文档介绍：天津大学硕士学位论文量化投资交易策略研究
中文摘要

量化投资在海外的发展已有三四十年的历史,其投资业绩稳定,市场规模和
份额不断扩大,得到了越来越多的投资者的认可。特别是最近十年,量化投资在
海外得到了飞速发展,以西蒙斯为代表的顶尖级量化投资大师利用量化投资策略
和方法创造了一个又一个神话。国外量化投资基金数量的增长已经逐渐超过了传
统投资基金。
然而,国内的量化投资领域还处于发展起步阶段,量化投资占金融投资的比
重不超过 5%。随着 2010 年 4 月股指期货的出台,量化投资在国内市场的发展潜
力逐渐显现,各大券商和机构投资者纷纷对量化交易展开深度研究。量化投资基
金近两年在国内的再度火热,使得部分量化基金的业绩处于领先地位,为广大国
内投资者带来了更多更丰富的投资产品选择。
本文从实际出发,针对量化投资的基本概念、发展现状、投资平台、交易策
略等方面,进行了较为全面的阐述及分析。并根据当前研究的需要,自行开发搭
建了量化投资平台,以便灵活方便地支持量化投资策略的模拟分析。在此基础上,
基于沪深 300 股指期货市场的历史数据,本文使用量化投资方法对趋势跟踪投资
交易策略进行了深入的分析和研究。趋势跟踪交易策略主要是借助技术指标分析
行情趋势方向,本文重点针对移动均线(MA)、平滑异动移动平均线(MACD)、平
均线差(DMA)、三重指数平滑平均线(TRIX)四种指标的趋势策略进行优化、分析及
对比。通过模拟检验,使用趋势跟踪交易策略,投资者可以在沪深 300 股指期货
市场获得良好的收益率。本文设计的量化投资平台具有一定的实用价值,可以为
股指期货投资提供参考意见。

关键词:量化投资、交易策略、投资平台、趋势跟踪、策略优化
天津大学硕士学位论文量化投资交易策略研究
ABSTRACT

Quantitative investment has thirty or forty years of history of development in
overseas. It has been recognized by more and more investors for its stable
performance in investment and continuous growth of scale and share in the market.
Especially in the last ten years, quantitative investment has developed rapidly in
abroad. The top level masters of quantitative investment represented by Simons
created myths one after another. The increase of quantitative investment fund has also
outnumbered the traditional investment fund gradually.
However, the quantitative investment in China is still in its initial development
stage. Quantitative investment counts less than 5% in financial investment. With the
come of stock index futures in April 2010, quantitative investment starts to show its
development potential in the domestic market gradually. The major brokers and
institutional investors have launched in-depth studies of quantitative trading.
Quantitative investment funds became hot again in these two years. The performance
of some of the quantitative funds even takes the leading position. They bring more
options for the domestic investors.
This thesis illus