多空持仓比在数字资产量化交易中的应用初探
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For what I remember, I was always more afraid than anyone 多空持仓比在数字资产量化交易中的应用初探 else. What happened? Almost nothing - I just had the bout. Are there any spasms of something wrong? Maybe he's afraid he's contagious. And then why are you talking about the devil? Why a prison? I had a piece of bread. It was fresh and fragrant. Yesterday I made him his own hand. I have to say that I really did this time. Suddenly my bite began 多空持仓比在数字资产量化交易中的应用初探 多空持仓比在数字资产量化交易中的应用初探 to bang in my throat. Somewhere near the window, he sat down and began to sneak around his changing trills around. He whispers and leaves for a moment where he likes. Everywhere he finds something in his beak . I've been trying to be in his place .
多空持仓比在数字资产量化交易中的应用初探 | Blofin
可以发现，lspr可以转化为空头账户平均持仓量与多头账户平均持仓量之比。这意味着： lspr越高，空方平均资金量越大；反之亦然。 例如，若此时lspr为3，就表示平均每个净空头用于做空的保证金为净多头用于做多的保证金的三倍。 通常而言，我们认为信息交易者具有资金、消息上的优势，能够在市场中获得超额收益。在资金量较小的交易者贪婪地买入或者恐惧地卖出时，藏在阴影中的信息交易者便可能会在lspr因子上露出马脚。
表2.1 衍生因子
相比上述两个因子，lspr波动率的计算可能稍有复杂。主观上分析，若lspr波动率较低，那么意味着这一段时间内多空持仓陷入了焦灼的状态，双方相持难下；反之，若lspr波动率较高，则说明资金博弈层面上，资金量较小的交易者的资金在多空两边反复横跳，这种情形可以被描述为“躁动”。而“躁动”和“焦灼”分别对应了未来的哪一种行情，则需要定量地进行分析。下面，我们分别对过去72小时和24小时内的lspr计算其变异系数（Coefficient of Variation），作为其波动率的估计量。
图2.1 BTC未来72h收益率序列
图2.2 CART决策树示意
图中对A, B, C, …, L这些人进行了分类。蓝色的节点被称为分裂点，橙色的节点被称为叶片。叶片的数量也就决定了这一棵决策树最终将样本分成了几类。在本文的算法中，考虑到样本数量不是很多，最大叶片数可以设置为5，即最多将样本分为5份，单个叶片包含最小样本量为总体的16%。
图2.3 f_ma_sd分组结果
图2.4 f_ma_ld分组结果
在训练集中，通过观察f_roc的分组结果，可以发现：f_roc大幅减少确实意味着未来72小时更可能上涨，而f_roc大幅上涨对于多头来说却不是什么好迹象。 如果当前lspr较3天前大幅上升，那么多头处于不利地位。若当前lspr较3天前大幅下降，那做多的预期收益可能会更高。不过，当变动率接近零时，这个因子对未来收益率的预测能力则几乎很弱 。详情请见下图：
图2.5 f_roc_sd分组结果
图2.6 f_roc_ld分组结果
图2.7 f_rv_sd分组结果
图2.8 f_rv_ld分组结果
图3.1 模型表现
图3.2 离散化映射表
举例而言，若过去三日的打分结果分别为2，3，3，则三日的平均分为2.67分，将2.67在[0, 4]区间的位置映射到[-1, 1]区间，得到今日持仓比例应为0.335，即使用33.5%的资金做多。
图4.1 策略回测资金曲线
表4.1 策略评价指标
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多空持仓比在数字资产量化交易中的应用初探
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多空持仓比在数字资产量化交易中的应用初探
分析如何跟踪pdf下载 is a great book that will not leave you indifferent after reading.
Please note that this site may not have this book. We collect traffic from all over the internet. Nevertheless, our advertisers are trying to collect for you the largest number of interesting and fresh books. If you have any questions, write to the contacts listed on the main page! All information is collected from open sources.
For what I remember, I was always more afraid than anyone 多空持仓比在数字资产量化交易中的应用初探 else. What happened? Almost nothing - I just had the bout. Are there any spasms of something wrong? Maybe he's afraid he's contagious. And then why are you talking about the devil? Why a prison? I had a piece of bread. It was fresh and fragrant. Yesterday I made him his own hand. I have to say that I really did this time. Suddenly my bite began to bang in my throat. Somewhere near the window, he sat down and began to sneak around his changing trills around. He whispers and leaves for a moment where he likes. Everywhere he finds something in his beak . I've been trying to be in his place .