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研究生: 廖顥軒
Hao-Hsuan Liao
論文名稱: 多樣性系統交易策略之績效比較與視覺化平台的設計與建置
Design and implementation of the performance comparison and visualization platform for system trading
指導教授: 許智誠
Chih-Cheng Hsu
口試委員:
學位類別: 碩士
Master
系所名稱: 管理學院 - 資訊管理學系
Department of Information Management
論文出版年: 2022
畢業學年度: 110
語文別: 中文
論文頁數: 76
中文關鍵詞: 投資組合量化交易算法交易回測平台績效一致化流程元模型
外文關鍵詞: Back-testing platform, uniform performance metrics
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  • 金融科技領域近年來蓬勃發展,在金融商品投資的環節,隨著個人電腦與網路的普及,金融資料的獲取越來越容易,基於資料與演算法的算法交易投資策略也越發流行。這意味著投資者不再只是仰賴專業的金融機構提供投資建議,而是選擇自己喜愛的算法交易策略進行自動化的投資,更可以透過程式或是算法交易開發平台設計自己的交易策略,投資的主動權回到了大眾的手上。然而,策略模型有不同的設計緣由與績效的評估方法,投資者不易了解模型參數的意義與影響,也難以將不同的模型比較,選出符合他偏好的投資策略。
    針對此問題,本研究將基於算法交易的回測流程,設計整合異質性交易策略的流程元模型,投資者透過此元模型將可以把不同交易策略的績效一致化,達到使不同的交易策略可以一致的比較。同時,本研究也將使用此元模型設計視覺化的績效比較平台,此平台可以匯入不同的交易策略模型,藉由網頁表單調整模型參數,呼叫模型進行回測,並將模型回測的結果一致化的儲存,最終將不同模型的績效使用折線圖、長條圖等互動圖表疊圖顯示,投資者將可以輕易地分析模型的績效差異。本研究還設計樞紐分析與參數績效的篩選器,進一步提供模型的分析流程,投資者能從流程中對該模型的參數與績效有更多的理解,將能從本平台找到符合他偏好的投資策略。
    未來在本研究的平台能擴增更多的交易模型,並加上更多不同的績效評估指標,從更多的面向分析比較不同交易模型的差異,讓投資者可以快速且精確地找到他所偏好的模型。


    In recent years, fintech has risen rapidly. In the financial investment, with the popularization of personal computers and the Internet, it is easier to obtain financial data, and investment strategies based on data and algorithms are becoming more and more popular.
    This means that investors no longer rely on professional financial institutions to provide investment advice, but choose their favorite algorithmic trading strategies for algorithmic trading, and can design their own trading strategies through programs or algorithmic trading development platforms. Thus, they become empowered investors.
    However, each strategy model has different design reasons and performance evaluation metrics. It is difficult for investors to understand the meaning and effects of model parameters, and it is also difficult for investors to compare different models and choose investment strategies that meet their preferences.
    In response to this problem, this study will design a meta-process model that integrates different trading strategies based on the back-testing process of algorithmic trading. Through this meta-process model, investors will be able to align the performance of different trading strategies, so that different trading strategies is comparable.
    At the same time, this research will also use this meta-process model to design a visual performance comparison platform. This platform can import different trading strategy models, adjust model parameters through web forms, then call the model for back-testing, and report the results of the back-testing. The performance of different models is finally displayed using interactive chart overlays such as line charts and bar charts, thus investors will be able to easily analyze the performance of different models.
    This research also provides pivot analysis and a filter for parameters and performance metrices. Furthermore, it provides the suggested analysis process of the model. Investors can have a better understanding of the parameters and performance of the model from the process, and will be able to find out what model suits their preferences from this platform.
    In the future, this research platform can expand more trading models, and add more performance evaluation metrics. Comparing trading models from different perspective, so that investors can quickly and accurately find their preferred strategy.

    摘要 i Abstract ii 致謝辭 iv 圖目錄 vii 表目錄 ix 第一章 緒論 1 1.1 研究背景 1 1.2 研究動機 2 1.3 研究目的 3 第二章 文獻探討 4 2.1 算法交易 4 2.2 交易模型績效評估指標 5 2.3 資料視覺化(Data Visualization) 6 2.3.1. 資料視覺化介紹 6 2.3.2. 資料視覺化圖表 6 2.3.3. 資料視覺化工具 11 2.4 算法交易投資平台 12 2.4.1. Multicharts 12 2.4.2. Portfolio Visualizer 12 2.4.3. QuantConnect 13 2.4.4. Finlab 14 第三章 系統設計與實作 16 3.1 單一策略投資組合 16 3.1.1. 模型介紹 17 3.1.2. 單一策略投資組合資料模型 24 3.2 策略績效一致化模型 26 3.2.1. 共同績效指標計算 26 3.2.2. 績效指標儲存 27 3.3 系統流程 28 3.4 系統概述 31 3.4.1. 首頁—模型參數輸入頁面 31 3.4.2. 模型績效呈現頁面 33 3.4.3. 進階模型分析頁面 35 3.5 系統架構 37 3.5.1. 資料庫管理模組 38 3.5.2. 交易模型模組 38 3.5.3. 服務模組 40 3.5.4. 介面資料提供API 40 3.5.5. 視覺化模組 41 3.6 投資組合集合樞紐分析與視覺化 47 3.7 策略投資組合選擇推薦 51 3.7.1. 績效與參數篩選 51 3.7.2. 投資組合集合推薦 55 第四章 結論 57 4.1 結論 57 4.2 研究限制 57 4.3 未來建議 58 參考資料 59

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