CN109949163A - A kind of quantization investment tactics constitution's risk management-control method - Google Patents
A kind of quantization investment tactics constitution's risk management-control method Download PDFInfo
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- CN109949163A CN109949163A CN201910239471.0A CN201910239471A CN109949163A CN 109949163 A CN109949163 A CN 109949163A CN 201910239471 A CN201910239471 A CN 201910239471A CN 109949163 A CN109949163 A CN 109949163A
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Abstract
The invention discloses a kind of quantization investment tactics constitution's risk management-control methods, the beneficial effects of the present invention are: providing a kind of quantization risk management and control combined method based on technology analysis and Fundamental Analysis, for promoting the risk control in investment process, to promote the earning rate of investment, this method had both used technology analysis, also included Fundamental Analysis；Both consider Industry risk, it is also considered that personal share basis risk provides the risk management and control of multiple dimensions; not only with real-time quantization mode, the risk of discovery identification in time, and dynamic adjusts; flexible combination, so that whole investment yield is promoted, by the way that risk management is put in the first place; including deep bid risk; personal share risk, position in storehouse control, fund curve management etc.; investment tactics multiple protective is given, to obtain Asset Allocation income.
Description
Technical field
The present invention relates to a kind of risk management and control method, specially a kind of quantization investment tactics constitution's risk management-control method belongs to
Technical field is managed in investment risk.
Background technique
Along with the continuous development of Internet technology and hardware technology, we have the ability to handle more and more data, number
Fill growing trend according to geometry is also presented, Internet technology and financial industry further combined with pushing internet financial market
Prosperity and development.Internet acts as the effect of the finance data storage and propagation on basis, and the combination of the two more efficiently completes
Financial Information is propagated and most optimum distribution of resources.Big data technology constantly improve.Traditional financial transaction data is constantly brought up to
Network, along with the access of financial big data, the excavation of the finance data based on cloud computing technology and makes so that data volume increases severely
With hiding huge value.
Quantization investment is traditional financial field and the subdivision field that Internet technology combines, and is combined by the two,
It can use efficient technology and carry out the reasonable disposition that resource is realized in analysis.Quantization investment refers to obtain steady benefits as mesh
, pass through the investment deal mode that Quantification Methods and computer program issue dealing instruction.Wherein, investment tactics refers to utilization
The method of quantification carries out the strategy and algorithm general name of analysis, judgement and the transaction in financial market.
Traditional investment way is substantially by subjective judgement, carries out investment deal, Ci Zhongjiao by manual transaction software
Easy mode can not evade subjective mood deviation, can not overcome the weakness of human nature, and real-time is and general there is also certain problem
Quantization investment often lay particular emphasis on the strategy in terms of some, inputted and taken in platform according to user, the personal information such as age, quantization
Investment platform is that user recommends corresponding investment tactics according to the modern combination theoretical algorithm of financial field, and user buys according to recommendation
Enter and hold for a long time, and sells Rule of judgment suitably and sell acquisition income.Strategy is that coping with risk judges
Comprehensive thinking is insufficient, and the flexibility and real-time in face of risk management and control are bad.
Summary of the invention
The object of the invention is that providing a kind of quantization investment tactics constitution's risk control to solve the above-mentioned problems
Method.
The present invention is through the following technical solutions to achieve the above objectives: a kind of quantization investment tactics constitution's risk control side
Method, comprising the following steps:
Step 1, strategy starting, data reader read transaction fortune using components such as python language and pandas, numpy
Row data；
Step 2, tactful configurator dynamic configuration detection risk relevant parameter, include whether detection 180 days forms of deep bid, three
Black crow form, the specific targets such as deep bid index basic side growth pattern, can on-demand flexible configuration；
Step 3, deep bid basic side detector carry out detection deep bid operating status according to nearest n days deep bid amounts of increase, and
Generate basic side status signal；
Step 4, deep bid Morphology observation device judge whether there is three black crow forms according to the form of nearest four days deep bids k line,
Period form locating for deep bid entirety was judged according to 180 days；
Step 5, deep bid risk creation device are comprehensive according to tactful configurator, the basic detector of deep bid and deep bid k thread detector
Judgement generates current deep bid trend and early warning；If there are risks for deep bid, directly bring down stocks to exit transaction；
Step 6, personal share risk supervision device according to the basic side for the personal share assessment personal share held position and recent profit and lose
Situation is damaged, generates risk information if basic side is deteriorated；If there is in rejecting blacklist, or the certain number of loss,
Also risk signal is generated；
Step 7, personal share basic side selector are according to choice of personal share condition, according to present price price, price value ratio eps, city
The combination conditions such as rate pe or market value cap size that are full of filter out the pretty good personal share of basic side；
Step 8, personal share technological side selector are further sentenced according to the K line technology face of the nearest a cycle of personal share
It is disconnected, it selects basic side pretty good and is the stock of shadow price rise maximum probability；
The signal of step 9, the risk signal and choice of personal share that are generated according to deep bid above and personal share carries out that warehouse purchase is adjusted to sell behaviour
Make.
Preferably, investment capital is impaired in order to prevent, in the step 3 and step 4, by deep bid basic side detector with
Deep bid Morphology observation device assesses deep bid trend risk jointly.
Preferably, in order to be effectively reduced risk or additional income, in the step 6, personal share risk supervision device has group
Conjunction mode stops loss or stops the condition that is full of.
Preferably, in order to avoid the bad stock of the bad equal basic sides of profitability enters in choosing strategy, the step
In rapid 7, personal share basic side selector carries out the screening of selecting stocks of early period according to the basic side situation of personal share.
Preferably, in order to avoid executing operation by preset parameter mode, in the step 7, personal share basic side selector
According to real time environment dynamic adjustment risk control parameter.
Preferably, it is controlled in order to carry out dynamically combining according to actual needs, in the step 6, the inspection of personal share risk
The constitution's risk that device has the control of dynamic risk of selection is surveyed, avoidance strategy risk control is single.
The beneficial effects of the present invention are: quantization investment tactics constitution's risk management-control method design is rationally, pass through deep bid base
This face detector and deep bid Morphology observation device assess deep bid trend risk jointly, and disk trend is the primary concern of investment because of vegetarian refreshments,
It can increase input in the good situation of views on broad market movements, increase position in storehouse, deep bid overall performance is bad or slumps suddenly
When, personal share bringing down stocks or stopping loss, and prevents investment capital impaired, and personal share risk supervision device has stopping loss or only for combination
It is full of condition, risk or additional income can be effectively reduced, personal share basic side selector is carried out according to the basic side situation of personal share
The screening of selecting stocks of early period, the stock for avoiding the bad equal basic sides of profitability bad are entered in choosing strategy, are prevented under increase
Fall existing risk, personal share basic side selector avoids passing through fixed ginseng according to real time environment dynamic adjustment risk control parameter
Number mode executes operation, the inner parameter of itself can be adjusted according to the dynamic change of external environment, to reach better fortune
Row state, personal share risk supervision device have the constitution's risk of dynamic risk of selection control, and avoidance strategy risk control is single, together
When can carry out dynamically combining control according to actual needs, flexibility is stronger.
Detailed description of the invention
Fig. 1 is schematic structural view of the invention.
Specific embodiment
Following will be combined with the drawings in the embodiments of the present invention, and technical solution in the embodiment of the present invention carries out clear, complete
Site preparation description, it is clear that described embodiments are only a part of the embodiments of the present invention, instead of all the embodiments.It is based on
Embodiment in the present invention, it is obtained by those of ordinary skill in the art without making creative efforts every other
Embodiment shall fall within the protection scope of the present invention.
Referring to Fig. 1, a kind of quantization investment tactics constitution's risk management-control method, comprising the following steps:
Step 1, strategy starting, data reader read deep bid using components such as python language and pandas, numpy and refer to
Several and personal share data trade operation data, 20 days equal lines comprising deep bid, 60 days equal lines etc.；
Step 2, tactful configurator dynamic configuration detection risk relevant parameter, detect 180 days amount of increase percentage of deep bid, before
K line morphology for three days on end, three black crow forms, the specific targets such as deep bid index basic side growth pattern can on-demand flexible configuration；
Wherein, deep bid index includes Index of Shanghai Stock Exchange, Shenzhen Index, medium and small partitioned index, Growth Enterprise Index, Hu-Shen 300 index
Deng；
Whether step 3, deep bid basic side detector are greater than 0 according to the last 30 days deep bid amount of increase, and 180 days amounts of increase of deep bid are
It is no to be greater than 100%, and generate basic side status signal；
Step 4, deep bid Morphology observation device, whether according to continuously having within deep bid nearly 4 days drop within 3 days, whether 180 days deep bid amounts of increase
Greater than 100%, each index closing price of deep bid with 20 days, the multilevel iudges of 60 days equal lines is with the presence or absence of three black crow forms, according to 180
It judges period form locating for deep bid entirety；
Step 5, deep bid risk creation device are comprehensive according to tactful configurator, the basic detector of deep bid and deep bid k thread detector
Three aspect judgements generate current deep bid trend and early warning；If there are risks for deep bid, directly bring down stocks to exit transaction；
Wherein, tactful configurator is mainly to form logic judgment according to the tracking index and strategy of setting, and deep bid is examined substantially
It surveys device and K line morphology detector judges 180 days amounts of increase, the last 30 days amount of increase, deep bid is closed mutual with equal line 20 days and 60 days
Whether relationship provides risky as a result, such as deep bid 20 days lesser as risk as a result, 20 are less than greater than 60 average daily lines
60 as there are the results of risk；
Step 6, personal share risk supervision device first read the code for personal share of holding position, and obtain personal share basic side and profit and loss feelings of holding position
Condition, according to the basic side for the personal share assessment personal share held position and recent profit and loss situation, if basic side financial data
Earnings per share are negative or personal share is by ST, there is delisting risk etc., provide risk as a result, profit and loss of holding position mainly see buy in cost with
The difference of present price, to judge profit and loss situation；
Step 7, personal share basic side selector pass through present price price, price value ratio eps, city according to choice of personal share condition
It is full of the combination conditions such as rate pe or market value cap size, and low price value ratio, low p/e ratio, market value is met according to policy logic selection
The stock pond of rather moderate, sorts according to scoring method, and final choice goes out 10 stocks that enter stock pond；
Step 8, personal share technological side selector, according to personal share closing price and 5 weeks equal lines, 20 weeks equal lines, 5 average daily lines, 20
Average daily line, 60 average daily line number evidences, the K line technology face for obtaining nearest a cycle are judged, are selected further according to policy logic
Meet the stock pond for having upside potential and maximum probability, selects basic side pretty good and be the stock of shadow price rise maximum probability
Ticket；
The signal of step 9, the risk signal and choice of personal share that are generated according to deep bid above and personal share carries out that warehouse purchase is adjusted to sell behaviour
Make.
In the step 3 and step 4, deep bid is assessed with deep bid Morphology observation device by deep bid basic side detector jointly and is become
Gesture risk, disk trend are the primary concerns of investment because of vegetarian refreshments, can increase input in the good situation of views on broad market movements, increase storehouse
Position, deep bid overall performance is bad, and perhaps personal share bringing down stocks or stopping loss when slumping suddenly, prevents investment capital impaired, institute
State in step 6, personal share risk supervision device have combination stop loss perhaps stop the condition of being full of risk or increasing can be effectively reduced
Add benefit, in the step 7, personal share basic side selector carries out the screening of selecting stocks of early period according to the basic side situation of personal share, keeps away
Exempt from the bad stock of the bad equal basic sides of profitability to enter in choosing strategy, prevents from increasing the existing risk that drops, it is described
In step 7, personal share basic side selector avoids passing through preset parameter mode according to real time environment dynamic adjustment risk control parameter
Operation is executed, the inner parameter of itself can be adjusted according to the dynamic change of external environment, thus reach better operating status,
In the step 6, personal share risk supervision device has the constitution's risk of dynamic risk of selection control, avoidance strategy risk control list
One, while can carry out dynamically combining control according to actual needs, flexibility is stronger.
Working principle: it when using the quantization investment tactics constitution's risk management-control method, technically mainly uses
Python technology, core component pandas, numpy operates data, and executes timing using timeout component
Operation.Open source component tushare provides the data of financial transaction of needs and the fundamental data of company.It can also be based on current
Quantization investment platform is poly- wide and the platforms such as excellent mine run corresponding strategies.
It is obvious to a person skilled in the art that invention is not limited to the details of the above exemplary embodiments, Er Qie
In the case where without departing substantially from spirit or essential attributes of the invention, the present invention can be realized in other specific forms.Therefore, no matter
From the point of view of which point, the present embodiments are to be considered as illustrative and not restrictive, and the scope of the present invention is by appended power
Benefit requires rather than above description limits, it is intended that all by what is fallen within the meaning and scope of the equivalent elements of the claims
Variation is included within the present invention.Any reference signs in the claims should not be construed as limiting the involved claims.
In addition, it should be understood that although this specification is described in terms of embodiments, but not each embodiment is only wrapped
Containing an independent technical solution, this description of the specification is merely for the sake of clarity, and those skilled in the art should
It considers the specification as a whole, the technical solutions in the various embodiments may also be suitably combined, forms those skilled in the art
The other embodiments being understood that.
Claims (6)
1. a kind of quantization investment tactics constitution's risk management-control method, it is characterised in that: the following steps are included:
Step 1, strategy starting, data reader read transaction operation number using components such as python language and pandas, numpy
According to；
Step 2, tactful configurator dynamic configuration detection risk relevant parameter, include whether detection 180 days forms of deep bid, three black crows
Form, the specific targets such as deep bid index basic side growth pattern, can on-demand flexible configuration；
Step 3, deep bid basic side detector carry out detection deep bid operating status according to nearest n days deep bid amounts of increase, and generate
Basic side status signal；
Step 4, deep bid Morphology observation device judge whether there is three black crow forms according to the form of nearest four days deep bids k line, according to
Judge within 180 days period form locating for deep bid entirety；
Step 5, deep bid risk creation device are according to tactful configurator, the basic detector of deep bid and deep bid k thread detector comprehensive descision
Generate current deep bid trend and early warning；If there are risks for deep bid, directly bring down stocks to exit transaction；
Step 6, personal share risk supervision device are according to the basic side for the personal share assessment personal share held position and recent profit and loss feelings
Condition generates risk information if basic side is deteriorated；If there is in rejecting blacklist, or the certain number of loss, also produce
Raw risk signal；
Step 7, personal share basic side selector are according to choice of personal share condition, according to present price price, price value ratio eps, p/e ratio
The combination conditions such as pe or market value cap size filter out the pretty good personal share of basic side；
Step 8, personal share technological side selector are further judged according to the K line technology face of the nearest a cycle of personal share, are selected
It selects basic side pretty good and is the stock of shadow price rise maximum probability；
The signal of step 9, the risk signal and choice of personal share that are generated according to deep bid above and personal share carries out that warehouse purchase is adjusted to sell operation.
2. a kind of quantization investment tactics constitution's risk management-control method according to claim 1, it is characterised in that: the step
3 and step 4 in, deep bid trend risk is assessed by deep bid basic side detector and deep bid Morphology observation device jointly.
3. a kind of quantization investment tactics constitution's risk management-control method according to claim 1, it is characterised in that: the step
In 6, personal share risk supervision device stops loss or stops the condition that is full of with combination.
4. a kind of quantization investment tactics constitution's risk management-control method according to claim 1, it is characterised in that: the step
In 7, personal share basic side selector carries out the screening of selecting stocks of early period according to the basic side situation of personal share.
5. a kind of quantization investment tactics constitution's risk management-control method according to claim 1, it is characterised in that: the step
In 7, personal share basic side selector is according to real time environment dynamic adjustment risk control parameter.
6. a kind of quantization investment tactics constitution's risk management-control method according to claim 1, it is characterised in that: the step
In 6, personal share risk supervision device has the constitution's risk of dynamic risk of selection control.
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Cited By (1)
| Publication number | Priority date | Publication date | Assignee | Title |
|---|---|---|---|---|
| CN111311403A (en) * | 2019-12-03 | 2020-06-19 | 上海金融期货信息技术有限公司 | Strategy transaction engine system |
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Cited By (2)
| Publication number | Priority date | Publication date | Assignee | Title |
|---|---|---|---|---|
| CN111311403A (en) * | 2019-12-03 | 2020-06-19 | 上海金融期货信息技术有限公司 | Strategy transaction engine system |
| 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 |
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Application publication date: 20190628 |