https://link.springer.com/chapter/10.1007/978-981-16-3067-5_12
这东西已经很多论文帮你回测过了
基本上是没什么用
https://www.backtrader.com/blog/2019-08-22-practical-backtesting-replication/practical-replication/
I've reproduced 130+ research papers about "predicting the stock market",
coded them from scratch and recorded the results. Here's what I've learnt
Because it has been deleted here a quick summary:
The strategies do not work
If the authors claim a given strategy stopped working due to alpha decay, the
tests were run against past data and it still did not work
Bottomline: It's all overfitting, p-hacking or a tiny alpha which doesn't
need to decay because commissions do already destroy the alpha.
就算是学术论文也充满陷阱
我建议看论文时
没有sharpe ratio的都直接跳过
不考虑交易成本的也直接跳过
只用个股OHLVC做预测的也直接跳过
你的交易成本够低吗？
你的系统速度够快吗？
你的资料品质够高够细腻吗？
建议以上几点都做到最好 再来玩量化交易
个人浅见