译：做高频和算法交易的公司，实际操作上追求复杂的数学策略或者仅仅是简单的技术分析吗？（转）

Author: 小小梦, Created: 2016-05-04 15:45:36, Updated: 2016-05-04 18:11:47

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Answerer: Joseph Wang, Ex-VP Quant - 香港投资银行

Generally, the algorithms that HFT firms are pretty simple. However, there are two catches

• 译：通常，高频交易公司的算法程序是简单灵活的，然而，这有两个地方引人注目。
1. the important thing is usually not the mathematical complexity but speed. “buy low/sell high” is the algorithm. Simple, except that you want to receive the data, do the calculation and send the order in 10 milliseconds.
• 译：1）重要的通常不是数学的复杂性，而是速度。“低买/高卖” 就是计算法则，简单的说，除了你想接收数据，处理计算和发送订单所用时间在10毫秒以内。
1. a lot of the relatively complex mathematics has to do with backtesting. OK. “buy low/sell high” simple. Now run that algorithm over a stock over the last five years so you see how much money you make. Not so simple, but still not too hard. OK, now run that algorithm over all of the stocks in the NYSE so that you can see which stocks that algo works on. OK, now come up with a statistical argument to see that you aren’t really just seeing patterns that aren’t there.
• 译：2）为了回测，也需要实现一些相对复杂的数学算法，对！“低买/高买”容易。现在，在过去的5年里，在一只股票上运行该算法，这样你可以看到因此你挣了多少钱。并非这么简单，但仍然不太难。好吧，现在在纽约证券交易所所有的股票上运行该算法，这样你可以看到算法运作的那些股票。好吧，拿出统计数据来表示寻找的模式不仅仅是不存在的。

So it’s simple, but complex at the same time.

• 译：所以这很简单，但同时也很复杂。

The other thing is that “technical analysis” is to “algo trading” what “astrology” is to “astronomy.” The thing that makes algo traders professionals is “backtesting.” A professional algo trader will test their algorithm against old data to see how much their algo would have made, and they use hard numbers to see whether or not they are seeing patterns that aren’t there. Also every professional algo trader I’ve met understand the market microstructure to insane detail so when there is a strategy that works, they can tell you why it works.

• 译：另外，“技术分析” 到 “算法交易” 就好比 “占星术” 到 “天文学”。还有一件能让算法交易者显的更专业的事就是“回测”。一个专业的算法交易员将会在旧数据之上测试他们的算法程序用来看到会赚多少钱，并且他们使用确切的数值表示寻找的模式是否存在。同时每一个我见过的专业算法交易员都理解市场的微观结构到荒谬的细节，所以当这儿有一个策略在运行，他们会告诉你它为什么工作。

People that call themselves “technical analysts” are just like people that read horoscopes in the newspapers. They don’t check to see if they made money in the past, and they also don’t think about why “it works.”

• 译：人们总是称他们自己“技术分析家” 就像人们在新闻报纸上读占星天宫图，他们不检查在过去他们是否赚钱，还有，他们总是不思考为什么会这样运行。

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