配对交易方法_COVID下的自适应配对交易，一种强化学习方法

配对交易方法

Abstract

抽象

This is one of the articles of A.I. Capital Management’s Research Article Series, with the intro article here. This one is about applying RL on market neutral strategies, specifically, optimizing a simple pair trading strategy with RL agent being the capital allocator on per trade basis, while leaving the entrance/exit signal untouched. The goal is to optimize an existing signal’s sequential trade size allocation while letting the agent adapt its actions to market regimes/conditions.

这是AI Capital Management研究文章系列的文章之一， 此处有介绍性文章。 这是关于将RL应用于市场中立策略，具体而言，以RL代理为每笔交易的资本分配者来优化简单的成对交易策略，同时保持进/出信号不变。 目的是优化现有信号的顺序交易规模分配，同时让代理人使其行动适应市场制度/条件。

Author: Marshall Chang is the founder and CIO of A.I. Capital Management, a quantitative trading firm that is built on Deep Reinforcement Learning’s end-to-end application to momentum and market neutral trading strategies. The company primarily trades the Foreign Exchange markets in mid-to-high frequencies.

作者： Marshall Chang是AI Capital Management的创始人兼CIO，这是一家定量交易公司，其建立在Deep Reinforcement Learning在动量和市场中性交易策略的端到端应用程序的基础上。 该公司主要以中高频交易外汇市场。

Overview

总览

Pairs trading is the foundation of market neutral strategy, which is one of the most sought-after quantitative trading strategies because it does not profit from market directions, but from the relative returns between a pair of assets, avoiding systematic risk and the Random Walk complexity. The profitability of market neutral strategies lie within the assumed underlying relationship between pairs of assets, however, when such relationship no longer withhold, often during volatile regime-shifting times such as this year with COVID-19, returns generally diminishes for such strategies. In fact, according to HFR (Hedge Fund Research, Inc.), the HFRX Equity Hedge Index, by the end of July, 2020, reported a YTD return of -9.74%[1]; its close relative, the HFRX Relative Value Arbitrage Index, reported a YTD return of -0.85%. There is no secret that for market neutral quants, or perhaps any quants, the challenge is not just to find profitable signals, but more in how to quickly detect and adapt complex trading signals during regime-shifting times.

交易对是市场中立策略的基础，这是最抢手的定量交易策略之一，因为它不从市场方向获利，而是从一对资产之间的相对收益中获利，避免了系统性风险和随机游走的复杂性。 市场中立策略的获利能力处于资产对之间假定的基本关系之内，但是，当这种关系不再保留时，通常在动荡的政权转换时期(例如今年的COVID-19)，这种策略的收益通常会减少。 实际上，根据HFR(Hedge Fund Research，Inc.)的数据，截至2020年7月，HFRX股票对冲指数的年初至今回报率为-9.74％ [1] ； 其近亲HFRX相对价值套利指数的年初至今回报率为-0.85％。 毫无疑问，对于市场中立的量化指标，或者也许对任何量化指标而言，面临的挑战不仅是寻找有利可图的信号，而且还在于如何在政权转换期间快速检测和适应复杂的交易信号。

Within the field of market neutral trading, most research have been focusing on uncovering correlations and refining signals, often using proprietary alte