交易成本下的双线性交易策略
文章 arXiv papers · 作者: Chung-Han Hsieh
总结
本文提出一类称为双线性策略的资产交易规则，并研究交易产生成本时其稳健性如何。研究以不同市场方向下预期交易收益始终为正作为稳健性标准。核心理论发现是，交易成本可能消除策略原本可能维持的正预期收益。作者随后指出了能够保留正收益的条件。
描述报告了两种评估方式：针对以几何布朗运动和跳跃建模的资产进行大量蒙特卡洛模拟，以及使用历史数据对 Bitcoin-USD 进行回测。这些分析用于检验理论结果，历史案例则展示了加密货币应用。然而，所提供的文本没有说明实现正收益所需的条件、成本规模、回测设计或数值绩效。因此，本文提供了一种分析交易成本下稳健性的思路，但细节不足以评估实际盈利能力或复现报告结果。
核心观点
- 本文提出适用于有交易成本资产的双线性交易策略。
- 研究以不同市场方向下预期收益为正来定义稳健性。
- 交易成本可能消除交易规则所追求的正预期收益。
- 作者推导了保留正预期收益的条件。
- 作者通过蒙特卡洛模拟和 Bitcoin-USD 历史回测检验理论。
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全文
# On Robustness of Double Linear Trading with Transaction Costs
# On Robustness of Double Linear Trading with Transaction Costs
A trading system is said to be {robust} if it generates a robust return regardless of market direction. To this end, a consistently positive expected trading gain is often used as a robustness metric for a trading system. In this paper, we propose a new class of trading policies called the {double linear policy} in an asset trading scenario when the transaction costs are involved. Unlike many existing papers, we first show that the desired robust positive expected gain may disappear when transaction costs are involved. Then we quantify under what conditions the desired positivity can still be preserved. In addition, we conduct heavy Monte-Carlo simulations for an underlying asset whose prices are governed by a geometric Brownian motion with jumps to validate our theory. A more realistic backtesting example involving historical data for cryptocurrency Bitcoin-USD is also studied.在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0
此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。