Understand how to get started with machine learning to quantify transactions?

author ： Black horse programmer
link ：https://www.zhihu.com/question/442308593/answer/2521160208
source ： You know
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1、 explain Quantitative trading Research process of
2、 Understand and quantify relevant work requirements 、 Development requirements
3、 Share a full set of quantitative transaction notes

Quantitative investment covers the whole transaction process , A complete quantitative back test as a study is needed frame And the firm offer trading system .

1、 Quantitative transaction research process

The quantitative backtesting framework provides complete data , And back testing mechanism for strategy evaluation , And can conduct real-time simulated transactions . Provide options for firm offers . Our research is generally done in the back test platform

1.1 The results of the analysis

The final result we want is a better analysis method and strategy in the back test . such as ：

1.2 What is strategy

Quantitative strategy refers to the use of computers as tools , Through a set of fixed logic to analyze 、 Judgment and Decision Making . The quantization strategy can be executed automatically , It can also be done manually . In fact, strategy can also be understood as , After analyzing the data , Decide what to buy and when to trade .

1.3 What the process contains

get data ：

• Corporate finance 、 News data
• Basic market data

Data analysis and mining ：

• Traditional analytical methods 、 machine learning , Data mining method
• Data processing , Standardization , De extremum , Neutral grouping back test , Industry distribution

Build strategy :

• Get historical quotes , Historical position information , Warehouse adjustment records, etc
• Stop profit and stop loss order , Price limit list , Market price list

Back testing :

• Stock price limit 、 Stop and resume trading
• Market shock , Transaction slip point , Service Charge

Strategic analysis :

Order analysis , Transaction analysis , Position analysis

Simulated transaction :

• Access to real-time quotes , Get the transaction return in real time
• Real-time monitoring , Real time attribution analysis

A firm offer :

Access to real brokerage accounts

Two 、 Quantify the requirements of development and research positions

Based on trading market data , Research 、 Develop trading strategies , Basic modeling

Responsible for back testing the trading strategy 、 track 、 analysis 、 Optimize

Regularly summarize the operation results of the trading strategy , Give the analysis report , Assess market suitability

Responsible for data mining 、 Handle , Statistical analysis of data , Find rules from the data , Support quantitative analysis , Develop quantitative model strategies

Cooperate with fund managers to track and optimize the performance of quantitative strategies in the stock market in the real market

3、 ... and 、 Follow up learning content

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