November 2022
Intermediate to advanced
392 pages
10h 8m
Chinese
Content preview from Python算法交易
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24
｜
第
1
章
本书使用的许多
Python
编程方式（例如，面向对象的编程）和程序包（例
如，
scikit-learn
），我们就不做详细解释了。重点放在了如何将这些
方式和程序包应用于算法交易过程中的不同步骤。因此，建议那些还没
有足够的
Python
（金融方面）经验的人参考更多介绍
Python
的书籍。
1.5
交易策略
本书中以四种不同的算法交易策略为例，在以下各节中将对其进行简要介绍，并在
第
4
章中对进行更详细的介绍。所有这些交易策略大部分都可以归类为
alpha
搜索。
策略，因为它们的主要目标是独立于市场方向产生积极的，高于市场的回报。在涉
及交易的金融工具时，本书中的经典示例是股指，单一股票或加密货币（以法定货
币表示）。本书没有涵盖同时涉及多种金融工具的策略（成对交易策略，篮子交易
策略等）。它还仅涵盖其交易信号来自结构化，金融时序列数据的策略，而不包括
例如新闻或社交媒体供稿等非结构化数据源的策略。这让讨论和
Python
实现简洁明
了，更易于理解，这与前面讨论过的专注于
Python
进行算法交易的方法一致。
注
9
本章的剩余部分快速概述了本书使用的四种交易策略。
1.5.1
简单移动平均线
第一种交易策略依靠简单的移动平均线（
SMA
）生成交易信号和市场头寸。这些交
易策略已被所谓的技术分析师或图表专家广泛采用。基本思想是，短期
SMA
的价
值高于长期
SMA
的信号，这表示市场处于多头状态，反之则表示中立或空头。
1.5.2
动量策略
动量策略背后的基本思想是，假定金融工具会根据其最近的表现再执行更多的时间。
例如，当一个股票指数在过去五天的平均回报为负时 ...
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O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.Julian F.
I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.Addison B.
I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.Amir M.
I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.