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配对交易是一类通过价差套利的统计套利策略,其主要研究内容为寻找配对风险资产和配对资产的最优阈值。部分协整方法(Clegg和Krauss,2018)可有效提高配对交易中的风险资产对数量和交易频率,是配对交易的新方法。本文将遗传算法融入部分协整配对交易方法,利用遗传算法求得最优阈值,引入滑动窗口检测配对股票的部分协整性,并采用双向交易机制抓住更多交易机会。这种交易方法克服了部分协整方法在阈值选取粗糙、参数失灵和交易机会丧失方面的问题。通过在S&P500、沪深300和牛熊市中的中证500指数分行业成分股中进行检验,并与原方法作比较,实证结果表明本文提出的方法在各类市场的表现均明显优于部分协整方法,且收益是稳健的。
Abstract：Pairs trading is a kind of statistical arbitrage strategy through spread arbitrage. Its main research content is to find the paired risk assets and the optimal threshold. Partial cointegration method can effectively improve the number of paired risk assets and transaction frequency. This paper integrates genetic algorithm into partial cointegration pairs trading method,uses genetic algorithm to obtain optimal threshold,introduces sliding window to detect partial cointegration of paired stocks,and adopts two-way trading mechanism to grasp more trading opportunities. This trading method overcomes some problems of partial cointegration methods in terms of threshold selection roughness,parameter failure,and loss of trading opportunities. Both methods are sufficiently tested under S&P 500 and various market conditions of Chinese stock market. Results show that the performance of the method presented in this paper is obviously better than that of the original method in various markets and the returns are robust.
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(1)因篇幅所限，操作方法以附录A展示，见《统计研究》网站所列附件。下同。
(1)夏普比率计算公式为SharpeRatio=(E(Rp)-Rf)*252(1/2)/σp,E(Rp)表示投资组合预期回报率，这里是指以日为单位计算得到的收益率; Rf是以日为单位的无风险利率;σp表示投资组合标准差，通过计算每日收益率的标准差来表示。乘槡252得到年化夏普比。
(2)本文的最大回撤皆为历史最大回撤，通过收益曲线动态历史最高点和最低点的差值计算得出。
(1)三年收益—标准差比率:计算方式为(三年投资组合的总收益-三年无风险收益率)/(三年交易收益率的标准差)。该指标可选择出回测期间收益更高、且单笔收益之间波动较小的股票对。
基本信息:
DOI：10.19343/j.cnki.11-1302/c.2020.09.008
中图分类号:F832.51;TP18;O212.1
引用信息:
[1]毕秀春,于晓雨,张曙光.基于遗传算法—部分协整理论的配对交易方法及应用[J].统计研究,2020,37(09):82-94.DOI:10.19343/j.cnki.11-1302/c.2020.09.008.
基金信息:
国家自然科学基金项目“金融大数据随机建模中若干非马氏问题及其应用的研究”(11471304);; 贵州财经大学引进人才科研启动项目“金融和保险风险中的若干问题研究”
2020-09-23
2020-09-23
2020-09-23