結合因子分析與程式交易應用於台股之自動化回測與驗證平台;An automated backtest platform combining factor analysis and program trading on Taiwan stocks

NCU Institutional Repository > 管理學院 > 資訊管理研究所 > 博碩士論文 > Item 987654321/86564

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题名:	結合因子分析與程式交易應用於台股之自動化回測與驗證平台;An automated backtest platform combining factor analysis and program trading on Taiwan stocks
作者:	卓育辰;Zhuo, Yu-Chen
贡献者:	資訊管理學系
关键词:	量化交易;程式交易;多因子模型;因子分析;技術面分析;移動窗格;分散式運算;Quantitative Trading;Program Trading;Multi-Factor Models;Factor Analysis;Technical Analysis;Walk Forward Analysis;Distribute Computing
日期:	2021-07-12
上传时间:	2021-12-07 12:58:29 (UTC+8)
出版者:	國立中央大學
摘要:	多因子模型相關的研究大多針對使用各種方法找出有效的因子組合，然而鮮少研究接續探討多因子模型結合技術面策略之相關驗證，以及如何建置這些自動化回測與驗證平台。對此本研究參考謝昀峻 (2018)提出之類似實驗設計為概念，以此為基礎加入多因子模型結合技術面策略動態換股策略，同時改進了能夠根據條件動態配置資金權重，並且以 Pardo (2011)所提出投組最佳化方法——移動窗格設計系統流程，使能夠動態驗證策略穩定性，然而其系統架構與流程設計存在種種限制無法兼容上述需求，故本研究自行以 Python 開發一套具備上述功能之自動化回測與驗證平台，此外由於移動窗格之系統流程設計需要較多的運算資源，故參考林泓志 (2020)研究中使用的多節點偵測任務分散式演算法設計系統架構，以多台主機同時運算分擔運算負載。本研究以 8 種單因子與 4 種雙因子組合搭配各種策略組合進行實驗，主要交易策略共有買入持有與動態換股 2 種策略，另外動態換股包含其他設定，例如最佳化參數窗格配置中的固定參數、定錨、非定錨；資金權重分配方法中的等資金權重、最大化資金利用方法。並且會再實驗以各種組合選擇不同群組之候選股以及持有不同最大持有股數之差異，最後將績效以多種視覺化圖表呈現，從不同角度剖析策略表現。;Most of the researches related to multi-factor models are aimed at finding effective factor combinations using various methods, but few studies continue to explore the verification of multi-factor models combined with technical analysis strategies, and how to build these automated backtesting and verification platforms. In this regard, this research refers to the concept of similar experimental design proposed by 謝昀峻 (2018). Based on this, it adds a multi-factor model combined with a technical analysis strategy dynamic exchange stock strategy. At the same time, it improves the ability to dynamically allocate capital weights according to conditions, and use walk forward analysis which is a portfolio optimization method, proposed by Pardo (2011) to design system process, so let it can dynamically verify the stability of the strategy. However, its system architecture and process design have various limitations and cannot be compatible with the above requirements. Therefore, this research uses Python to develop an automated backtest and verification platform with the above functions. In addition, because the system process design of the walk forward analysis requires more computing resources, the system architecture is designed with reference to the multi-node detection task distributed algorithm used in the research of 林泓志 (2020). It uses multiple hosts to perform simultaneous operations to share the computational load. This study uses 8 single-factor and 4 dual-factor combinations with various strategy combinations to conduct experiments. The main trading strategies include two strategies: buy and-hold and dynamic stock exchange. In addition, dynamic stock exchange strategies includes other settings, such as in the optimization parameter window configuration, there are fixed parameters, anchored, and non-anchored; There are equal capital weight and maximum capital utilization methods in the capital weight distribution method. Besides, we will experiment with various combinations to select candidate stocks in different groups and the difference in holding different maximum number of shares. Finally, the performance will be presented in a variety of visual charts to analyze the performance of the strategy from different perspectives.
显示于类别:	[資訊管理研究所] 博碩士論文

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