Quantitative Strategy Based On Decision Tree And Bollinger Band

In the stock market,prudent investment strategy and calm mind are two essential factors for investors to achieve good returns.However,in the actual trading,a considerable number of investors have repeatedly fallen into the trap of blind investment and emotional investment.The emergence of quantitative methods promotes the progress of investment methods.Investment methods based on quantitative measurement are more rational and reliable,and will not be affected by personal irrational emotions.Therefore,it is of academic and practical value to establish a quantitative strategy suitable for investors.Firstly,this paper chooses six basic indicators which reflect the stock value as stock price prediction indicators,namely,market selling rate,market present rate,price-earnings ratio,return on total assets,net profit growth rate and stock return rate.Then these indicators are applied to build decision tree,and CART algorithm is used to build dynamic decision tree model.The decision tree model is innovatively pruned and filtered to avoid the risk.It avoids over-fitting of the model,so as to determine the stable relationship between enterprise value indicators and future stock returns,and select stocks suitable for long-term investment.Then the selected stock price time series is pre-processed by wavelet de-noising method.Mallat algorithm is used to decompose the wavelet through low-pass filter and high-pass filter,then smooth and reconstruct it.The large period of fluctuation of the stock price time series is clearer,and the slight change of stock price is eliminated,thus realizing the effectiveness of long-term stock ownership timing.Finally,the time series of pre-processed stock prices are selected by using Brin band index,and the time points of stock buying and selling are determined by the rules of the upper and lower trajectories set by price breakthrough.According to the industry characteristics of the selected stocks,the specific parameters are improved to achieve the purpose of winning the market,and a set of quantitative timing strategy is constructed.