toc354669113 Abstract PAGEREF _Toc354669113 \h ii HYPERLINK \l _Toc354669114 图目录 PAGEREF _Toc354669114 \h IV HYPERLINK \l _Toc354669115 第1章 绪论 PAGEREF _Toc354669115 \h 1 HYPERLINK \l _Toc354669116 1.1 课题背景 PAGEREF _Toc354669116 \h 1 HYPERLINK \l _Toc354669117 1.2 国内外状况 PAGEREF _Toc354669117 \h 1 HYPERLINK \l _Toc354669118 1.2.1 程序化交易的国外发展状况 PAGEREF _Toc354669118 \h 1 HYPERLINK \l _Toc354669119 1.2.2