基于广义自回归条件异方差选股模型的布林带通道突破择时量化交易  

Quantitative Trading of Bollinger Band Channel Breakouts Using the Generalized Autoregressive Conditional Heteroskedasticity Stock Selection Model

作　　者：韩策 林丹婷 柯鹏飞 吕佳钰 谢宛真 仰小凤 HAN Ce;LIN Danting;KE Pengfei;L Jiayu;XIE Wanzhen;YANG Xiaofeng(School of Economic,Hangzhou Normal University,Hangzhou 311121,China)

机构地区：[1]杭州师范大学经济学院,杭州311121

出　　处：《科技和产业》2024年第19期209-218,共10页Science Technology and Industry

摘　　要：提出一种综合利用广义自回归条件异方差模型进行波动率选股、布林带通道突破择时和平均真实波幅(ATR)动态止损的量化投资策略。首先,利用广义自回归条件异方差(GARCH)模型预测未来一周波动率最大的30只股票,构建股票池;其次,采用布林带指标进行择时,捕捉价格趋势变化;最后,根据平均真实波幅指标调整止损位,保护资本。通过多次回测,确定最佳参数。研究结果表明,该策略在不同市场环境下均表现出色,熊市具有较好的避险能力,牛市和震荡市场具有较强的盈利能力,实现了稳定的超额收益。综合运用波动率选股、价格突破和动态止损策略,为投资者提供了一种有效的量化投资方案。Proposing a quantitative investment strategy that integrates the generalized autoregressive conditional heteroskedasticity model for volatility stock selection,Bollinger Band channel breakout timing,and average true range(ATR)dynamic stop-loss.Firstly,30 stocks with the highest future volatility for the upcoming week are predictd using the generalized autoregressive conditional heteroskedasticity(GARCH)model to construct a stock pool.Secondly,the Bollinger Bands indicator for timing is used to capture price trend changes.Lastly,the stop-loss level based on the ATR indicator it adjusted to protect capital.Through multiple backtests,optimal parameters were determined.The results demonstrate the strategy s performance across various market environments,showcasing its risk-avoidance capabilities in bear markets,profit-making abilities in bull and sideways markets,and stable excess returns.The comprehensive use of volatility stock selection,price breakout,and dynamic stop-loss strategies offers investors an effective quantitative investment solution.

关 键 词：量化投资 波动率 广义自回归条件异方差(GARCH)模型 布林带通道 动态止损 

分 类 号：F832.48[经济管理—金融学]