软件导刊2024，Vol.23Issue(10)：82-87,6.DOI:10.11907/rjdk.241573
基于邻近森林的量化交易系统
Quantitative Trading System Based on Proximity Forest
吴灿柳 1陈小英2
作者信息
- 1. 武汉理工大学 计算机与人工智能学院 湖北 武汉 430070
- 2. 武汉理工大学 计算机与人工智能学院 湖北 武汉 430070||湖北省信用信息中心 湖北 武汉 430071
- 折叠
摘要
Abstract
By studying the application of the neighboring forest algorithm in stock trading,a trading signal classification model is obtained by combining the neighboring forest classification model with automated trading orders.Firstly,the classification model is combined with the in-dex moving average strategy to obtain a dual layer filtering model for trading signals.Then,the pricing strategy for automated orders,stock se-lection,and trading strategy for determining shares are determined through the average amplitude indicator and Kelly formula;Finally,the double-layer filtering model is combined with pricing and trading strategies to obtain a quantitative trading system based on the proximity for-est algorithm.Simulation experiments show that the average annual return rate of the system reaches 20.09%.Compared to the strategy relying solely on the exponential moving average,the neighboring forest algorithm has a more significant advantage in profitability.关键词
邻近森林/自动化交易订单/风险管理/交易系统Key words
proximity forest/auto trading order/risk management/trading system分类
信息技术与安全科学引用本文复制引用
吴灿柳,陈小英..基于邻近森林的量化交易系统[J].软件导刊,2024,23(10):82-87,6.
