https://link.springer.com/chapter/10.1007/978-981-16-3067-5_12
這東西已經很多論文幫你回測過了
基本上是沒什麼用
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.
就算是學術論文也充滿陷阱
我建議看論文時
沒有sharpe ratio的都直接跳過
不考慮交易成本的也直接跳過
只用個股OHLVC做預測的也直接跳過
你的交易成本夠低嗎？
你的系統速度夠快嗎？
你的資料品質夠高夠細膩嗎？
建議以上幾點都做到最好 再來玩量化交易
個人淺見