How to establish a quantitative trading system from scratch is understood in one article

To quote it, a popular one above Zhihu:

1. What to buy (stock selection).

2. When to buy (choose the right time).

3. How much to buy (**).

4. When to sell.

5. How much to sell.

To sum up, it is the timing of stock selection, stop loss and take profit.

To quote a popular :

The domestic quantitative market is on the rise, and several quantitative platforms have suddenly emerged, all of which are in the same model as the Quantopian of Wall Street in the United States, starting with tools, to the community and the crowdfunding strategy Hedge Fund. When it comes to tools, I have to mention RiceQuant, which is compared with several other quantitative platforms, and the two platforms that I have observed to be at the forefront are also relatively perfect, especially his tools, and the experience is still very good. Of course, every company has advantages and disadvantages, on the one hand, I really want to take advantage of their advantages and disadvantages, and on the other hand, I hope that both can develop well and provide better things for everyone.

I'm in the industry, so I'm more concerned.

If you want to do a good job, you must first sharpen your tools. Choose a good quantitative trading platform, the platform has excellent basic tutorials, guide users to build their own strategies step by step, and optimize and improve. At the same time, learn some strategies from your peers, or borrow good modules from others.

On the whole, the evaluation of the platform is: data, resources, programming experience (the richness and naming rules of the API, the running speed of the **), and the display of results. On the whole, the best quantitative trading platform in China is none other than the ricequant quantitative trading platform.

This height is just right, and it is effortless to step over. 35

1. What is quantitative trading?

Quantitative trading is the use of modern statistical and mathematical tools, with the help of computers to establish quantitative models, formulate strategies, and strictly follow the established strategy trading. Specifically, it can be divided into high-frequency trading and non-high-frequency trading, of which non-high-frequency trading is suitable for general individual investors and small and medium-sized institutions.

Quantitative trading is to replace human subjective judgment with advanced mathematical models, and use computer technology to select a variety of "high probability" events that can bring excess expected annualized expected returns from a huge historical data to formulate strategies, which greatly reduces the impact of investors' emotional fluctuations and avoids making irrational investment decisions in the case of extreme market fanaticism or pessimism.

2. Advantages of quantitative trading

1. Stable investment performance.

Because quantitative trading performance usually relies on the accumulation of profits generated by many high-probability events, it is only possible to enter the market when it meets its requirements. After multiple steps, layers of checks are carried out, which greatly improves the success rate. Although it doesn't guarantee that you will make money every time, it can win by probability.

This is mainly manifested in two aspects:

Quantitative trading continuously excavates patterns from historical data that are expected to be repeated in the future and makes use of them.

Rely on a group of ** to win, not one or a few ** votes to win. From the perspective of the portfolio concept, it is to capture the ** with a high probability of winning, rather than betting on a single ** ticket.

2. Be able to invest rationally.

It helps you stay rational in situations where it is easy to lose your rationality, so that you can seize the opportunity in time when the market overreacts and loses its rationality.

3. Strong ability to process information.

Individual trading ** market, the market will inevitably feel very at a loss, and quantitative trading has a stronger ability to process information. When we are facing the market, it feels like the sea, in the vast sea, if you want to continue to get returns, you need a guide. And this guide is our trading model, like a compass when the vast market is sailing.

Quantitative trading refers to the use of modern statistical and mathematical methods, the use of computer technology to trade in the best investment method, greatly reducing the impact of investor sentiment fluctuations, to avoid the market in the case of extreme fanaticism or pessimism, to make irrational investment decisions.

1. ** is a general term for a variety of economic rights and interests certificates, and also refers to special types of products, which are legal documents used to prove that the holder of the coupon enjoys a specific right and interests. **Mainly includes capital**, currency** and commodities**, etc. In a narrow sense, it mainly refers to the products in the market, including property market products such as property rights market products, debt market products such as bonds, derivative market products such as bonds, options, interest rates, etc.

The risk is manifested in the possibility that investors will not be able to obtain the expected income or even incur losses due to changes in the market or the issuer's reasons. **The risks and benefits of investing are linked. In the actual market, there are risks in any investment activity, and there is no investment that completely avoids risks.

2. Quantitative trading has the following characteristics:

1. Discipline.

Make decisions based on how the model runs, not on feelings. Discipline can overcome weaknesses such as greed, fear, and luck in human nature, as well as cognitive biases, and can be tracked.

2. Systematic.

The specific performance is "three more". First, there are multi-level, including models at three levels: asset allocation, industry selection, and selection of specific assets; The second is multi-perspective, the core idea of quantitative investment includes macro cycle, market structure, valuation, growth, earnings quality, analyst profitability, market sentiment and other perspectives; The third is multi-data, that is, the processing of massive data.

3. Arbitrage thinking.

Quantitative investment captures the opportunities brought about by mispricing and misvaluation through comprehensive and systematic scanning, so as to find valuation depressions and profit by undervaluing assets and selling overvalued assets.

4. Probability wins.

First, quantitative investment is constantly digging out and exploiting patterns that are expected to be repeated from historical data; The second is to rely on portfolio assets to win, rather than individual assets to win.

1. Quantitative trading.

In its simplest form, it is a computer that automatically trades a product according to a model.

2. For quantitative trading, the most important thing is the establishment of the model, which is generally with the help of modern statistical and mathematical methods, the use of computer technology from the massive historical data to find the law that can bring excess returns to formulate strategies, and the use of mathematical models to verify and solidify these laws and strategies, and then through programmatic trading to strictly implement.

Extended information: 1. Characteristics of quantitative trading.

1) Rationality, because it is a machine execution strategy, quantitative trading can minimize the impact of irrational decision-making under investors' emotional fluctuations, and some situations that are reluctant to buy and reluctant to sell will not occur in quantitative trading.

2) Fast, it is obvious that the machine orders are faster than people tapping the keyboard, and the other is that some quantitative transactions have special channels, which can also shorten the time for instructions to be sent to the exchange.

3) The convergence of the rise and fall is serious, some tickets rise by six or seven points, and suddenly touch the limit, and some tickets fall by six or seven points, and suddenly they run to the limit, which is largely the impact of quantitative trading.

2. A shares. The size of the quantitative trade.

In recent years, the quantification has continued to develop, and the industry leader is High-Flyer.

The scale of management has increased from 500 million in 2015 to 100 billion in June 2021.

On January 1, the market turnover hit a new high in recent years, reaching trillions, but today's market turnover is trillions, one step away from trillions.

Previously, it was rumored that "quantitative trading contributed half of the trillion-dollar trading volume of A-shares". However, according to the estimation of practitioners, the upper limit of the contribution of quantitative trading to the liquidity of the whole market is about 30%.

However, it cannot be ignored that quantification will bring a huge follow-up market, with the well-known Everbright "oolong finger" event.

For example, on August 16, 2013, Everbright**.

The 7.2 billion buy order has driven more than 30 billion funds into the market in the short term, resulting in the Shanghai Composite Index.

Suddenly, 59 heavyweights hit the limit.

Quantitative trading, the key is quantification, some originally perceptual things can be quantified with numerical values, expressed, quantitatively analyzed, and visualized, which are all quantitative. For example, we can replace human subjective judgment with advanced mathematical models, quantify market sentiment, and then guide our own trading. In quantitative trading, we call it a factor, such as a form factor, a factor of **, a financial factor, a value factor, etc., mainly according to the different trading search system, we will dig out the factors that are not the same, and then verify the effectiveness of the factors.

Quantitative trading is not the same as automatic trading, or programmatic trading, which is the process of programming thinking through algorithms and then putting it on the computer. It's a very broad concept, and it's not just for trading. For example, let the computer calculate 1+1.

Use fixed rules to guide trading, such as the stock price crosses above the MACD, auto**, etc., the stock price falls below the mean, and the auto-sell, etc.

For those who want to know more about quantification, you can learn about Darwinian quantification.

Quantitative trading is an investment method, which refers to the use of modern statistical and mathematical methods and the use of computing technology to trade in the first investment judgment method. Quantitative trading selects a variety of high-probability events that can bring excess returns from the huge historical data to formulate strategies, verifies and solidifies these laws and strategies with quantitative models, and strictly guides the solidified strategies to invest in repentance, so as to obtain sustainable, stable and higher than the average return of excess returns.