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A new low frequency amplitude quantitative trading opening signal failure havd707

A shares the amplitude frequency of low quantitative trading opening signal failure Sina fund exposure: the letter Phi lag of false propaganda, long-term performance is lower than similar products, to buy the fund by the pit how to do? Click [I want to complain], Sina help you expose them! Daily fluctuations of zero position signal failure – Quantitative Trading reporter Xu Wenqing A shares market within a narrow range for months, since September intraday volatility is very small, which brings difficulties to capture good quantitative trading volatility and trading signals, the intraday trend tracking strategy is influenced by. However, fund researchers believe that the effectiveness of such strategies are still exist, the effect of different sub strategy combination is better. At the same time, if the market is in a state of low volatility for a long time, it is not only the quantitative trading strategy, but also the profitability of most of the strategies in the market. Volatility reduces the impact of quantitative profitability is indeed difficult to do recently." Beijing, a private equity investment director told the China Securities Journal reporter, we are the future of the trend tracking strategy used in the spot. When Jiancang signal occurs, we will buy a package of stock; and when the position signal occurs, we will quickly exit. For this strategy, finishing a narrow range of traders can not find the position signal, the volatility is not up to the standard model would not be Jiancang, which will affect the rate of return. The last two months, the income is relatively general, after the removal of transaction costs, it is entirely contributed to the market liquidity." Big ticket fluctuations do not, small ticket is relatively good, so we have a slight adjustment in the market strategy used." Lattice financial researcher Lei Lei believes that the market volatility will be significantly smaller part of the day to follow the trend of the main strategy to bring a greater impact, such as the day before the market is more sought after rotation strategy (ie, quantitative T+0). However, if the market is in a state of low volatility for a long time, the profitability of most quantitative trading strategies in the market will be affected. For example, to quantify long strategy, reduce volatility will make profit discount strategy; the market neutral strategy, stock market volatility will lead to low stock bull end profit space is limited, resulting in lower overall revenue; in addition, low volatility will make the arbitrage opportunity in the market is relatively reduced, thus affecting the strategy overall profitability. Lattice financial data show that this year the average income of nearly a month of market neutral strategy of Alfa’s strategy was 0.05%, compared with the previous two months of gains obvious contraction; average income arbitrage is 1.03%, with the previous two months was flat or slightly higher. However, a good buy fund researcher goofy said that the situation is not absolute, fund managers can adapt to market conditions to adjust the strategy of adaptation, or increase the strategic combination, there will still be better performance. Goofy said, part of the index enhancement strategy and market neutral strategy management, but will increase the technical (volatility) of other factors such as weight factor, fundamentals, financial indicators, or partial longer-term technical indicators, which can track or exceed by per month or longer period of market performance, this strategy is not to be on相关的主题文章: