{"id":1388,"date":"2024-09-03T07:55:00","date_gmt":"2024-09-02T23:55:00","guid":{"rendered":"https:\/\/blog.laoyulaoyu.top\/?p=1388"},"modified":"2024-08-28T23:05:24","modified_gmt":"2024-08-28T15:05:24","slug":"%e5%b0%91%e5%8d%b3%e6%98%af%e5%a4%9a-%e7%9a%84%e8%b7%b5%e8%a1%8c%ef%bc%9a%e5%8a%a8%e6%80%81%e6%b7%b1%e5%ba%a6%e7%a5%9e%e7%bb%8f%e7%bd%91%e7%bb%9c%e5%9c%a8%e7%9f%ad%e6%9c%9f%e8%82%a1","status":"publish","type":"post","link":"https:\/\/laoyulaoyu.com\/index.php\/2024\/09\/03\/%e5%b0%91%e5%8d%b3%e6%98%af%e5%a4%9a-%e7%9a%84%e8%b7%b5%e8%a1%8c%ef%bc%9a%e5%8a%a8%e6%80%81%e6%b7%b1%e5%ba%a6%e7%a5%9e%e7%bb%8f%e7%bd%91%e7%bb%9c%e5%9c%a8%e7%9f%ad%e6%9c%9f%e8%82%a1\/","title":{"rendered":"\u201c\u5c11\u5373\u662f\u591a\u201d \u7684\u8df5\u884c\uff1a\u52a8\u6001\u6df1\u5ea6\u795e\u7ecf\u7f51\u7edc\u5728\u77ed\u671f\u80a1\u7968\u9884\u6d4b\u7684 AI \u51b3\u7b56"},"content":{"rendered":"\n<p>\u4f5c\u8005\uff1a<a href=\"https:\/\/www.laoyulaoyu.com\/\" target=\"_blank\" rel=\"noreferrer noopener\">\u8001\u4f59\u635e\u9c7c<\/a><\/p>\n\n\n\n<p><strong><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-cyan-bluish-gray-color\">\u539f\u521b\u4e0d\u6613\uff0c\u8f6c\u8f7d\u8bf7\u6807\u660e\u51fa\u5904\u53ca\u539f\u4f5c\u8005\u3002<\/mark><\/strong><\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/www.laoyulaoyu.com\/wp-content\/uploads\/2024\/08\/image-77-1024x375.png\" alt=\"\" class=\"wp-image-1645\"\/><\/figure>\n\n\n\n<blockquote class=\"wp-block-quote is-layout-flow wp-block-quote-is-layout-flow\">\n<pre class=\"wp-block-verse\"><strong>\u5199\u5728\u524d\u9762\u7684\u8bdd\uff1a<\/strong>\u672c\u6587\u6765\u81eaPlotinus Asset Management\uff0c\u4ecb\u7ecd\u4e86\u4e00\u79cd\u521b\u65b0\u7684\u591a\u667a\u80fd\u4f53\u6df1\u5ea6\u5b66\u4e60\u65b9\u6cd5\uff08Model A\uff09\uff0c\u8be5\u65b9\u6cd5\u5e94\u7528\u4e8e\u57fa\u4e8e\u7f8e\u56fdS&amp;P 500\u6307\u6570\u7684\u671f\u8d27\u5e02\u573a\u4ea4\u6613\u3002\u4e0e\u957f\u77ed\u671f\u8bb0\u5fc6\u7f51\u7edc\uff08LSTM\uff09\u3001\u968f\u673a\u68ee\u6797\u548c\u68af\u5ea6\u63d0\u5347\u6811\u7b49\u4f20\u7edf\u673a\u5668\u5b66\u4e60\u65b9\u6cd5\u76f8\u6bd4\uff0cModel A\u5728\u5386\u53f2\u6d4b\u8bd5\u4e2d\u8868\u73b0\u51fa\u8272\uff0c\u5176\u7ed3\u679c\u4e0e\u6301\u6709\u671f\u8d27\u5408\u7ea6\u7684\u88ab\u52a8\u6295\u8d44\u6a21\u578b\u76f8\u6bd4\u8f83\uff0c\u5728\u591a\u4e2a\u5173\u952e\u7ee9\u6548\u6307\u6807\u4e0a\u5b9e\u73b0\u4e86\u663e\u8457\u7684\u8d85\u8d8a\u3002\u7279\u522b\u503c\u5f97\u4e00\u63d0\u7684\u662f<mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-vivid-cyan-blue-color\">\uff0cModel A\u5728\u53ea\u670941.95%\u7684\u5e02\u573a\u66b4\u9732\u7684\u60c5\u51b5\u4e0b\uff0c\u5b9e\u73b0\u4e86\u6bd4100%\u5e02\u573a\u66b4\u9732\u7684\u88ab\u52a8\u6295\u8d44\u66f4\u9ad8\u7684\u76c8\u5229\u6027\uff0c\u5c55\u793a\u4e86\u5176\u5728\u51cf\u5c11\u98ce\u9669\u7684\u540c\u65f6\u589e\u52a0\u76c8\u5229\u7684\u6f5c\u529b\u3002<\/mark><\/pre>\n<\/blockquote>\n\n\n\n<p><\/p>\n\n\n\n<h2 class=\"wp-block-heading\">\u4e00\u3001<strong>\u6982\u8ff0<\/strong><\/h2>\n\n\n\n<p>\u4f5c\u8005\u6982\u8ff0\u4e86\u673a\u5668\u5b66\u4e60\u5728\u4ea4\u6613\u7814\u7a76\u4e2d\u7684\u6d3b\u8dc3\u5730\u4f4d\uff0c\u660e\u786e\u4e86\u9884\u6d4b\u672a\u6765\u4ef7\u683c\u7684\u76ee\u6807\uff0c\u5e76\u6307\u51fa\u4e86\u91d1\u878d\u53d8\u91cf\u7684\u590d\u6742\u6027\u3001\u6a21\u578b\u53c2\u6570\u7684\u4e30\u5bcc\u6027\u3001\u5e02\u573a\u6ce2\u52a8\u7684\u968f\u673a\u6027\u4ee5\u53ca\u53d8\u91cf\u975e\u5e73\u7a33\u6027\u5e26\u6765\u7684\u56f0\u96be\u3002\u540c\u65f6\u63d0\u5230\uff0c\u5c3d\u7ba1\u5b66\u672f\u4e0a\u67d0\u4e9b\u6a21\u578b\u53ef\u80fd\u6210\u529f\uff0c\u4f46\u5b83\u4eec\u7ecf\u5e38\u5ffd\u7565\u4e86\u5728\u73b0\u5b9e\u4e16\u754c\u4e2d\u8fc5\u901f\u4fb5\u8680\u5229\u6da6\u7684\u4ea4\u6613\u6210\u672c\u548c\u4ef7\u5dee\u95ee\u9898\u3002\u6b64\u5916\uff0c\u8fd8\u63d0\u5230\u4e86\u57fa\u4e8e\u6570\u636e\u7684\u8bc4\u4f30\uff0c\u663e\u793a\u4e86\u8d85\u8fc7\u4e94\u5e74\u671f\u95f4\uff0c\u670978.68%\u7684\u7f8e\u56fd\u5927\u578b\u80a1\u7968\u57fa\u91d1\u8868\u73b0\u4e0d\u5982S&amp;P 500\u6307\u6570\u3002<\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>\u4e8c\u3001\u6570\u636e\u548c\u65b9\u6cd5<\/strong><\/h2>\n\n\n\n<p>\u4f5c\u8005\u805a\u7126\u4e8e\u534e\u5c14\u8857\u4ea4\u6613\u65e5\u7684\u4ea4\u6613\u6570\u636e\uff0c\u4ece\u5f00\u76d8\u5230\u6536\u76d8\uff08\u7f8e\u4e1c\u65f6\u95f409:30\u81f316:00\uff09\uff0c\u8fd9\u6bb5\u65f6\u95f4\u867d\u7136\u5728\u4ea4\u6613\u91cf\u548c\u5fc3\u7406\u5f71\u54cd\u4e0a\u975e\u5e38\u91cd\u8981\uff0c\u4f46\u5728\u8fc7\u53bb\u4e8c\u5341\u5e74\u4e2d\uff0c\u5bf9\u4e8eS&amp;P 500\u671f\u8d27\u7684\u6574\u4f53\u589e\u957f\u8d21\u732e\u4ec5\u536020.5%\u3002\u8fd9\u8868\u660e\uff0c\u76f8\u5bf9\u4e8e\u88ab\u52a8\u4ea4\u6613\u7b56\u7565\uff0c\u4e3b\u52a8\u4ea4\u6613\u65b9\u6cd5\u53ef\u80fd\u5728\u8fd9\u4e00\u65f6\u6bb5\u5185\u63d0\u9ad8\u6536\u76ca\u3002<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/www.laoyulaoyu.com\/wp-content\/uploads\/2024\/08\/image-78-1024x621.png\" alt=\"\" class=\"wp-image-1646\"\/><\/figure>\n\n\n\n<p>\u6570\u636e\u9650\u5236\u5728\u57fa\u4e8e\u4ea4\u6613\u6240\u7684\u6807\u51c6\u6570\u636e\uff0c\u5305\u62ec2018\u5e741\u6708\u81f32023\u5e7412\u6708\u671f\u95f4\u7684CME E-mini S&amp;P 500\u671f\u8d27\u5408\u7ea6\uff08\u4ee3\u7801ES\uff09\u7684\u4ef7\u683c\u548c\u6210\u4ea4\u91cf\u6570\u636e\uff0c\u4ee5\u53caCBOE\u6ce2\u52a8\u7387\u6307\u6570\uff08\u4ee3\u7801VIX\uff09\u7684\u4ef7\u683c\u6570\u636e\u3002\u4e3a\u4e86\u8ba1\u7b97\u7ee9\u6548\u6307\u6807\uff0c\u8fd8\u4f7f\u7528\u4e862018\u5e741\u6708\u81f32023\u5e7412\u6708\u671f\u95f4\u7684\u7f8e\u56fd\u4e09\u4e2a\u6708\u671f\u56fd\u503a\u7684\u8054\u90a6\u50a8\u5907\u6570\u636e\u3002<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>2.1 \u957f\u77ed\u671f\u8bb0\u5fc6\u7f51\u7edc\uff08LSTM\uff09<\/strong><\/h3>\n\n\n\n<p>LSTM\u662f\u4e00\u79cd\u6df1\u5ea6\u795e\u7ecf\u7f51\u7edc\uff0c\u975e\u5e38\u9002\u5408\u5904\u7406\u5e8f\u5217\u6570\u636e\uff0c\u5c24\u5176\u662f\u5728\u65f6\u95f4\u5e8f\u5217\u9884\u6d4b\u65b9\u9762\u8868\u73b0\u51fa\u8272\u3002LSTM\u80fd\u591f\u5728\u5608\u6742\u7684\u6570\u636e\u73af\u5883\u4e2d\uff0c\u5982\u91d1\u878d\u5e02\u573a\uff0c\u5feb\u901f\u51c6\u786e\u5730\u8bc6\u522b\u5e02\u573a\u6a21\u5f0f\u3002\u6a21\u578b\u9700\u8981\u9009\u62e9\u5408\u9002\u7684\u8f93\u5165\u6570\u636e\u53d8\u91cf\uff0c\u5305\u62ec\u7f51\u7edc\u7684\u5c42\u6570\u3001\u6df1\u5ea6\u548c\u6bcf\u5c42\u7684\u8282\u70b9\u6570\u3002\u6b64\u5916\uff0c\u8fd8\u53ef\u4ee5\u8c03\u6574\u6837\u672c\u5927\u5c0f\u3001\u6279\u91cf\u5927\u5c0f\u3001\u5e8f\u5217\u957f\u5ea6\u3001\u8bef\u5dee\u6807\u51c6\u548c\u5468\u671f\u6570\u7b49\u3002<\/p>\n\n\n\n<p>\u5728\u5b9e\u9a8c\u4e2d\uff0c\u9009\u62e9\u4e86\u4e09\u4e2a\u8f93\u5165\u53d8\u91cf\uff1a(a) CME E-mini S&amp;P 500\u671f\u8d27\u5408\u7ea6\u5728\u4ea4\u6613\u65e5\u5f00\u76d8\u65f6\u7684\u4ef7\u683c\uff1b(b) CBOE\u6ce2\u52a8\u7387\u6307\u6570\u5728\u4ea4\u6613\u65e5\u5f00\u76d8\u65f6\u7684\u4ef7\u683c\uff1b(c) \u524d\u4e00\u5929\u4ea4\u6613\u7684\u671f\u8d27\u5408\u7ea6\u6210\u4ea4\u91cf\u3002\u9009\u62e9\u4e8620\u5929\u7684\u5e8f\u5217\u957f\u5ea6\uff0c\u4ee5\u53cd\u6620\u8d8b\u52bf\u3001\u5e02\u573a\u6ce2\u52a8\u6027\u548c\u5e02\u573a\u6d3b\u52a8\u3002\u54cd\u5e94\u53d8\u91cf\u662f\u4e8c\u5143\u7684\uff0c\u57fa\u4e8e\u4ea4\u6613\u65e5\u7684\u4ef7\u683c\u4e0a\u6da8\u6216\u4e0b\u8dcc\u3002<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>2.2 \u68af\u5ea6\u63d0\u5347\u6811\uff08GBT\uff09\u548c\u968f\u673a\u68ee\u6797\uff08RF\uff09\u6a21\u578b<\/strong><\/h3>\n\n\n\n<p>\u8fd9\u4e9b\u96c6\u6210\u5b66\u4e60\u65b9\u6cd5\u901a\u8fc7\u907f\u514d\u8fc7\u62df\u5408\u7684\u540c\u65f6\u4fdd\u6301\u51c6\u786e\u6027\u800c\u53d7\u5230\u5173\u6ce8\u3002GBT\u662f\u4e00\u79cd\u8fed\u4ee3\u673a\u5668\u5b66\u4e60\u6280\u672f\uff0c\u901a\u8fc7\u6700\u5c0f\u5316\u6307\u5b9a\u7684\u635f\u5931\u51fd\u6570\u6765\u6784\u5efa\u5f3a\u9884\u6d4b\u6a21\u578b\u3002RF\u662f\u4e00\u79cd\u96c6\u6210\u5b66\u4e60\u7b97\u6cd5\uff0c\u901a\u8fc7\u6784\u5efa\u591a\u4e2a\u51b3\u7b56\u6811\u5e76\u5408\u5e76\u5b83\u4eec\u7684\u8f93\u51fa\u6765\u63d0\u9ad8\u51c6\u786e\u6027\u548c\u63a7\u5236\u8fc7\u62df\u5408\u3002<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>2.3 \u52a8\u6001\u6df1\u5ea6\u795e\u7ecf\u7f51\u7edc\u2014\u2014Model A<\/strong><\/h3>\n\n\n\n<p>Model A\u7684\u8bbe\u8ba1\u8003\u8651\u5230\u4e86\u5927\u6570\u636e\u4f7f\u7528\u7684\u957f\u671f\u53ef\u884c\u6027\u95ee\u9898\uff0c\u91c7\u7528\u4e86\u6709\u9650\u7684\u6807\u51c6\u91d1\u878d\u6570\u636e\u548c\u5e94\u7528\u5f3a\u5316\u5b66\u4e60\u3002Model A\u662f\u4e00\u4e2a\u591a\u667a\u80fd\u4f53\u7cfb\u7edf\uff0c\u7ed3\u5408\u4e86\u6df1\u5ea6\u795e\u7ecf\u7f51\u7edc\u548c\u51b3\u7b56\u6811\u3002\u8be5\u6a21\u578b\u65e8\u5728\u8d85\u8d8a\u65f6\u95f4\u5e8f\u5217\u6570\u636e\u8f93\u5165\u7684\u7ea6\u675f\uff0c\u53d1\u5c55\u5bf9\u5e02\u573a\u6761\u4ef6\u7684\u60c5\u5883\u7406\u89e3\u3002Model A\u6709\u4e24\u4e2a\u667a\u80fd\u4f53\uff0c\u5b83\u4eec\u5728\u76f8\u540c\u7684\u6570\u636e\u73af\u5883\u4e2d\u81ea\u4e3b\u64cd\u4f5c\uff0c\u6bcf\u4e2a\u667a\u80fd\u4f53\u90fd\u901a\u8fc7\u4e0e\u73af\u5883\u548c\u4f19\u4f34\u667a\u80fd\u4f53\u7684\u4ea4\u4e92\u6765\u4f18\u5316\u81ea\u5df1\u7684\u77ed\u671f\u56de\u62a5\u3002<\/p>\n\n\n\n<p>Model A\u7684\u6570\u636e\u73af\u5883\u9650\u4e8eCME E-mini S&amp;P 500\u671f\u8d27\u5408\u7ea6\u7684\u4ef7\u683c\u6570\u636e\u548cCBOE\u6ce2\u52a8\u7387\u6307\u6570\u7684\u4ef7\u683c\u6570\u636e\u3002Model A\u7684\u67b6\u6784\u5141\u8bb8\u6a21\u578b\u9996\u5148\u53d1\u5c55\u51b3\u7b56\u80cc\u666f\uff0c\u7136\u540e\u80fd\u591f\u6301\u7eed\u91cd\u65b0\u8bc4\u4f30\u8fd9\u4e00\u80cc\u666f\uff0c\u8fd9\u662f\u901a\u8fc7\u5f3a\u5316\u5b66\u4e60\u8fc7\u7a0b\u5b9e\u73b0\u7684\u3002<\/p>\n\n\n\n<p>\u8fd9\u79cd\u60c5\u5883\u91cd\u65b0\u8bc4\u4f30\u6bcf24\u5c0f\u65f6\u8fdb\u884c\u4e00\u6b21\uff0c\u76ee\u6807\u662f\u6210\u529f\u786e\u5b9a\u6bcf\u5929\u5e02\u573a\u7684\u65b9\u5411\u3002Model A\u7684\u6837\u672c\u5927\u5c0f\u4e3a250\u5929\uff0c\u5e76\u4e3a\u5355\u4e00\u65e5\u7a97\u53e3\u8fdb\u884c\u4e86\u9884\u6d4b\u3002\u540c\u65f6\uff0c\u51b3\u7b56\u6811\u667a\u80fd\u4f53\u4f7f\u7528\u76f8\u540c\u7684\u8f93\u5165\u53d8\u91cf\uff0c\u4f46\u5177\u6709\u66f4\u5c0f\u7684\u7279\u5f81\u6837\u672c\u5927\u5c0f\uff0c\u5e76\u4f7f\u752820\u5929\u7684\u5e8f\u5217\uff0c\u4e3a\u6a21\u578b\u63d0\u4f9b\u5bf9\u8fd1\u671f\u5e02\u573a\u884c\u4e3a\u7684\u7f29\u51cf\u8bc4\u4f30\uff0c\u4ee5\u534f\u52a9\u51b3\u7b56\u8fc7\u7a0b\u3002<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/www.laoyulaoyu.com\/wp-content\/uploads\/2024\/08\/image-79-1024x795.png\" alt=\"\" class=\"wp-image-1647\"\/><\/figure>\n\n\n\n<p>Model A\u521b\u5efa\u4e86\u4e00\u4e2a\u51b3\u7b56\uff08\u505a\u591a\u3001\u505a\u7a7a\u6216\u5173\u95ed\uff09\u5e76\u8865\u5145\u4e86\u884c\u52a8\uff1a\u8fdb\u884c\u6295\u8d44\u7684\u89c4\u6a21\u3002\u4f8b\u5982\uff0c\u5982\u679c\u7ed9\u5b9a\u7684\u51b3\u7b56\u662f\u505a\u591a\/\u505a\u7a7a\uff0c\u884c\u52a8\u53ef\u4ee5\u662f\u96f6\uff0c\u4ece\u800c\u6709\u6548\u5730\u5c06\u505a\u591a\/\u505a\u7a7a\u7ea0\u6b63\u4e3a\u5173\u95ed\u5934\u5bf8\u3002\u56e0\u6b64\uff0cModel A\u5b9e\u9645\u4e0a\u6709\u4e09\u4e2a\u5206\u7c7b\u8f93\u51fa\uff1a\u505a\u591a\u3001\u505a\u7a7a\u548c\u5173\u95ed\u3002\u76f8\u6bd4\u4e4b\u4e0b\uff0cLSTM\u3001GBT\u548cRF\u6a21\u578b\u6ca1\u6709\u5173\u95ed\u8f93\u51fa\u6216\u989d\u5916\u7684\u7ea0\u6b63\u884c\u52a8\uff0c\u56e0\u6b64\u662f\u7eaf\u4e8c\u5143\u51b3\u7b56\uff0c\u5177\u6709\u76f8\u540c\u7684\u66b4\u9732\u3002<\/p>\n\n\n\n<p>\u5728\u5b9e\u8df5\u4e2d\uff0c\u8fd9\u79cd\u57fa\u4e8e\u667a\u80fd\u4f53\u7684\u89c4\u6a21\u884c\u52a8\u6709\u52a9\u4e8e\u6291\u5236\u66b4\u9732\uff0c\u7279\u522b\u662f\u5728\u6ce2\u52a8\u7684\u5e02\u573a\u4e2d\u3002\u53e6\u4e00\u65b9\u9762\uff0c\u5f53\u667a\u80fd\u4f53\u8ba4\u4e3a\u8fd9\u6837\u505a\u662f\u8c28\u614e\u548c\u6709\u5229\u53ef\u56fe\u65f6\uff0c\u53ef\u4ee5\u589e\u52a0\u89c4\u6a21\uff08\u66b4\u9732\uff09\u3002\u53ea\u8981\u51b3\u7b56\u51c6\u786e\uff0c\u901a\u8fc7\u8fd9\u79cd\u65b9\u5f0f\u6291\u5236\u66b4\u9732\u5c31\u4f1a\u964d\u4f4e\u98ce\u9669\/\u56de\u62a5\u6bd4\u7387\u3002\u5728\u6240\u5448\u73b0\u7684\u7ed3\u679c\u4e2d\uff0c\u4f7f\u7528\u7684\u89c4\u6a21\u662f+1\u8868\u793a\u505a\u591a\uff0c-1\u8868\u793a\u505a\u7a7a\uff0c0\u8868\u793a\u5173\u95ed\u5934\u5bf8\u3002<\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>\u4e09\u3001 \u7ed3\u679c<\/strong><\/h2>\n\n\n\n<p>\u672c\u7ae0\u96c6\u4e2d\u5c55\u793a\u4e86\u6240\u91c7\u7528\u7684\u673a\u5668\u5b66\u4e60\u6a21\u578b\u5728\u5b9e\u9645\u4ea4\u6613\u4e2d\u7684\u6027\u80fd\u8bc4\u4f30\u7ed3\u679c\u3002\u8bc4\u4f30\u7684\u65f6\u95f4\u6bb5\u4ece2018\u5e741\u6708\u5f00\u59cb\uff0c\u4e00\u76f4\u6301\u7eed\u52302023\u5e7412\u6708\uff0c\u603b\u5171\u5305\u62ec\u4e861509\u4e2a\u4ea4\u6613\u65e5\u7684\u89c2\u5bdf\u6570\u636e\u3002<\/p>\n\n\n\n<p>\u9996\u5148\uff0c\u6587\u7ae0\u901a\u8fc7\u5e38\u89c4\u7684\u51c6\u786e\u6027\u6307\u6807\u548c\u6df7\u6dc6\u77e9\u9635\u6765\u8bc4\u4f30\u5206\u7c7b\u6027\u80fd\u3002\u51c6\u786e\u6027\u662f\u6307\u6b63\u786e\u9884\u6d4b\u7684\u6b63\u4f8b\u548c\u8d1f\u4f8b\u5360\u603b\u89c2\u5bdf\u6570\u7684\u6bd4\u4f8b\u3002\u5728\u8fd9\u4e2a\u6848\u4f8b\u4e2d\uff0c\u88ab\u52a8\u6a21\u578b\u7684\u51c6\u786e\u6027\u4e3a54.61%\uff0c\u610f\u5473\u7740\u5728\u89c2\u5bdf\u671f\u95f4\u670954.61%\u7684\u4ea4\u6613\u65e5\u5b9e\u73b0\u4e86\u65e5\u95f4\u6b63\u56de\u62a5\u3002\u6587\u7ae0\u8fd8\u63d0\u4f9b\u4e86\u6b63\u9884\u6d4b\u503c\uff08Positive Predictive Value, PPV\uff09\u548c\u8d1f\u9884\u6d4b\u503c\uff08Negative Predictive Value, NPV\uff09\uff0c\u5206\u522b\u7528\u6765\u8861\u91cf\u9884\u6d4b\u4e3a\u6b63\u7684\u6848\u4f8b\u4e2d\u5b9e\u9645\u4e3a\u6b63\u7684\u6bd4\u4f8b\uff0c\u4ee5\u53ca\u9884\u6d4b\u4e3a\u8d1f\u7684\u6848\u4f8b\u4e2d\u5b9e\u9645\u4e3a\u8d1f\u7684\u6bd4\u4f8b\u3002<\/p>\n\n\n\n<p>\u88681\u663e\u793a\u4e86\u4e0d\u540c\u6a21\u578b\u7684\u9884\u6d4b\u51c6\u786e\u6027\u3002\u88ab\u52a8\u6a21\u578b\u3001\u68af\u5ea6\u63d0\u5347\u6811\uff08Gradient Boosted Trees, GBT\uff09\u3001\u968f\u673a\u68ee\u6797\uff08Random Forest, RF\uff09\u3001\u957f\u77ed\u671f\u8bb0\u5fc6\u7f51\u7edc\uff08Long Short-Term Memory, LSTM\uff09\u548cModel A\u7684\u51c6\u786e\u6027\u5206\u522b\u4e3a54.61%\u300150.23%\u300151.76%\u300150.89%\u548c56.87%\u3002Model A\u5728\u8d1f\u9884\u6d4b\u503c\u4e0a\u8868\u73b0\u6700\u4f73\uff0c\u8fbe\u5230\u4e8652.97%\u3002<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/www.laoyulaoyu.com\/wp-content\/uploads\/2024\/08\/image-80-1024x283.png\" alt=\"\" class=\"wp-image-1648\"\/><\/figure>\n\n\n\n<p>\u88682\u63d0\u4f9b\u4e86\u57fa\u4e8e\u65e5\u95f4\u56de\u62a5\u7684\u6c47\u603b\u7edf\u8ba1\u6570\u636e\u3002\u88ab\u52a8\u6a21\u578b\u548c\u4e09\u4e2a\u5206\u7c7b\u6a21\u578b\u7684\u5747\u503c\u4e3a0.02%\u81f30.03%\uff0c\u800cModel A\u7684\u5747\u503c\u7a0d\u9ad8\uff0c\u4e3a0.05%\u3002\u6240\u6709\u6a21\u578b\u7684\u6807\u51c6\u5dee\u5747\u4e3a0.96%\uff0c\u9664\u4e86Model A\uff0c\u5176\u6807\u51c6\u5dee\u4e3a0.56%\uff0c\u8868\u660eModel A\u5728\u51cf\u5c11\u6ce2\u52a8\u6027\u65b9\u9762\u66f4\u4e3a\u6709\u6548\u3002<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/www.laoyulaoyu.com\/wp-content\/uploads\/2024\/08\/image-81-1024x392.png\" alt=\"\" class=\"wp-image-1649\"\/><\/figure>\n\n\n\n<p>\u6587\u7ae0\u8fdb\u4e00\u6b65\u8ba8\u8bba\u4e86\u6807\u51c6\u7ee9\u6548\u6307\u6807\uff0c\u5982\u5e74\u5316\u56de\u62a5\u3001\u5e73\u5747\u6708\u56de\u62a5\u3001\u5e74\u5316\u6ce2\u52a8\u6027\u3001Beta\u7cfb\u6570\u3001\u590f\u666e\u6bd4\u7387\uff08Sharpe Ratio\uff09\u548c\u7d22\u63d0\u8bfa\u6bd4\u7387\uff08Sortino Ratio\uff09\u3002Model A\u5728\u8fd9\u4e9b\u6307\u6807\u4e0a\u5747\u4f18\u4e8e\u88ab\u52a8\u6a21\u578b\u548c\u5176\u4ed6\u673a\u5668\u5b66\u4e60\u6a21\u578b\u3002\u7279\u522b\u662f\uff0cModel A\u7684\u5e74\u5316\u56de\u62a5\u4e3a14.92%\uff0c\u8fdc\u9ad8\u4e8e\u88ab\u52a8\u6a21\u578b\u76843.09%\uff0c\u5e76\u4e14\u5177\u6709\u6700\u9ad8\u7684\u7d22\u63d0\u8bfa\u6bd4\u73872.97\uff0c\u8868\u660e\u5176\u5728\u98ce\u9669\u8c03\u6574\u540e\u7684\u56de\u62a5\u4e0a\u8868\u73b0\u6700\u4f73\u3002<\/p>\n\n\n\n<p>\u88683\u8fdb\u4e00\u6b65\u5c55\u793a\u4e86\u8fd9\u4e9b\u7ee9\u6548\u6307\u6807\u3002Model A\u7684Alpha\uff08\u5e74\u5316\uff09\u4e3a11.60%\uff0c\u8868\u660e\u5176\u5177\u6709\u663e\u8457\u7684\u975e\u76f8\u5173\u56de\u62a5\u3002Beta\u7cfb\u6570\u4e3a0.18\uff0c\u610f\u5473\u7740Model A\u7684\u6295\u8d44\u8868\u73b0\u4e0e\u5e02\u573a\u7684\u76f8\u5173\u6027\u8f83\u4f4e\uff0c\u4ece\u800c\u964d\u4f4e\u4e86\u98ce\u9669\u3002<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/www.laoyulaoyu.com\/wp-content\/uploads\/2024\/08\/image-82-1024x438.png\" alt=\"\" class=\"wp-image-1650\"\/><\/figure>\n\n\n\n<p>\u6587\u7ae0\u8fd8\u63d0\u4f9b\u4e86\u7d2f\u8ba1\u65e5\u95f4\u767e\u5206\u6bd4\u5229\u6da6\u7684\u56fe\u8868\uff0c\u5c55\u793a\u4e86\u516d\u5e74\u671f\u95f4\u4e0d\u540c\u6295\u8d44\u6a21\u578b\u7684\u8868\u73b0\u3002\u88ab\u52a8\u6a21\u578b\u7684\u8868\u73b0\u76f8\u5bf9\u7a33\u5b9a\uff0c\u800c\u5176\u4ed6\u6a21\u578b\u5219\u8868\u73b0\u51fa\u8f83\u5927\u7684\u6ce2\u52a8\u3002Model A\u5728\u51cf\u5c11\u6ce2\u52a8\u6027\u65b9\u9762\u8868\u73b0\u7a81\u51fa\uff0c\u5e76\u4e14\u5728\u5927\u591a\u6570\u65f6\u95f4\u91cc\u90fd\u4f18\u4e8e\u88ab\u52a8\u6a21\u578b\u548c\u5176\u4ed6\u6d4b\u8bd5\u6a21\u578b\u3002<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/www.laoyulaoyu.com\/wp-content\/uploads\/2024\/08\/image-83-1024x760.png\" alt=\"\" class=\"wp-image-1651\"\/><\/figure>\n\n\n\n<p>\u88683\u63d0\u4f9b\u4e86\u8fdb\u4e00\u6b65\u7684\u7ee9\u6548\u6307\u6807\uff0c\u5305\u62ec\u6700\u5927\u56de\u64a4\u3001\u76c8\u5229\u6708\u4efd\u7684\u767e\u5206\u6bd4\u3001\u4e8f\u635f\u6708\u4efd\u7684\u767e\u5206\u6bd4\u3001Calmar\u6bd4\u7387\u548c\u4fe1\u606f\u6bd4\u7387\u3002Model A\u7684\u6700\u5927\u56de\u64a4\u4e3a-7.87%\uff0c\u8fdc\u4f4e\u4e8e\u5176\u4ed6\u6a21\u578b\uff0c\u5e76\u4e14\u5728\u76c8\u5229\u6708\u4efd\u7684\u767e\u5206\u6bd4\u4e0a\u4e5f\u8868\u73b0\u6700\u4f73\u3002<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/www.laoyulaoyu.com\/wp-content\/uploads\/2024\/08\/image-84-1024x761.png\" alt=\"\" class=\"wp-image-1652\"\/><\/figure>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/www.laoyulaoyu.com\/wp-content\/uploads\/2024\/08\/image-85-1024x348.png\" alt=\"\" class=\"wp-image-1653\"\/><\/figure>\n\n\n\n<p>\u4e0a\u8868\u5c55\u793a\u4e86\u6bcf\u65e5\u51b3\u7b56\u7684\u957f\u4ed3\u6216\u77ed\u4ed3\u4ea4\u6613\u7684\u767e\u5206\u6bd4\u4ee5\u53ca\u5bf9\u603b\u5229\u6da6\u7684\u8d21\u732e\u3002Model A\u7684\u603b\u5e02\u573a\u66b4\u9732\uff08\u591a\u5934\u6216\u8005\u7a7a\u5934\uff09\u4ec5\u4e3a41.95%\uff0c\u8fdc\u4f4e\u4e8e\u5176\u4ed6\u65b9\u6cd5\u7684100%\uff0c\u8fd9\u8868\u660eModel A\u503e\u5411\u4e8e\u5728\u786e\u5b9a\u4ea4\u6613\u6709\u8db3\u591f\u53ef\u80fd\u6027\u65f6\u624d\u8fdb\u884c\u4ea4\u6613\u3002<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/www.laoyulaoyu.com\/wp-content\/uploads\/2024\/08\/image-86-1024x265.png\" alt=\"\" class=\"wp-image-1654\"\/><\/figure>\n\n\n\n<p>\u6700\u540e\uff0c\u6587\u7ae0\u5c55\u793a\u4e86\u6bcf\u65e5\u65e5\u95f4\u56de\u62a5\u7684\u9891\u7387\u5206\u5e03\uff0c\u5e76\u5c06\u5176\u4e0e\u88ab\u52a8\u57fa\u51c6\u7684\u5206\u5e03\u8fdb\u884c\u4e86\u6bd4\u8f83\u3002Model A\u7684\u5206\u5e03\u4e0e\u5176\u4ed6\u6a21\u578b\u548c\u88ab\u52a8\u57fa\u51c6\u660e\u663e\u4e0d\u540c\uff0c\u5176\u57280%\u7684\u9ad8\u9891\u7387\u96c6\u4e2d\u53cd\u6620\u4e86\u667a\u80fd\u4f53\u884c\u52a8\u9891\u7e41\u51b3\u5b9a\u4e0d\u5f00\u4ed3\uff0c\u4ece\u800c\u51cf\u5c11\u4e86\u66b4\u9732\u3002<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/www.laoyulaoyu.com\/wp-content\/uploads\/2024\/08\/image-87-1024x714.png\" alt=\"\" class=\"wp-image-1655\"\/><\/figure>\n\n\n\n<p><\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>\u56db\u3001 \u7ed3\u8bba<\/strong><\/h2>\n\n\n\n<p>\u672c\u6587\u4ecb\u7ecd\u4e86Model A\uff0c\u4e00\u79cd\u52a8\u6001\u6df1\u5ea6\u795e\u7ecf\u7f51\u7edc\u65b9\u6cd5\uff0c\u5373\u4f7f\u5728\u6570\u636e\u8f93\u5165\u53d7\u9650\u7684\u60c5\u51b5\u4e0b\uff0c\u4e5f\u80fd\u663e\u8457\u8d85\u8d8a\u88ab\u52a8\u7684S&amp;P 500\u57fa\u51c6\u3002\u4e0e\u5176\u4ed6\u4e8c\u5143\u5206\u7c7b\u5668\u4e0d\u540c\uff0cModel 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