Trading Strategies Evaluation Platform with Extensive Simulations

被引：0

作者：

Wang, Yan ^{[1
]}

Lee, Tsz Ho ^{[1
]}

Yu, Run Fang ^{[1
]}

Xiang, Yi ^{[1
]}

Liu, Yang ^{[1
]}

Bin Lei, Zhi ^{[1
]}

Chau, Ka Yin ^{[2
]}

机构：

[1] HK Appl Sci & Technol Res Inst, Hong Kong, Peoples R China

[2] City Univ Macau, Taipa, Macao, Peoples R China

来源：

2019 IEEE CONFERENCE ON COMPUTATIONAL INTELLIGENCE FOR FINANCIAL ENGINEERING & ECONOMICS (CIFER 2019) | 2019年

关键词：

Heston model; extensive simulation; simulation platform; trading strategies; evaluation tool; regression; MARKET; SYSTEM;

D O I：

10.1109/cifer.2019.8759059

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

This work has presented a simulation platform to examine trading strategies and assess their profitability and risk exposure. The methodologies consist of evaluating risk measures such as annual return and maximum drawdown and analyzing the features of trading signals through an extensive amount of market data covering various market scenarios. The Heston model is proposed to simulate different markets that represent all possible cases of trends and fluctuations that will possibly occur in the future but may not be discovered in the historical data. The proposed simulation platform serves as an evaluation tool to select trading strategies under different markets.

引用

页码：8 / 12

页数：5

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