{"id":4097,"date":"2019-12-01T23:15:20","date_gmt":"2019-12-01T15:15:20","guid":{"rendered":"https:\/\/www.mpfdiy.com\/?p=4097"},"modified":"2021-10-10T18:32:53","modified_gmt":"2021-10-10T10:32:53","slug":"%e7%b3%bb%e7%b5%b1%e4%ba%a4%e6%98%93%e7%9a%84%e5%9f%b7%e8%a1%8c%e5%bf%83%e7%90%86","status":"publish","type":"post","link":"https:\/\/www.mpfdiy.com\/2019\/12\/%e7%b3%bb%e7%b5%b1%e4%ba%a4%e6%98%93%e7%9a%84%e5%9f%b7%e8%a1%8c%e5%bf%83%e7%90%86\/","title":{"rendered":"\u7cfb\u7d71\u4ea4\u6613\u7684\u57f7\u884c\u5fc3\u7406"},"content":{"rendered":"

\u7cfb\u7d71\u4ea4\u6613\u7684\u57f7\u884c\u5fc3\u7406<\/span><\/strong><\/span><\/h2>\n

 <\/p>\n

\u7cfb\u7d71\u6027\u4ea4\u6613<\/strong><\/span>(systematic trading<\/a>) \u53c8\u6216\u662f\u6a5f\u68b0\u5f0f\u4ea4\u6613(mechanical trading)<\/span> \u662f\u6307\u6709\u65e2\u5b9a\u6a21\u5f0f\u3001\u6cd5\u5247\u53ca\u5c0d\u8c61\u7684\u4ea4\u6613\u3002\u8207\u7cfb\u7d71\u6027\u4ea4\u6613\u76f8\u53cd\u7684\u662f\u81ea\u6c7a\u6027\u4ea4\u6613discretionary trading<\/strong><\/span>\uff0c\u5169\u8005\u7684\u5206\u5225\u4e0d\u5728\u65bc\u4ea4\u6613\u91cf\u3001\u4ea4\u6613\u7269\u53ca\u4ea4\u6613\u539f\u7406\uff0c\u800c\u5728\u65bc\u7cfb\u7d71\u6027\u4ea4\u6613\u5728\u76f8\u540c\u689d\u4ef6\u4e0b\u6703\u51fa\u73fe\u76f8\u540c\u7684\u4ea4\u6613\u5224\u65b7<\/span>\uff0c\u81ea\u6c7a\u6027\u4ea4\u6613\u5247\u8996\u4e4e\u7ba1\u7406\u4eba\u7576\u6642\u7684\u5fc3\u610f\u800c\u5b9a\u3002<\/span><\/p>\n

 <\/p>\n

\u7cfb\u7d71\u6027\u4ea4\u6613\u6709\u5f88\u591a\u5176\u4ed6\u540d\u7a31\uff0c\u4f8b\u5982algo trading, quantitative trading\u7b49\uff0c\u7576\u4e2d\u53ea\u662f\u4e9b\u5fae\u6982\u5ff5\u5dee\u7570\uff0c\u4f8b\u5982algo trading \u591a\u6307\u81ea\u52d5\u5316\u7684\u96fb\u8166\u7a0b\u5f0f\u4ea4\u6613\u3002<\/span><\/p>\n

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\u5f37\u7a4d\u91d1\u7684\u9810\u8a2d\u6295\u8cc7<\/span>\u4ea6\u662f\u7cfb\u7d71\u6027\u4ea4\u6613\u7684\u4e00\u985e\uff0c\u8cc7\u91d1\u7ba1\u7406\u53ca\u8cb7\u8ce3\u4ea4\u6613\u90fd\u6709\u65e2\u5b9a\u6a5f\u5236\uff0c\u57f7\u884c\u6642\u53ea\u662f\u6309\u5e74\u9f61\u53bb\u6a5f\u68b0\u5f0f\u64cd\u4f5c\u3002\u6307\u6578\u6295\u8cc7<\/span>\u4e5f\u53ef\u4ee5\u7b97\u662f\u6a5f\u68b0\u5f0f\u4ea4\u6613\uff0c\u597d\u8655\u662f\u900f\u660e\u6613\u7528\uff0c\u58de\u8655\u662f\u6709\u6a5f\u6703\u88ab\u4eba\u6309\u7cfb\u7d71\u7684\u898f\u5247\u800c\u5077\u96de\uff0c\u8c37\u9ad8\u5e02\u503c\u7136\u5f8c\u7d0d\u5165\u6307\u6578\u7684\u624b\u6cd5\u7d93\u5e38\u90fd\u6709\u51fa\u73fe\u3002<\/span><\/p>\n

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\u7a4d\u91d1\u5927\u53cd\u64ca\u7684\u5404\u62db\u4ea6\u662f\u7cfb\u7d71\u6027\u4ea4\u6613\uff0c\u7576\u7136\u5176\u4e2d\u7684\u53c3\u6578\u53ef\u4ee5\u81ea\u884c\u8a2d\u5b9a\uff0c\u65e5\u5f8c\u5e0c\u671b\u80fd\u8f49\u70ba\u81ea\u52d5\u5316\u7684algo\uff0c\u61f6\u5f97\u5c31\u61f6\u3002<\/span><\/p>\n

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\u7cfb\u7d71\u6027\u4ea4\u6613\u7684\u88fd\u4f5c\u6d41\u7a0b\u8207\u5de5\u5ee0\u53ca\u88fd\u9020\u696d\u7684\u7522\u54c1\u88fd\u4f5c\u6d41\u7a0b\u5dee\u4e0d\u591a\uff0cPlan-Do-Check-Act \u7b49ISO\u7ba1\u7406\u6d41\u7a0b\u4ea6\u9069\u5408\u7cfb\u7d71\u6027\u4ea4\u6613\u7684\u88fd\u4f5c\uff0c\u5916\u570b\u6709\u5f88\u591a\u66f8\u85c9\u4ecb\u7d39(\u898bErnest Chan \u7684\u4e09\u90e8\u66f2<\/a>)\uff0c\u4e2d\u6587\u66f8\u65b9\u9762\u53f0\u7063\u6709\u5f88\u591a\u4eba\u6d89\u8db3\u7a0b\u5f0f\u4ea4\u6613\u591a\u5e74\uff0c\u9999\u6e2f\u8fd1\u5e74\u4ea6\u6709\u3002\u6ce8\u610f\u7576\u4e2d\u512a\u52a3\u4e0d\u5728\u65bcprogramming language \u53ca trading platform\uff0c\u4e0d\u662f\u7528python \u53ca multicharts \u5c31\u662f\u4e0a\u7b49\u4eba\uff0c\u96d6\u7136\u65b0\u8a9e\u6cd5\u65b0\u5e73\u53f0\u901a\u5e38\u6703\u66f4\u5feb\u66f4\u52c1\uff0c\u4f46\u91cd\u9ede\u61c9\u653e\u65bc\u88fd\u4f5c\u6d41\u7a0b\u662f\u5426\u80fd\u7522\u751f\u51fa\u53ef\u9760<\/span><\/strong>\u7684\u4ea4\u6613\u7cfb\u7d71\uff0c\u66f4\u91cd\u8981\u7684\u662f\u57f7\u884c\u7684\u7a69\u5b9a<\/strong><\/span>\u6027\u3002\u5373\u4f7f\u7528\u7d19\u7b46\u96c6\u6578\uff0c\u5fc3\u7b97\u5f8c\u6253\u96fb\u8a71\u843d\u76e4\uff0c\u4ecd\u7136\u53ef\u4ee5\u662f\u512a\u79c0\u7684\u7cfb\u7d71\u6027\u4ea4\u6613\u3002<\/span><\/p>\n

 <\/p>\n

\u7cfb\u7d71\u6027\u4ea4\u6613\u7684\u7b2c\u4e00\u6b65\u7576\u7136\u662f\u6709\u4ea4\u6613\u7cfb\u7d71\uff0c\u6211\u7b49\u6563\u6236\u901a\u5e38\u662f\u4f9d\u8cf4\u904e\u5f80\u6210\u529f\u8cfa\u9322\u7684\u4ea4\u6613\u6a21\u5f0f\u3002\u63a5\u7740\u662f\u56de\u6e2c(back-test)\uff0c\u8a66\u4e00\u8a66\u7cfb\u7d71\u5728\u4e0d\u540c\u6642\u9593\u4e0d\u540c\u60c5\u6cc1\u4e0b\u7684\u8868\u73fe\u3002\u4e4b\u5f8c\u662f\u7cfb\u7d71\u8a55\u50f9\uff0c\u8868\u73fe\u7684\u597d\u58de\u4e0d\u5916\u4e4e\u662f\u56de\u5831\u53ca\u6ce2\u5e45<\/span>\uff0c\u4ea6\u53ef\u52a0\u4e0a\u6700\u5927\u55ae\u5e74\u8dcc\u5e45<\/span>\uff0c\u4e0b\u8dcc\u5f8c\u56de\u5fa9\u6642\u9593\u7b49\u3002<\/span><\/p>\n

 <\/p>\n

\u7576\u767c\u73fe\u4e86\u56de\u6e2c\u53cawalk-forward\u8868\u73fe\u512a\u79c0\u7684\u7cfb\u7d71\uff0c\u64c1\u6709\u300c\u4eba\u5187\u6211\u6709\u300d\u7684\u7121\u6575\u8056\u676f<\/span>\u7684\u6642\u5019\uff0c\u606d\u559c\u4f60\uff0c\u81ea\u6b3a\u6b3a\u4eba\u7684\u6642\u9593\u5230\u4e86\u3002<\/span><\/p>\n

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\u7b46\u8005\u904e\u5f80\u591a\u5e74\u7d93\u6b77\u4e86\u7121\u6578\u6b21\u7684\u300c\u512a\u79c0\u7cfb\u7d71\u300d\uff0c\u4ee5\u70ba\u767c\u9054\u5728\u671b\uff0c\u53ef\u4ee5\u4e00\u908a\u7793\u89ba\uff0c\u4e00\u908a24\u5c0f\u6642\u4e0d\u505c\u8cfa\u9322\u3002\u4e4b\u5f8c\u6295\u8cc7\u7269\u6108\u73a9\u6108\u591a\uff0c\u5916\u6ed9<\/a>\u53ca\u671f\u8ca8\u662f\u5fc5\u7136\u8ced\u5177\uff1b\u7cfb\u7d71\u6108\u4f86\u6108\u8907\u96dc\uff0c\u6b63\u6240\u8b02money never sleeps<\/a>\uff0c\u79dfserver 24\u5c0f\u6642\u8cb7\u8cb7\u8ce3\u8ce3\u662f\u5fc5\u7136\u7684\u64cd\u4f5c\uff1bdata source \u6108\u4f86\u6108\u591a\uff0cOHLCV \u5df2\u7d93\u4e0d\u5c51\u4e00\u9867\uff0ctick data \u751a\u81f3\u662forder flow \u624d\u5571\u80c3\u53e3; margin \u53ca\u91d1\u984d\u4e0a\u843d\u6108\u4f86\u6108\u5927\uff0c\u5572\u9322\u597d\u4f3c\u5514\u4fc2\u9322\u5481\u3002\u5982\u679c\u4f60\u8eab\u5728\u9019\u968e\u6bb5\uff0c\u53c8\u6216\u8005\u4ee5\u70ba\u9019\u6a23\u624d\u662f\u6295\u8cc7\u7684\u4e0a\u7b49\u4eba\uff0c\u90a3\u9ebc\u4fbf\u8981\u505c\u4e00\u505c\uff0c\u8ad7\u4e00\u8ad7\uff0c\u662f\u5426\u5728\u81ea\u6b3a\u6b3a\u4eba\u3002<\/span><\/p>\n

 <\/p>\n

\u76f8\u53cd\uff0c\u904b\u7528\u5e02\u9762\u4e0a\u5e38\u898b\u7684\u300c\u4eba\u6709\u6211\u6709\u300d\u4ea4\u6613\u7cfb\u7d71\u4e0d\u662f\u4ec0\u9ebc\u5f31\u8005\uff0c\u53ea\u8981\u7cfb\u7d71\u7684\u56de\u5831\u53ca\u6ce2\u5e45\u662f\u9069\u5408\u81ea\u5df1\u4fbf\u53ef\uff0c\u7db2\u7ad9\u5982 allocatesmartly.com<\/a>\u00a0 \u6709\u5927\u91cf\u7f50\u982d\u4ea4\u6613\u7cfb\u7d71\u53ef\u4f9b\u9078\u64c7\uff0c\u7576\u4e2d\u6709\u4e0d\u5c11\u6210\u529f\u7cfb\u7d71\uff0c\u628a\u9019\u4e9b\u7cfb\u7d71\u653e\u5165\u5f37\u7a4d\u91d1\u9818\u57df\u4ea6\u7121\u4e0d\u53ef\u3002<\/span><\/p>\n

 <\/p>\n

\u4ea4\u6613\u7cfb\u7d71\u7684\u6210\u529f\u8207\u5426\uff0c\u4e0d\u5728\u65bc\u7cfb\u7d71\u672c\u8eab\uff0c\u800c\u5728\u65bc\u6295\u8cc7\u8005\u7684\u57f7\u884c\u529b\u3002<\/span>\u660e\u77e5\u7cfb\u7d71\u7684\u6ce2\u5e45\u662f\u5927\uff0c\u4f46\u8dcc\u5c11\u5c11\u5df2\u7d93\u65ac\u7e9c\u653e\u68c4\uff1b\u53c8\u6216\u8005\u660e\u77e5\u7cfb\u7d71\u662f\u9577\u6642\u9593\u6162\u6536\u6210\uff0c\u4f46\u4e00\u5169\u5e74\u7684\u4f4e\u56de\u5831\u5df2\u7d93\u8f49\u6703\u7684\u8a71\uff0c\u7cfb\u7d71\u4ea4\u6613\u5c31\u4e0d\u662f\u4f60\u676f\u8336\uff0c\u56e0\u70ba\u4f60\u6c92\u6709\u6240\u9700\u7684\u57f7\u884c\u529b<\/span>\u3002<\/span><\/p>\n

 <\/p>\n

\u4e00\u6642\u4e09\u523b\u8cfa\u9322\u7684\u4ea4\u6613\u7cfb\u7d71\u591a\u4e0d\u52dd\u6578\uff0c\u4f46\u6295\u8cc7\u4e0d\u662f\u8ced\u640f\uff0c\u5c24\u5176\u50cf\u5f37\u7a4d\u91d1\u90a3\u7a2e\u5e7e\u5341\u5e74\u7684\u9577\u671f\u9000\u4f11\u6295\u8cc7\u3002\u7a69\u5065\uff08Robust\uff09<\/strong> \u7684\u4ea4\u6613\u7cfb\u7d71\u662f\u80fd\u65e2\u8de8\u8d8a\u4e0d\u540c\u6642\u4ee3\u53c8\u8de8\u8d8a\u4e0d\u540c\u6295\u8cc7\u7269\uff0c\u751a\u81f3\u662f\u6295\u8cc7\u4e0b\u7b49\u4eba\u90fd\u61c2\u7684\u7cfb\u7d71\u624d\u662f\u8056\u676f<\/span>\u3002\u597d\u50cf\u8981\u9069\u540865\u6b72\u524d\u7684\u666e\u7f85\u5927\u773e\uff0c\u5728\u4e0d\u540c\u5f37\u7a4d\u91d1\u8a08\u5283\u90fd\u80fd\u6709\u6548\u57f7\u884c\uff0c\u6578\u64da\u63a1\u96c6\u53ca\u7cfb\u7d71\u904b\u7b97\u53c8\u8981\u9069\u5207\u6253\u5de5\u4ed4\u7684\u7406\u8ca1\u7fd2\u6163\uff0c\u9019\u901a\u901a\u662f\u5f37\u7a4d\u91d1\u7cfb\u7d71\u4ea4\u6613\u7684\u76ee\u6a19\u3002\u5728\u7b46\u8005\u773c\u4e2d\u4e03\u62db<\/strong>\u53ea\u662f\u7b97\u5408\u683c\uff0c\u8ddd\u96e2\u6700\u597d\u9084\u6709\u4e00\u5927\u6bb5\u8def\u9014\uff1b\u4e0d\u4ea2\u4e0d\u5351\uff0c\u4e00\u6b65\u4e00\u6b65\u5411\u524d\u884c\uff0c\u624d\u662f\u5f37\u7a4d\u91d1\u751a\u81f3\u9999\u6e2f\u7684\u51fa\u8def\u3002<\/span><\/p>\n

 <\/p>\n

\u5e74\u5e74\u8981\u8cfa\u9322\u624d\u6709\u4ea4\u5f85\u53ca\u6709\u98ef\u958b\u7684\u57fa\u91d1\u7d93\u7406\uff0c\u7d93\u5e38\u8981\u61f7\u7591\u4eba\u751f(\u898b\u6b64<\/a>)\uff0c\u4f46\u6211\u7b49\u6563\u6236\u4e0d\u7528\u5982\u6b64\u4f5c\u7e6d\u81ea\u7e1b\u3002\u5fc3\u7406\u5dee\u7684\u6295\u8cc7\u4eba\uff0c\u6c38\u9060\u89ba\u5f97\u9694\u96e2\u98ef\u9999\u3002\u904b\u7528\u7cfb\u7d71\u5316\u4ea4\u6613\u5c31\u662f\u5e0c\u671b\u6392\u9664\u4e3b\u89c0\u5fc3\u7406\uff0c\u4e00\u500b\u6307\u4ee4\u4e00\u500b\u52d5\u4f5c\uff1b\u8981\u52de\u5fc3\u52de\u529b\u64d4\u64d4\u62ac\u62ac\uff0c\u6bcf\u4e00\u500b\u9418\u8981\u671b\u4e00\u671b\u80a1\u50f9\u3001\u6bcf\u4e00\u65e5\u8981\u540c\u4eba\u8b1b\u80a1\u5e02\u624d\u6709\u6295\u8cc7\u611f\u89ba\u7684\uff0c\u9084\u662f\u63a1\u7528discretionary trading<\/a> \u5427\uff01<\/span><\/p>\n

 <\/p>\n

 <\/p>\n

\"<\/a><\/p>\n

\u201cEvery battle is won before it is ever fought.\u201d\u00a0– by Gordon Gekko<\/strong><\/span><\/p>\n

 <\/p>\n

 <\/p>\n

\u5ef6\u4f38\u6750\u6599\uff1a<\/span><\/strong><\/p>\n

\u672a\u7747\u904eWall Street<\/a>\u5462\u595732\u5e74\u524d\u7d93\u5178\u6295\u8cc7\u795e\u5287\u7684\u8b80\u8005\uff0c\u8d81\u8056\u8a95\u6709\u6642\u9593\u6435\u8fd4\u9ece\u7747\u4e0b\u3002<\/span><\/p>\n

 <\/p>\n

 <\/p>\n","protected":false},"excerpt":{"rendered":"

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