CN104346171B - The automatic structure and optimization method of a kind of sequencing trading strategies - Google Patents
The automatic structure and optimization method of a kind of sequencing trading strategies Download PDFInfo
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- CN104346171B CN104346171B CN201410583932.3A CN201410583932A CN104346171B CN 104346171 B CN104346171 B CN 104346171B CN 201410583932 A CN201410583932 A CN 201410583932A CN 104346171 B CN104346171 B CN 104346171B
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- 238000012163 sequencing technique Methods 0.000 title claims abstract description 30
- 238000000034 method Methods 0.000 title claims abstract description 26
- 238000005457 optimization Methods 0.000 title claims abstract description 22
- 238000010276 construction Methods 0.000 claims abstract description 40
- 230000008569 process Effects 0.000 claims abstract description 7
- 239000012634 fragment Substances 0.000 claims description 7
- 230000008859 change Effects 0.000 claims description 4
- 238000007620 mathematical function Methods 0.000 claims description 4
- 239000013589 supplement Substances 0.000 claims description 4
- 238000004590 computer program Methods 0.000 claims description 3
- 238000005516 engineering process Methods 0.000 description 4
- 230000008901 benefit Effects 0.000 description 2
- 244000309464 bull Species 0.000 description 2
- 230000006870 function Effects 0.000 description 2
- 230000008774 maternal effect Effects 0.000 description 2
- 241000208340 Araliaceae Species 0.000 description 1
- 235000005035 Panax pseudoginseng ssp. pseudoginseng Nutrition 0.000 description 1
- 235000003140 Panax quinquefolius Nutrition 0.000 description 1
- 230000007812 deficiency Effects 0.000 description 1
- 230000000694 effects Effects 0.000 description 1
- 235000008434 ginseng Nutrition 0.000 description 1
- 230000008521 reorganization Effects 0.000 description 1
- 238000000547 structure data Methods 0.000 description 1
- 230000007306 turnover Effects 0.000 description 1
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Abstract
The invention discloses the automatic structure and optimization method of a kind of sequencing trading strategies, comprise the steps of：A. the logical construction of the automatic construction strategy in mass ground；B. the Automatic Optimal of policy logic structure is carried out, policy logic structure changes in optimization process；C. the logical construction of strategy is output as policy instance.Using the present invention, user analyze data and can write code with obstructed mistake, be quickly obtained the tactful source code of specified quantity, and each tactful logical transaction is each variant；One aspect of the present invention reduces the difficulty and cost of the exploitation of sequencing trading strategies, while the flexibility of strategy Development with opening strategy source code, can be kept, it is to avoid the unreliability of black box signal.
Description
Technical field
The present invention relates to sequencing transaction field, more particularly to a kind of automatic structure of sequencing trading strategies and optimization side
Method.
Background technology
With the expansion of financial market scale, capitalized method is increasingly diversified with means, wherein sequencing transaction because its compared with
The advantages such as strong implementation capacity, strict sense of discipline, gradually play a great role.Sequencing is concluded the business by developing trading strategies
Realize, sequencing trading strategies are alternatively referred to as sequencing transaction system.But, the exploitation of sequencing trading strategies is relatively difficult,
Strategy Development, the time safeguarded and human cost, are the application bottlenecks of sequencing transaction.
Current existing strategy Development aid, its function is typically to integrate general Trading Model and technology in market
Index, the buying signals of fixed logic are exported by the form of black box.Idiographic flow is as shown in Figure 1.
The general flow of this method is described below：
S01. user chooses built-in Trading Model.
S02. user determines trade variety and testing time.
S03. by Trading Model in specified kind and time enterprising line parameter optimization.
S04. according to the fixed logic of Trading Model, transaction turnover field signal is exported in the form of black box.
The problem that this method is present has：
1. user is only capable of a small amount of parameter of adjustment, and policy logic cannot be adjusted, spirit of this form without strategy Development
Activity.
2. tactful quantity is generally little, and the selectable range of user is small.
3. policy logic is black box for user, and the reliability of black box signal cannot be verified.
The content of the invention
In order to overcome above technological deficiency, the present invention to provide a kind of automatic structure of sequencing trading strategies and optimization side
Method, can with the fast automatic structure of mass implementation strategy logical construction with optimize and revise, and by strategy with program source code
Or the form output of plug-in unit, executable program.
The technical solution adopted by the present invention is as follows：
The automatic structure and optimization method of sequencing trading strategies, comprise the steps of：
A. the logical construction of the automatic construction strategy in mass ground；
B. the Automatic Optimal of policy logic structure is carried out, policy logic structure changes in optimization process；
C. the logical construction of strategy is output as policy instance.
Described program trading strategies (referred to as strategy), alternatively referred to as sequencing transaction system, open comprising transaction and close a position
The sequencing Trading Model of dealing theory and rule, expresses in two kinds of forms of policy logic structure or policy instance.
Tactful logical construction described in step A, is to store in internal memory or other storage mediums (such as hard disk)
The form of abstract data structure is present, comprising one group of logic that realization opens a position and closes a position, can be comprising ginseng in each logical construction
Number, it is also possible to without parameter.
Policy instance described in step A, is to express a policy logic structure in the form of a computer program：Can be with
It is the program source code text for compiling of sequencing transaction platform, such as conclude the business pioneer, Wenhua finance and economics, Multicharts
The policy language of software；Or computer programming language source code, such as C language, C++, JAVA, MATLAB language codes；
Can be independent executable program, such as the .exe executable files under windows operating systems；Or it is available for other programs to adjust
.dll dynamic link libraries under plug-in unit, such as windows operating systems.
The logical construction of the automatic construction strategy described in step A, is to randomly select multiple different market prices, strike a bargain
Amount, mathematical function, operator, technical indicator etc. are combined into a logical transaction, the one group of logical transaction composition for arranging in order
Tactful opens a position and logic of closing a position.
Mass described in step A, is exactly independently repeated the process of automatic construction strategy logical construction, produces one group
Policy logic structures different two-by-two.
The Automatic Optimal of the policy logic structure described in step B, is in the strategy of the automatic batch for building, to choose it
In one or more for female parent, these tactful logical constructions can be with changes locally, or only parameter changes, or logic
Structure and parameter all changes, and the strategy after change can be re-used as female parent, repeats said process and proceeds Automatic Optimal.
Above-mentioned tactful logical construction can refer to changes locally：Each tactful logical construction is decomposed into
Multiple logic segments, the Different Logic fragment of two or more strategies is exchanged with each other, or deletes a logic segments for strategy, and
The new logic segments of supplement.
The logical construction by strategy described in step C is output as policy instance, is exactly by the abstract of policy logic structure
Data structure, is converted into the output of policy instance form.
From above technical scheme, automatic structure and the optimization side of the sequencing trading strategies provided using the present invention
Method, its advantage is：
1st, the sequencing trading strategies of high-volume configurations can be quickly obtained, be easy to user to screen and be met itself friendship
The strategy of easy theory；
2nd, can be with the structure optimization of implementation strategy, with the function that model finds, can be by patrolling for being made up of technical indicator
Volume being divided into Different Logic fragment carries out logic reorganization, and is not limited to combination and the parameter optimization of conventional art index.
3rd, policy instance can include the source code of logical transaction, it is to avoid sending for black box signal, improve strategy Development
Flexibility and reliability.
Brief description of the drawings
Fig. 1 is the schematic flow sheet of Existing policies auxiliary development instrument.
Fig. 2 is the automatic schematic flow sheet built with optimization method of strategy of the invention.
Specific embodiment
In order that those skilled in the art will better understand the technical solution of the present invention, with reference to Figure of description,
Specific embodiment of the invention is described.
Embodiment provide a kind of specific embodiments of the present invention, i.e., a kind of automatic structure of sequencing trading strategies with
Optimization method, is shown in Fig. 2, specifically includes following steps：
A01. an index set is defined, comprising the market price, exchange hand, mathematical function, operator, technical indicator etc.,
Here it is exemplified as：
The market price：Opening price O, highest price H, lowest price L, closing price C；
Exchange hand：Vol；
Mathematical function：Maximum max, minimum value min, average value mean；
Operator：And, or, ＞, ＜；
Technical indicator：MACD, ATR.
A02. multiple different indexs are randomly selected, such as：
Opening price O, highest price H, average value mean, and, MACD, ＞
A03. the index of selection is freely formed into a logical construction, can be combined into：
Mean (opening price O) ＞ highest price H and MACD ＞ 0；
Can also be：
Highest price H- opening price O ＞ MACD
Deng these are all logical constructions；In storage medium, the structure can exist with binary tree structure, it is also possible to
The form of array coding is present, or otherwise.
A04. repeat step A02-A03, respectively obtains that bull is marched into the arena, bear marches into the arena, bull appears on the scene, nominal appearance logic,
Completed policy is sequentially arranged in by this.
A05. repeat step A02-A04, obtains the different strategy of batch.
B01. two are chosen as maternal from the strategy of batch at random, a logic knot is respectively selected from two strategies
Structure, splits out two logic segments and exchanges from each logical construction, and two new logical constructions are put back in strategy, obtains
Two new strategies.For example, by above-mentioned two logical construction, being mutually changed to：
Opening price O ＞ highest price H and MACD ＞ 0；
Highest price H-mean (opening price O) ＞ MACD.
That is fragment mean (opening price O) in two logical constructions is exchanged with opening price O.
B02. one is chosen as maternal from the strategy of batch at random, randomly select a logic knot in the strategy
Structure, deletes one of logic segments, and supplements new fragment, and new logical construction is put back in strategy.
For example, to following logical constructions
Mean (opening price O) ＞ highest price H and MACD ＞ 0,
The wherein fragments of MACD ＞ 0 are deleted, one new fragment of supplement is such as
Lowest price L+ATR ＞ opening prices O；
The new logical construction of composition：
Mean (opening price O) ＞ highest price H and lowest price L+ATR ＞ opening prices O.
B03. repeat step B01-B02, obtains the policy logic structure after batch optimizes.
C01. by policy logic thaumatropy for computer program source code form is exported.For example：For binary tree form
The logical construction of storage, is generally converted into source statement using ergodic algorithm from bottom to top by binary tree structure.
C02. the strategy program source code of the exportable mass of repeat step C01.
Using the present invention, user analyze data and can write code with obstructed mistake, be quickly obtained the strategy of specified quantity
Source code, each tactful logical transaction is each variant.One aspect of the present invention reduces the difficulty of sequencing trading strategies exploitation
And cost, while the flexibility of strategy Development with opening strategy source code, can be kept, it is to avoid the unreliability of black box signal.
It is readily appreciated that, the embodiment is only a part of the invention, those skilled in the art are not making creativeness
The other embodiment obtained on the premise of work, and the various changes and change without departing from spirit and scope of the invention for carrying out
Type, should all belong within protection scope of the present invention.
The technology not described in detail of the invention, shape, construction part are known technology.
Claims (7)
1. the automatic structure and optimization method of a kind of sequencing trading strategies, it is characterised in that comprise the steps of：
A. the logical construction of the automatic construction strategy in mass ground；
Mass, is the process for being independently repeated automatic construction strategy logical construction, produces one group of policy logic different two-by-two
Structure；
B. the Automatic Optimal of policy logic structure is carried out, policy logic structure changes in optimization process；
The Automatic Optimal of policy logic structure, is that in the strategy of the automatic batch for building, it is mother to choose wherein one or more
This, these tactful logical constructions can be with changes locally, or only parameter changes, or logical construction and parameter all occur
Change, the strategy after change can be re-used as female parent, repeat said process and proceed Automatic Optimal；
C. the logical construction of strategy is output as policy instance.
2. the automatic structure and optimization method of sequencing trading strategies according to claim 1, it is characterised in that the plan
The sequencing Trading Model of close a position dealing theory and rule is slightly opened comprising transaction, with two kinds of shapes of policy logic structure or policy instance
Formula is expressed.
3. the automatic structure and optimization method of sequencing trading strategies according to claim 1, it is characterised in that strategy
Logical construction exists in the form of storing the abstract data structure in internal memory or other storage mediums, opens a position and puts down comprising realizing
One group of logic in storehouse, can include parameter in each logical construction, it is also possible to without parameter.
4. the automatic structure and optimization method of sequencing trading strategies according to claim 1, it is characterised in that strategy is real
Example is to express a policy logic structure in the form of a computer program, can be the journey for compiling of sequencing transaction platform
Sequence source code text, or computer programming language source code, or independent executable program, or it is available for other journeys
The plug-in unit that sequence is called.
5. the automatic structure and optimization method of sequencing trading strategies according to claim 1, it is characterised in that automatic structure
The logical construction of strategy is built, is to randomly select the multiple different market price, exchange hand, mathematical function, operator, technical indicators
Etc. being combined into a logical transaction, for arranging in order group logical transaction composition strategy opens a position and logic of closing a position.
6. the automatic structure and optimization method of sequencing trading strategies according to claim 1, it is characterised in that strategy
Logical construction can be that each tactful logical construction is decomposed into multiple logic segments with changes locally, two or more
The Different Logic fragment of strategy is exchanged with each other, or deletes a logic segments for strategy, and supplements new logic segments.
7. the automatic structure and optimization method of sequencing trading strategies according to claim 1, it is characterised in that step C
It is, by the abstract data structure of policy logic structure, to be converted into the output of policy instance form.
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| CN108984167A (en) * | 2018-07-10 | 2018-12-11 | 成都德承科技有限公司 | A kind of method built based on patterned sequencing logical transaction and product |
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| CN109933512A (en) * | 2017-12-15 | 2019-06-25 | 武汉楚鼎信息技术有限公司 | A kind of method and system device based on long-range connection operation reserve |
| CN109300035A (en) * | 2018-09-13 | 2019-02-01 | 众安信息技术服务有限公司 | The method and device of trading processing |
| CN111311403B (en) * | 2019-12-03 | 2024-01-26 | 上海金融期货信息技术有限公司 | Policy transaction engine system |
| CN112287818A (en) * | 2020-10-28 | 2021-01-29 | 白彧 | Intelligent vehicle-mounted driver assistance system and working method thereof |
| CN114118019B (en) * | 2022-01-27 | 2022-05-17 | 温州电力建设有限公司 | A method and system for normalized design of stability control strategy based on XML |
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