程式交易介紹及 FinTech 創作分享
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程式交易介紹及 FinTech 創作分享
Philipz (鄭淳尹)2017-03-19 臺大黑客松 Tech. Talk
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※注意※此程式交易分享,只是證明資料分析及程式決策應用於期貨交易上,並非鼓勵從事高風險投資。
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個人經歷元智大學資工所
臺北榮總資訊工程師
玉山銀行資訊處專員、Acer eDC 維運工程師(CCNA)
2014 COSCUP/iThome Summit 講者
2015 Microsoft Azure 開發者大會 講者
2016 COSCUP Docker 進階工作坊
2016 Microsoft 社群開源營
元智資工專題演講、義守資工 Docker 研習營
逢甲資工 Docker 研習班
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翻譯著作歐萊禮《基礎架構即程式碼》譯者
歐萊禮《Docker 錦囊妙計》譯者
碁峰《Docker入門與實戰》、
《Kubernetes使用指南》審譯者
研究領域
Docker, 雲端架構, 大型主機
Java, Matlab, 機器學習
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FinTech創作過程
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期貨很可怕!
小孩別碰~
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MA?
MACD?
KD?
RSI?
布林通道?
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2008 TradingBot2009 Plurk 2010 Twitter 2011 Facebook粉絲頁
2012 部落格
透過即時傳送訊息
日曆紀錄每日交易紀錄
History
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程式交易是什麼?
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程式交易的誤解
1. 沒有捷徑
2. 人工替代方案
3. 仍是高風險
4. 環節多
5. 風險承受度不同
6. 主觀,沒有答案
7. 發展自己的交易程式
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Why use?好處
1. 紀律 - 恐懼貪婪
2. 省時省力
3. 反應快、準確
壞處
1. 缺乏彈性
2. 影響”因數”多3. Normal Accidents 真實案例
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Why use? Flash Crash2010-05-062013-04-23***2015-01-152016-10-06
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Very Difficult
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正確的投資心態
1. 程式交易當成副業
2. 別想一夕致富
3. 追求穩定獲利
4. 天下沒有白吃的午餐
5. 投資跟投機
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審視自身條件
1. 心理建設
2. 程式能力
3. 風險控管
4. 確定金融商品
5. 進出頻率
6. 恆心
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程式交易類型
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Rule-based 演算法
資訊領域亦稱白箱方法
主流方法,直接因果關係
TS、MC、HTS等等
入門簡單、清楚直觀,適合非資訊領域使用者
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ML-based 演算法
全名 Machine Learning 機器學習
資訊領域亦稱黑箱方法,資料分析
高階方法,交易軟體無直接支援,R、Matlab
入門困難、倚賴輸入資料建立模型,資訊背景
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Pattern Recognition● OCR● Speech recognition● Face recognition● Trading system
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高頻交易演算法
全名 High Frequency Trading
純粹比網路速度和運算速度,建置於交易所旁
造市補貼,成本限制,不適合個人投資者
客製化硬體 - ASIC 特殊應用積體電路
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Statistics vs Machine Learning
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http://trump2cash.bizhttps://github.com/maxbbraun/trump2cash
Trump2Cash
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TradingBot 演算法
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系統架構
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開發流程
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利用訊號處理技術
● Input○ Tick only
● DWT○簡單
○快速
○去除雜訊
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模式 Pattern?Right man + Right thing +Right moment● 進出頻率● 跨領域方法Ex: OP Open Interest?
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模式 Pattern?Right man + Right thing +Right moment● 進出頻率● 跨領域方法Ex: OP Open Interest?
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TradingBot - Trend following
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TradingBot - Trend reversal
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TradingBot - Overweight
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Why Day Trading?● 以一天為分割點
● 每天都是獨立,方便切割
● Cross-validation較簡單
● 留倉交易,如何切割回測資料?
● 留倉交易,如何界定是Pattern還是運氣?
● 留倉交易,需參考資料是否更多?
● TradingBot is Day Trading~
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Machine Learning - SVM
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TradingBot Flowchart
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Big Problems1. 盤整及突破的判斷
2. 區域的最高點及最低點
3. 轉折的判斷
4. 出場條件 - 停損停利
5. 加碼問題
6. Patterns or Just Lucky
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範例1:加碼問題
2012年回測結果
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範例2:選擇權回測
直接拿選擇權價格來回測,倒果為因?
1. 利用期交所每日收盤Tick資料來回測
2. 動態定商品(7500CALL或8000PUT)3. 再以商品及時間點取Tick價格。
4. 一定要有選擇權回測的資料才能確定策略的可用性。
期交所每筆成交資料
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選擇權程式交易的困難
股票、基金:1. 方向正確
期貨:1. 方向正確 2. 時間正確
選擇權:1. 方向正確 2. 時間正確 3. 價格正確
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回測程式 - In MemoryWalking Forward - 低變異高偏差
記憶體直接存取
多核心平行計算
暴力法能解決的
就不要花腦力去最佳化
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程式交易是
沒有一步登天的
交易領域的物理嫉妒
金融風暴背後的公式
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辦事員 ⇒ ATM/CDM電話行銷 ⇒ ChatBot 交易員 ⇒ Trading Sys.???
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辦事員 ⇒ ATM/CDM電話行銷 ⇒ ChatBot 交易員 ⇒ Trading Sys.???
众
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名與利是伴隨而來,並非追尋的主要目標
感謝您的聆聽