量化交易策略建模综述

一、常见的features
（一）time lags
（二）

（三）


（四）CCI
CCI = (Typical price - MA of Typical price) / (0.015 * Standard
deviation of Typical price)
（五）Ease of Movement(EVM)
（六）Distance moved = ((Current High + Current Low)/2 - (Pior High + Pior Low)/2)
（七）MA
（八）Rate of Change(ROC)
（九）Bollinger Bands
更多的参考https://school.stockcharts.com/doku.php?id=technical_indicators
二、modeling
（一）Random Forests
（二）Logistic Regression
（三）SVM