文档介绍：量化投资策略报告量化投资策略目录 ::, :日内股指交易趋势型策略测试周期:5分钟手续费:%% 委托偏移:1跳测试品种:IF策略思想: 入场:行情在布林通道上轨,且在2条移动平均线之上,快速随机指标中J>K,做多;反之,做空; 离场: [1]>K[1],J股票的选取........................................................................................................3备选对象.............................................................................................................3择股标准.............................................................................................................42投资组合的构建........................................................................................................4目标股票的收益率.............................................................................................4最优投资组合.....................................................................................................63预期收益和风险........................................................................................................74风险对冲策略............................................................................................................9附录A:原始数据......................................................................................................11表A1:财务指标.....................................................................................................11表A2:投资组合股票收益率................................................................12表A