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标题:基于R语言的双均线量化投资策略开发与优化

作者:付志刚

关键词:量化投资;R语言;双均线策略;策略优化

发表日期:2017-12-20

摘要:本案例以双均线投资策略为素材,利用案例教学与实践教学相整合的方法,帮助学生理解技术分析的量化投资实现过程和专业知识综合运用,可以作为统计专业《统计专业应用软件》或金融专业《证券投资分析》等相关课程高年级本科生或研究生的实验教学案例。具体基于R语言和相关工具包,开发EMA(15,60)的双均线投资策略并进行优化,结果发现不同走势的股票的投资绩效存在巨大差异。围绕投资绩效差异为主题,教师可以从不同角度进行讲解。在结合学生现有知识体系基础上,选择性利用时间序列分析、多元统计分析和极值理论等专业知识筛选股票,构建股票池,从而提高策略投资绩效。最后从金融学的角度探讨技术分析可行性和金融市场的有效性。

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标题:基于R语言的双均线量化投资策略开发与优化

作者:付志刚

关键词:量化投资;R语言;双均线策略;策略优化

发表日期:2017-12-20

摘要:本案例以双均线投资策略为素材,利用案例教学与实践教学相整合的方法,帮助学生理解技术分析的量化投资实现过程和专业知识综合运用,可以作为统计专业《统计专业应用软件》或金融专业《证券投资分析》等相关课程高年级本科生或研究生的实验教学案例。具体基于R语言和相关工具包,开发EMA(15,60)的双均线投资策略并进行优化,结果发现不同走势的股票的投资绩效存在巨大差异。围绕投资绩效差异为主题,教师可以从不同角度进行讲解。在结合学生现有知识体系基础上,选择性利用时间序列分析、多元统计分析和极值理论等专业知识筛选股票,构建股票池,从而提高策略投资绩效。最后从金融学的角度探讨技术分析可行性和金融市场的有效性。

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