Quantitative Invesrment Model And Practice Based On Two Technical Indicators

In recent years,China's quantitative market has developed rapidly.The public offering market has set off the investment heat of quantitative products,with the active quantitative investment represented by index active quantification,index enhancement and quantitative hedging.The scale of assets has already been nearly 100 billion,and the average level of the public performance won every year is not in the minority.But the main quantitative investment not only seeks the excess income factor from the macro and micro market,but also endows the stock selection factor with the technical indexes such as price and volume,especially paying attention to the time point of buying and selling.The method of technical analysis has a broad and narrow sense.Narrow sense technology analysis is mainly based on all kinds of technical indicators,such as MACD,RSI and Boll,and MA and other stock selection models to predict entry and departure points for sale.The broad technology analysis explores the operation rule of price through mining historical data,using complex mathematical tools and modern financial theory.Therefore,the effectiveness of quantified investment strategy must face a core question: is the price sequence random?The sampling data of this sample is the closing price of the Shanghai Composite Index from January 2014 to June 2016.Then the probability of the share price of the multi head average is calculated by the use of the average line theory to verify the analysis of whether the price of A shares obeys the random walk.The experimental results show that the 8 average business lines occupy 10% of the total arrangement and the empty arrangement,which indicates that there is a trend rule in the price of A shares.At the same time,this paper uses the same time cycle of CSI 300 Index as the reference value as the reference object,the model adopts the more mature theoretical results MACD segmentation technology,on the basis of testing the effect of single index stock selection,construction of double index selection strategy.Trading volume and MACD adopt equal weight combination method to build investment model.The realization of quantitative thinking through Python language can avoid the influence of human subjective factors.From 6 to June 16,2017 January 2014,the data source was flush.Through historical back test,the cumulative income of double technical indicators was 114%,and the cumulative income of Shanghai and CSI 300 Index was 39% in the same period,while the cumulative income of the single technology strategy was higher than the benchmark income,indicating that technical analysis was effective in the A stock investment.MACD segmentation is the bar technology.After the identification of the existing price trend,through the analysis of the characteristics of the price inflection point of each daily line,the timing of the present turning point is obviously improved after adding the volume,the rate of return is greatly improved and the noise signal is weakened obviously.