November 2022
Intermediate to advanced
392 pages
10h 8m
Chinese
Content preview from Python算法交易
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掌握向量化回测
｜
117
图 4-6：欧元 / 美元的总体表现和优化的 SMA 策略
4.3
基于动量的策略
动量策略有两种基本类型。第一种是横截面动量策略。从大量标的中进行选择，这
些策略将购买那些相对于同行（或基准）最近表现出色的标的，并出售那些表现不
佳的标的。基本思想是，这些标的至少在一定时期内分别继续跑赢大盘和跑输大盘。
Jegadeesh
和
Titman
（
1993
，
2001
）和
Chan
等（
1996
）研究了这些类型的交易策略
及其潜在的利润来源。
传统上，横截面动量策略执行得很好。
Jegadeesh
和
Titman
（
1993
）写道：
这篇论文记录了购买过去表现良好的股票并出售过去表现不佳的股票的策略在
3
～
12
个月的持有期内产生了显著的正回报。
第二类是时间序列动量策略。这些策略购买了近期表现良好的标的，并出售了近期
表现较差的标的。在这种情况下，基准就是标的本身的过去收益。
Moskowitz
等。
（
2012
年）在广泛的市场中详细分析了这种动量策略。他们写道：
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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.