High Frequency Trading Strategy Evaluation System Based on Grey Relational Analysis and Power Spectral Estimation

• Main Authors: Y.W. Chen, J.F. Guo, C. Wang, N. Feng
• Format: Article
• Language: English
• Published: AIDIC Servizi S.r.l. 2016-08-01
• Series: Chemical Engineering Transactions
• Online Access: https://www.cetjournal.it/index.php/cet/article/view/3975

In order to make a comprehensive evaluation of the profit, risk prevention, profit and loss coefficient and other performance parameters of high frequency trading strategies, this paper proposes High Frequency Trading Strategy Evaluation System (SES) model based on gray relational analysis and power spectral estimation algorithm. This model uses gray relational analysis to determine the main strategy factors and power spectral estimation algorithm for strategy evaluation. Based on historical data simulation test, SES provides strategy performance evaluation report, and it also has functions of data management, strategy development, regression testing and clearing implementation.