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JQuant API で去年試したことについて
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pegion
April 14, 2024
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JQuant API で去年試したことについて
去年JQuants API で作ったロングショート戦略と来年やりたいと思っていることを述べます
pegion
April 14, 2024
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Transcript
QFHJPO ڈͷ+2VBOU"1*ͷऔΓΈ ϩϯάγϣʔτઓུʹ͍ͭͯ
ࠓճ͢͜ͱ ڈͬͨ͜ͱͷ͏ͪɺͯ͠େৎͦ͏ͳ͜ͱΛ͠·͢ɻ w ϩϯάγϣʔτઓུ ࢦඪ୯ମ .-༻ %BUB"VHNFOUBUJPO༻
w དྷΓ͍ͨ͜ͱ
ϩϯάγϣʔτઓུ ઓུͱฑͷબʹ͍ͭͯ w ϩϯάγϣʔτઓུͱʁ ˠࢦඪͰׂ҆ɾׂߴΛධՁɻ ɹׂߴͳͷΛചΓɺׂ҆ͳͷΛങ͏ɻ ɾෳͷࢦඪͱ.-ʹΑΓࢦඪΛੜՄೳ
w ฑબ ۀछɺηΫλʔͳͲͰબͿɻ ΫϥελϦϯάΞϧΰϦζϜͰฑΛબ ͢Δ͜ͱՄೳɻ ࠓճ͜Ε ࠓճ͜Ε
ϩϯάγϣʔτઓུ ࢦඪͷ୳͠ํɾ࡞Γํ w ฑ܈͝ͱʹಇ͍͍ͯΔࢦඪΛ୳͢ɻ ޓ͍ʹ૬͕ؔߴ͍ฑಉ࢜ͰͦΕΒͷഎޙʹڞ௨͢Δࢦඪݱ͕ ಇ͍͍ͯΔ͜ͱ͕ଟ͍ɻ w બฑͰͷࢦඪͷύϑΥʔϚϯεΛՄࢹԽɻ
બͨ͠ฑͰྑͦ͞͏ͳࢦඪΛݟ͚ͭͨΒɺฑؒͷॱҐ૬ؔͷྦྷ ੵΛࢉग़͠ՄࢹԽ͢Δͱྑ͍ɻࠓճेʹྑ͍ɻ
ϩϯάγϣʔτઓུ ࢦඪ୯ମ w ॏཁੳ͔Β͔Δ࠷ڧ͍ಛྔʹ ΑͬͯઓུΛߏஙɺγϯϓϧͳϩϯάγ ϣʔτɻ w ࣍43ɺউ w ·͊·͊ྑͦ͞͏
͍ͭ͜
ϩϯάγϣʔτઓུ .-༻ w .-Ϟσϧͱͯ͠ϥϯμϜϑΥϨετΛ ༻ɺաֶशΛආ͚ΔΑ͏ύϥϝʔλ Λௐɻ w ࣍43ɺউ w ֶशσʔλ͕গͳ͍ͨΊɺ͋·ΓΑ͘
ͳ͍ɻಛʹେ͖ͳ%%͕ωοΫɻ
ϩϯάγϣʔτઓུ .-ʴ%BUB"VHNFOUBUJPO༻ w .-Ϟσϧͱͯ͠9(#PPTUΛ༻ɺա ֶशΛආ͚ΔΑ͏ύϥϝʔλΛௐɻ w %BUB"VHNFOUBUJPOʹΑΓɺσʔλ ͕ഒ w ࣍43ɺউ
w 43ྑ͍͕࠷ۙௐࢠ͕ѱ͍ɻ૬ͷେ ͖ͳมԽ͕ݪҼ͔ɻ
དྷΓ͍ͨ͜ͱ ͏গ͍͠λΠϜεύϯͷઓུΛ࡞Γ͍ͨɻ w όϦϡʔࢦඪͷ࠶ߏங ࠓͰόϦϡʔͷ֓೦ΑΓχϡΞϯεͷ͋Δͷͱͳ͍ͬͯΔΒ͍͠ɻ ʢDGΞηοτϚωʔδϟʔͷͨΊͷϑΝΠφϯεػցֶशʣ ϑΝΫλʔͷ૬ޓ࡞༻Λ.-ʹΑͬͯௐΔɻ
w ࣥߦΞϧϑΝͷ୳ٻ גՁͷ༧ଌ͍͕͠ɺ͏·͘τϨʔυΛ͢Δ͜ͱͳΜͱ͔Ͱ͖ͦ͏ɻ ϕοταΠζɺࣥߦλΠϛϯάɺʜFUD