具有优化头寸退出规则的货币对交易

最新推荐文章于 2024-11-08 21:37:06 发布

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最新推荐文章于 2024-11-08 21:37:06 发布

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原文链接：https://towardsdatascience.com/pairs-trading-with-optimized-positions-exit-rules-811fa0c6be91

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算法交易 (Algo Trading)

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Towards Data Science编辑的注意事项： 尽管我们允许独立作者按照我们的 规则和指南 发表文章 ，但我们不认可每位作者的贡献。 您不应在未征求专业意见的情况下依赖作者的作品。 有关 详细信息， 请参见我们的 阅读器条款 。

Pairs trading is among the most popular trading strategies in many markets, ranging from equities and ETFs to currencies and futures markets. It involves taking simultaneous positions in two correlated assets. The idea is that while typically it is difficult to accurately capture the price evolution of a single asset, a pairs position may exhibit mean reversion that can be better modeled. In short, pairs trading is a market-neutral strategy that seeks to profit from the price convergence between the two assets.

配对交易是许多市场上最受欢迎的交易策略之一，从股票和ETF到货币和期货市场不等。它涉及同时在两个相关资产中持仓。这个想法是，尽管通常很难准确地捕获单个资产的价格演变，但货币对头寸可能会表现出均值回归，可以更好地对其建模。简而言之，成对交易是一种市场中立的策略，旨在从两种资产之间的价格趋同中获利。

Practical examples of mean reverting price spread include pairs of stocks/ETFs, futures and its spot, physical commodity and associated ETFs, and more. There are also automated approaches for identifying mean-reverting portfolios.

平均恢复价差的实际示例包括成对的股票/ ETF，期货及其现货，实物商品和相关的ETF等。也有用于识别均值回归投资组合的自动化方法。

配对示例 (Pairs Examples)

Below are some examples of asset pairs based on market observations and intuitions. The descriptions of the ticker symbols and associated exchange trading hours are shown in Table 1.

以下是一些基于市场观察和直觉的资产对示例。表1中显示了股票代码和相关交易所交易时间的说明。

USDJPY / NK : The choice is motivated by the positive correlation between these two assets. Given that Japan is export driven, when JPY strengths against USD (i.e. USDJPY weakens), Nikkei is expected to decline because of lower consumption. Conversely, when Nikkei, which is considered a risk sentiment indicator, weakens, JPY strengthens and so USDJPY weakens.

USDJPY / NK ：这是由这两种资产之间的正相关性引起的。考虑到日本是出口驱动的，当日元兑美元汇率走强(即美元日元贬值)时，由于消费量下降，预计日经指数将下跌。相反，当被认为是风险情绪指标的日经指数走弱时，日元走强，因此美元兑日元走弱。

USDCAD / CL : Canada is the 7th largest oil producer in the world.2 This suggests a positive correlation between the price of oil and CAD. When crude futures price increases, Canadian dollar appreciates and so USDCAD decreases.

USDCAD / CL ：加拿大是世界第七大石油生产国。2这表明石油价格与加元之间存在正相关关系。当原油期货价格上涨时，加元升值，因此USDCAD下降。

CL / USO : USO is the largest crude oil ETF that consists of a mixture of West Texas Intermediate (WTI) futures of different maturities. As such, USO and crude oil futures prices are expected to have consistent positive correlation.

CL / USO ：USO是最大的原油ETF，由不同期限的西德克萨斯中质(WTI)期货混合而成。因此，USO和原油期货价格有望保持一致的正相关。

GC / SI : Pairs trading between gold spot and silver spot, while staying neutral to metals exposure.

GC / SI：在黄金现货和白银现货之间进行交易，同时对金属敞口保持中立。

AUDJPY / SPX : This is pairs trading between risk-on currency AUDJPY and equity S&P500 futures. The later is commonly viewed as a barometer of general risk-on appetite of investors.

AUDJPY / SPX：这是风险货币AUDJPY与股票S＆P500期货之间的货币对交易。后者通常被视为投资者总体风险偏好的晴雨表。

USDCHF / GC : Swiss National Bank backs up a portion of their Swiss franc holdings with gold thus suggesting a correlation between the two assets. When gold increases in its value, CHF is expected to strengthen (i.e. USDCHF weakens), and vice versa.

USDCHF / GC：瑞士国家银行用黄金支持部分瑞士法郎资产，因此表明这两种资产之间存在关联。当黄金价格上涨时，瑞郎有望升值(即美元兑瑞郎贬值)，反之亦然。

C / GS : Citigroup and Goldman are two large-cap stocks are in the banking industry.

C / GS：花旗集团和高盛是银行业中的两支大盘股。

AAPL / FB : Apple and Facebook are two large-cap stocks in the technology sector.

AAPL / FB：苹果和Facebook是科技领域的两只大型股。

Image for post — List of assets with their ticker symbols, descriptions, and trading hours (in Eastern Standard Times).

投资组合建设 (Portfolio Construction)

We present a framework to examine the profitability of pairs trading. In particular, we illustrate how to adjust positions to enhance mean reversion and investigate the effect of using an optimized exit rule on the risks and returns of different pairs trading strategies.

我们提出了一个框架来检查交易对的盈利能力。特别是，我们说明了如何调整仓位以增强均值回归，并研究了使用优化的退出规则对不同货币对交易策略的风险和回报的影响。

Working with intraday prices, we consider portfolios of the form:

使用盘中价格，我们考虑以下形式的投资组合：

We fit any given portfolio value to an Ornstein-Uhlenbeck (OU) process

我们将任何给定的投资组合价值拟合到Ornstein-Uhlenbeck(OU)流程中

through maximum likelihood estimation (MLE).

通过最大似然估计(MLE)。

While pairs trading is an intuitive strategy, any serious pairs trading system must include a procedure for optimizing the positions along with timing for entry and exit.

虽然货币对交易是一种直观的策略，但任何严肃的货币对交易系统都必须包括一个程序，以优化仓位以及进出时间。

While observing the prevailing market prices, a trader can choose to establish a pairs trading position immediately or wait. After starting a pairs trade, the trader will need to decide when to close the positions.

在观察当前市场价格时，交易者可以选择立即建立对交易头寸或等待。在开始一对交易之后，交易者将需要决定何时平仓。

How does using an optimal exit rule improve the profitability of pairs trading?We consider the analytically optimal strategy, with formulae derived by Leung & Li (2015), where the position is liquidated at an optimal exit price. We then compare its performance against the baseline strategy with entry and exit at a standard deviation of the spread. No attempts have been made to optimize for performance other than the pair ratio and parameter selection as part of the OU model fitting.

使用最佳退出规则如何提高对冲交易的盈利能力？我们考虑采用由Leung＆Li(2015)推导的公式进行分析的最佳策略，其中以最佳退出价格平仓。然后，我们将其表现与基准策略的表现进行比较，并以利差的标准偏差进入和退出。除了作为OU模型拟合的一部分的配对比率和参数选择外，没有尝试优化性能。