用动量策略优化遗传算法的技术交易规则：来自期货市场的证据

IF 1.8 4区经济学 Q2 BUSINESS, FINANCE

Journal of Futures Markets Pub Date : 2024-07-18 DOI:10.1002/fut.22543

Shihan Li, Shuyao Li, Qingfu Liu, Yiuman Tse

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引用次数: 0

摘要

本文介绍了一种创新的基因优化动态复合策略，以实现期货市场的盈利。利用 35 种交易活跃的期货合约的每日数据（1984-2022 年），我们强调了将动量效应纳入动态移动平均线策略的潜在优势。这种增强可以提高策略捕捉和利用市场趋势的能力，确保持续稳定的收益。所开发的动态复合技术交易策略希望能为投资者和金融学术界提供有价值的参考，促进该领域的进步。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Optimizing Genetic Algorithm With Momentum Strategy for Technical Trading Rules: Evidence From Futures Markets

This paper introduces an innovative genetically optimized dynamic composite strategy for achieving profitability in futures markets. Utilizing daily data from 35 actively traded futures contracts (1984–2022), we highlight the potential advantages of integrating the momentum effect into dynamic moving average strategies. This enhancement can boost the strategy's capability to capture and capitalize on market trends, ensuring consistent and stable returns. The developed dynamically composite technical trading strategy aspires to be a valuable reference for investors and the finance academic community, contributing to advancements in the field.

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来源期刊

Journal of Futures Markets BUSINESS, FINANCE-

CiteScore

3.70

自引率

15.80%

发文量

期刊介绍： The Journal of Futures Markets chronicles the latest developments in financial futures and derivatives. It publishes timely, innovative articles written by leading finance academics and professionals. Coverage ranges from the highly practical to theoretical topics that include futures, derivatives, risk management and control, financial engineering, new financial instruments, hedging strategies, analysis of trading systems, legal, accounting, and regulatory issues, and portfolio optimization. This publication contains the very latest research from the top experts.