MLDM MondayQuantitative Trading Strategy Mining

Study Group

20161026

TW.R & MLDM Monday成立於 2012/09 ... 第一次聚會在 2012/10/15

每年 10 月週年慶時 ... 都總會回顧一下 ...

這個社群 &聚會 ... 是怎樣開始的 ... ?

MLDM Monday的子社群們

R-Ladies Taipei (已獨立)Quantitative Trading Strategy Mining

新設群成立 ... 最重要的一件事情 ...

就是 ... 讓大家認識大家！

讓大家知道彼此的方向！

請大家一一自我介紹你是誰 ？

交易實戰經驗 ？商品？策略 ？為何會來參加 ？

希望從社群中獲得什模 ？

量化交易 101交易基本元素

Signals in Trading System● Entry Signals

○ Primary Signals○ Filters

● Exit Signals○ Stop Signals○ Limit Signals○ Time-out Signals○ Filters

Stop Price

Limit Price

Exit Signal

Timeout Signal

Entry Signal & Price

Signal Filters

量化交易 102量化方法

Entry Signal & Price

Timeout SignalStop Price

Exit Signal

After Event:How to evaluate event?

Before Event:How to predict event?

Limit Price

Entry Signal & Price

Timeout SignalStop Price

Exit Signal

Before Event:How to predict event?

Limit Price

X Y

After Event:How to evaluate event?

Button-Up: P(e(Y)|X)

Entry Signal & Price

Timeout SignalStop Price

Exit Signal

Before Event:How to predict event?

Limit Price

X Y

After Event:How to evaluate event?

Top-Down: P(X|e(Y))

Entry Signal & Price

Timeout SignalStop Price

Exit Signal

Before Event:How to predict event?

Limit Price

X Y

After Event:How to evaluate event?

ML & DL: Y = f(X)

Button-Up各種出場分佈

sample code

Limit = 0.06 / Stop = 0.02

Limit = 0.06 / Stop = 0.06

歡迎大家一起來經營這個量化社群 ！

我們沒有錄影！可以安心分享 ！