The Expansion And Application Of Traditional Pair Trading Based On Intelligent Investment In A-share Market

With a smart investment boom,more and more market participants love to achieve investment strategy decision with the help of computer,intelligent investment became the object of many financial institutions and financial platform research with high efficiency and high yield.This strategy by means of quantitative intelligent platform using core idea of pair trading background of the intelligent investment adviser,the Chinese A stock market can not be short selling,in the capital market Chinese pairs trading have a wider application space,this paper mainly researches on the strategy of design rationality and optimality of the parameters involved in the strategy a classification of the traversal,the sliding window set to find the optimal parameters to achieve maximum profits and minimum retracement,integrated method and using a plurality of paired transactions at the same time,developed a ALPHA-BETA integrated pair trading strategy.This paper takes the Shanghai A 50,Shanghai Stock Exchange 100,Shanghai 180 and Shanghai Stock Exchange 380 as an example,mainly through machine language programming to achieve the two parts of stock selection and stock trading.The first part: relying on correlation and standard deviation as the programming reference index traversal and screening of stock on the use of R language;the second part: the mean and standard deviation of sliding positions,positions,stop trading.But it is important to emphasize that this strategy in the process of design,combined with the characteristics of Economic Research on sliding traversal times of three kinds of parameters on the strategies involved in the three kinds of parameters,mainly refers to: open,open,stop signal parameters;formation period of pair trading parameters;matching transaction execution period parameters.This paper mainly through the python machine language back test in intelligent investment strategy poly wide platform after quantization,traversal,optimization of signal parameters,we get the parameters of income risk balance settings set by empirical parameters: open =0.6 signal,Jiancang =1.8 signal,stop signal =2.6,sliding window(trade formation stage)200,the transaction execution period is set according to the market participants' risk preference,according to the empirical results suggest that selection of 9 months-11 months,2 stocks cross industry 6 stock strategy profit is better than the same industry,so that investors can make many stocks to the portfolio investment strategy,in the process of portfolio investment we must pay attention to the stock selection and market timing.The results obtained in this paper are basically consistent with the conclusions of many other scholars at home and abroad.The parameter setting of this strategy has been studied through a certain amount of empirical research.During the retest period,the return is significantly higher than that of the same period,and the retracement is relatively small.This paper is organized as follows: first introduce the theory and theory of pair trading margin,and then analyze how to use the application of pair trading and paired transactions in A stock market in China,then analyzes the strategy of Alpha and Beta revenue revenue sources and integrated matching theory(i.e.multiple pairs at the same time),then leads to transaction method ALPHA-BETA the integration of pair trading strategy,through the 2 stocks to prove the rationality and feasibility of the strategy,followed by 754 stocks as an example using R language to optimize the stock selected 50 stocks to traverse,and then use the python language in the poly platform selected to quantify the width of the stock back test,observe the strategic benefits.Although the strategy overcomes the unreasonableness of some traditional model analysis,there is still a lot of room for improvement.We should learn from the experiences and lessons of other places and countries.We should first establish a transitional and specialized securities financial company model,and turn it into a market-oriented model after the time is ripe,especially in China,which isstill a "economic transition" country,which should take full account of the existing national conditions of our country and the existing volume of China.