股指期货量化交易策略研究.docVIP

PAGE PAGE 27 股指期货量化交易策略研究 摘要：本文选取了市场上最为人讨论的两种指标，KDJ和MACD，以及我自己认为最好的反应市场走势的宝塔线指标。通过分析股票市场上最让人认可的技术指标运用方法来应用到期货市场，观察收益率，并引出一些新的判断方法。并通过回测系统来计算几种方案基于历史数据下的收益率，并进行对比，得出了这三种模型均能实现一定的收益，其中KDJ模型的收益是最高的，并且最适合中国市场。 关键字：KDJ指标，MACD指标，宝塔线，量化交易，文华财经 Trading Strategy Index Futures quantization Abstract：This paper selected two metrics on the market most people discuss, KDJ and MACD, and I think that the best response pagoda indicators of market trends. By analyzing the stock market, most people recognized technical indicators to use method to apply to the futures market, the yield was observed, and leads