摘要：本文的主要内容是针对大宗商品给出了一个开发策略的支持系统和一个基于MA指标和MACD指标的综合程序化交易策略,并对策略在大宗商品中的适用性进行了检测.
本文在前两章使用了文献查阅法、文献综述法对程序化交易的背景和内容进行了介绍.
在第三章的前两节中使用论述法和解释说明法,引入了开发支持系统的构建是为了能够给出一套面对所大宗商品的程序化交易测的策略开发模型,进而能够实现对大宗商品程序化交易的策略开发.在之后的四节中,我通过Python编程实现了基于MACD指标的产品沪金的一个交易策略的程序测试系统,并通过参数调整,将对于这个产品的这个策略的程序化交易调整到最佳状态.因为这个系统可以更改参数和策略条件,因此我称之为策略开发支持系统,简称开发系统.
在第四章中,我引入了MA指标和MACD指标组合的36中交易策略,并将止损幅度和开仓保证金幅度设为变量,使用开发支持系统对这些策略进行测试,完成了多策略的筛选,到此开发系统构建完成.之后我又将此方法对其他大宗商品进行了策略的开发和优化.
最后我通过本文给出的交易策略多建立的开发系统进行了评价,并对本文做了总结以及个人小结.
关键词：程序化交易 开发支持系统 参数调整 策略选择
Development of commodity program trading strategy
Abstract: The main content of this paper is to provide a development strategy support system for commodity and a comprehensive programmatic trading strategy based on MA indicators and MACD indicators, and to test the applicability of the strategy in bulk commodities.
In the first two chapters, the literature review method and literature review method were used to introduce the background and content of program trading.
In the first two sections of the third chapter, the discourse method and explanation method were used, and the construction of the development support system was introduced in order to be able to provide a set of strategy development models for the programmatic transaction measurement of the bulk commodities, and then to achieve the Strategic development of commodity programmatic trading. In the next four quarters, I implemented a program testing system for trading strategies based on the MACD indicator based on the MACD indicator through Python programming, and adjusted the programmatic trading of this strategy for this product to the optimal state through parameter adjustment. Because this system can change parameters and policy conditions, so I call it the strategy development support system, referred to as the development system.
In the fourth chapter, I introduced the 36-trade strategy combining the MA indicator and the MACD indicator, and set the stop loss margin and opening margin magnitude as variables, and used the development support system to test these strategies and completed the multi-strategy. Screening, to this development system is completed. Later, I developed and optimized this method for other commodities.
In the end, I evaluated the development system built by the trading strategies given in this paper, and summarized this article as well as the personal summary.
Keywords: programmatic trading development support system parameter adjustment strategy selection.
目录
第一章：绪论 1
1.1程序化交易的起源和发展 1
1.3程序化交易的概念 3
1.4程序化交易的优势 3 大宗商品程序化交易策略开发:http://www.chuibin.com/shuxue/lunwen_205338.html