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
｜
125
图 4-13：黄金价格（美元）和动量策略的总表现（最近三个回报，交易成本为 0.1％）
4.4
基于均值回归的策略
粗略地说，均值回归策略依赖于与动量策略相反的推理。如果某项金融工具相对于
其趋势表现“太好”，则会被做空，反之亦然。换句话说，（时间序列）动量策略
假设回报之间为正相关，而均值回归策略则假设为负相关。
Balvers
等（
2000
）写 道：
均值回归是指资产价格回到趋势路径的趋势。
使用简单的移动平均线（
SMA
）作为“趋势路径”的代理，可以对
EUR/USD
汇率
中的均值回归策略进行回测，其方式与回测
SMA
和基于动量的策略类似。这个想
法是为当前股票价格和
SMA
之间的距离定义一个阈值，该阈值表示多头或空头。
4.4.1
基础入门
以下示例是针对两种不同的金融工具的，因为它们都基于金价，人们可能期望显著
的均值回归：
126
｜
第
4
章
•
GLD
是
SPDR
黄金的股票代码，
SPDR
黄金股票是最大的由黄金实物支持的
交易所交易基金（
ETF
）
[
请参阅
SPDR
黄金股票主页（
http://spdrgoldshares.
com
）
]
。
•
GDX
是
VanEck Vectors
黄金矿工
ETF
的代码，该基金投资股票产品以追踪纽
约证券交易所
Arca
黄金矿工指数
[
请参阅
VanEck Vectors ...
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