基于资金管理的指数化交易系统优化研究-金融学专业论文.docxVIP

摘 摘 要 万方数据 万方数据 摘 要 中国股市从 2015 年 6 月开始经历了连续的大幅下跌，广大投资者损失惨重。 不论是基金经理和普通投资者都逐渐意识到要控制风险。为实现在风险可控下获 利，本文根据资金管理的知识构建一个指数化交易系统，并对其优化研究。首先， 通过对已有的相关研究成果进行总结，并在此基础上梳理了交易系统构成的要 素，并对各要素进行分别阐述，重点强调资金管理的重要性，并将它作为构建交 易系统的核心部分。其次，提出交易系统的交易哲学，在交易哲学中应采取“KISS 原则”，交易规则和资金管理规则尽可能的简化以适应市场和交易者。在交易时 段上选择中长线交易。然后将前面所提到的知识综合得出了基于资金管理的指数 化交易系统。最后用资产组合中的 CAL 理论来解释这个交易系统。之后通过实证 检测，进行优化。优化中既有标的物的优化，以及对交易系统的反思。再将交易 系统运用在在最近的中国股市中也有良好表现。最后，本文总结了基于资金管理 的指数化交易系统具有的优点：第一,在极端下跌行情中能有效保护交易本金。 第二，从长期来看获得跟大盘近似收益，并有效减少收益的不确定性。第三，适 应性强，能尽量少的修改和设置参数并适应多个国内指数。 关键词：交易系统；资金管理；仓位；指数化投资 I Abst Abstract Abstract From June 2015 the stock market of China started experienced a continuous sharp decline, and the vast number of investors suffered heavy losses. Whether fund managers and ordinary investors have gradually realized that it is must to control the risk. In order to take the profit under the risk control, this paper constructed an index trading system based on the knowledge of money management, and studied its optimization.First of all, through carries on the summary of the related research achievements, and on this basis of combing the related knowledge about the trading system.The elements of the trading system were elaborated, with emphasis on the importance of money management, and it is the core part of the construction of the trading system.Second, the idea of KISS should be adopted.The trading rules and money management rules are as simple as possible in order to adapt to market and trader.The trader should chose long trading model. And then author uses the mentioned knowledge construct the trading system. Finally author use CAL theory to explain the theoretical basis of the trading system.At trading system part of the optimization, author proposed trading system through the history of back testing and the optimization.The author used this trading system to China’s stock market, and found it can reduce the risk.The final conclusion part summarized advantages of trading system based on money managemen