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High-frequency quantitative strategies for Stocks

2019 - 07 - 24
Mid-High frequency CTA strategy for Commodities

2019 - 07 - 24
Sub high-frequency intraday CTA strategy for Stock Index Futures

2019 - 07 - 24
Overnight CTA strategy for Stock index Futures

2019 - 07 - 24

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Shanghai Goku Data Com Center （Limited Partnership）

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High-frequency quantitative strategies for Stocks

2019 - 07 - 24

点击次数: 162

Strategy Type: level II high-frequency trading data are constructed into multi-dimensional features for practical input, deep learning and other machine learning algorithm, thus build portfolios. ...

Mid-High frequency CTA strategy for Commodities

2019 - 07 - 24

点击次数: 172

Strategy Type: Trend following and Long-Short hedging strategy Investment Targets: Commodities & futures. Holding Period: 0.5-3 daysPreferred Market and P&L: Prefer trending market ...

Sub high-frequency intraday CTA strategy for Stock Index Futures

2019 - 07 - 24

点击次数: 157

Strategy Type: Day trading arbitrage of stock index futures based on high frequency trading database.Investment Targets: Stock index futuresHolding Period: 5-15 min. Preferred Market and P&L:...

Overnight CTA strategy for Stock index Futures

2019 - 07 - 24

点击次数: 60

Strategy Type: Overnight trading of stock index futures based on high frequency trading database.Investment Targets: Stock index futuresHolding Period: 1-3 days. Preferred Market and P&L: Pre...

Research Hui version

策略周报20181012

市场本周市场情绪明显上升。本周换手率明显上升，融资余额基本持平，市场成交额小幅上升，市场成交量明显上升。从周涨跌幅来看，上证综指下跌7.6%，深证成指下跌10.03%，中小板指下跌11.32%，创业板指下跌10.13%;沪深300下跌7.8%，上证50下跌6.24%，中证500下跌10.89%，上证180下跌7.19%。从年涨跌幅来看，上证综指下跌21.17%，深证成指下跌31.54%，中小板指下跌32.5%，创业板指下跌27.63%;沪深300下跌21.34%，上证50下跌14.55%，中证500下跌31.56%，上证180下跌17.37%。策略本周A股市场经历了一波极为猛烈的下跌行情，有别于做多为主的私募和产品，量化对冲型策略盈利依赖于市场波动率的提升，上周的下跌带来了久违的波动，从而各个类型的量化选股策略都有较好的表现。本周商品期货整体震荡，其中黑色系板块走出了一波上涨趋势，农产品、化工、金属等板块内部散乱，波动率维持在低位。股指期货市场弱势反弹后继续下挫。目前商品期货只有局部板块性机会，股指期货市场波动率也较小，我们会在策略组合维持现有品种的资金配比，另外适度增加反转策略的比重，减少趋势策略，分散标的和策略以达到最优的盈亏比。

发布时间: 2018 - 10 - 15

浏览次数：26

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