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アルゴリズムトレードとは何か?

日々自作で自動売買の仕組みを作っていて何所へ行き着くのか考えていた所、
究極はアルゴリズムトレードと呼ばれる物ではないかと言うことがわかってきました。

簡単に書くとこうです

裁量トレードで勝つ技を見つけるためにチャートを検証した

1つ見つけて身につけるのに1年かかった

それをコンピュータープログラムで行うのです。そうすると、

勝率の高い技を見つけるのに3ヶ月バックテストをひたすら行った

合理化をして同じ事が1ヶ月で行えるようになった。

さらなる多重化やコードの改善スピードアップにより1日で同じ事が出来るように

これで1年がけていた事が1日で出来るようになります。

強い手か弱い手かの判定は?

自分の目と頭で成績の検証をやるとExcelの表データを眺めて数時間ああでもないこうでもないと表の組み替えを行ったりしながら見つけ出します。
それをブログラムで行うと数千のバックテストのデータであろうと1秒~数秒で出来るようになります。

コンピュータープログラムを使う事により高速に検証が行えます。
よくアルゴリズムは何をやっているのかわからない という話を聞きますがそれも何故かわかりました。

1年かけた検証が1日で出来るようになり更にプログラムを多重化すれば10分の1にできたり100分の1にすることも可能です。
本気になれば人間の手と頭で1年かけて行っていた検証が数秒で出来さらにその検証の数を多重化により桁外れに増やすことも可能です。

結果 数秒で1000とか10000もしくはそれ以上の検証を行い勝率の高い手法も何十通りも見つけ出します。検証も数秒です。

数十の勝率の高い手法を更にブラッシュアップするのも手と頭でやるとまた1年に戻りますので自動で行います。こうなってくると最初に出てきた勝率の高い手法が何かはその結果を眺めるとなるほどこれかとわかりますが、短い時間で自動的にブラッシュアップされていく手法や過程が何なのかは1つの検証に1年かかるとしたら10000とか100000という数は1生かけても時間が足りないことを意味します。コンピュユーターの計算速度で膨大な量のデータを解析&シミュレーションしそこからとにかく勝率の高い物が結果として出てくる。
そしてその手法で注文するかどうか人が考えていたらまた時間がかかりますので手法の採用権限もプログラムにゆだねるとすると、数分だけこの手法が使われていたけど次の瞬間は別の手法になっている、、もうそんな調子であるとこれまた頭で理解しようとするとコンピュータのログを全部見たりしなければならずこれまたいくら時間が有っても足りないわけです。しかしトレードの手法として高速な検証と手法の組み替えが良い成績を出す物であるならそうする事が極めて合理的といえるでしょう。

頭では検証過程を追えませんが理論とプログラミングの技術やそれらのスピードで勝負するのがアルゴリズムトレードでしょうか?

自分は、実際にアルゴリズムトレード制作の現場を見たわけではないのですべて妄想ではありますが。数年かけてじわじわとわかってきました。

 

・影響を受けた映像
ケヴィン・スラヴィン 「アルゴリズムが形作る世界」 | Video on TED

トリプル注文システムの考案

システムトレードを日々行う上で
注文エラーは多少でも無視できない問題であると言うことが徐々にわかってきました。

現在は1口座のみの稼動で注文不成立が起きた場合は 同じ口座に対して瞬時にリトライ注文を行う仕組みとしてありますが
そもそもアプリや業者のシステムトラブル等の場合はいくら再注文しても成立は不可能です。

■現在
手法成立

注文1

エラー

再注文1

エラー

再注文2

エラー

再注文3

エラー

注文不成立

不成立により勝敗に影響が出る。不成立の勝ち負けに大きな片寄りがあった場合、たとえば5回連続で 勝ちとなるエントリーのみが不成立となった場合、本来想定していた勝率から大きく乖離する場合がある。

回避策として注文用PCを2台稼動
そこそこリスク分散できるがPCの不具合などで片方に深刻なトラブルが発生した場合復旧できるまで1の状態に。

 

そこでトリプル注文SYSTEMを考案

PC2~3台で3口座に注文する。
注文方法は以下の2つが考えられます。

◆リレー形
3枚注文するとして
口座1に3枚注文

エラー

口座2に3枚注文

エラー

口座3に三枚注文

成立

(通常は口座1で成立)

しかしながらこの場合口座3まで到達するのに時間がかかることに・・
そこで

◆分散型注文 ※それぞれの口座に1枚注文
エラーリトライ分散形

手法成立

口座1に1枚注文    →    エラー↓
同時に口座2に1枚注文→成立   →口座2に1のエラー分を1枚追加注文→成立
同時に 口座3に1枚注文→成立

1つがエラーを起こしても遅れが発生するのは1枚だけにとどまる。

さらにPC3台であれば1台に問題が出ても2台で分散注文1台は時間をかけて復旧を行えるというメリットもあるでしょうか。
PC再起動をする場合は3台中の2台が稼動している状態で1台だけが再起動するようにすれば取引を中止せずに再起動が可能です。(これを考えるとやはり3台もしくはそれ以上が理想)
注文エラーは吉と働く場合もありますが回数が多い場合は勝率に深刻な問題が出てくる場合がほとんどです。
勝率の制度を上げるにはこのような仕組み作りが必要かと感じる今日このこの頃ではありますが、この仕組みをプログラミングするのはまた骨の折れる作業となりそうです。

 

シストレ作りの日々

仕事が忙しかったりでしばらくお休みしていましたがまたブログを再開出来ればと思います。

その後も自作シストレの構築をずっと続けています。
裁量トレードはコツコツドカンの繰り返しでイマイチですがシストレは作れば作るほど色々見えてきてはまっています。
PCはすでに何台あるかわからないレベルでここに随時記載するのは難しい状況ですw
環境作りもまだ続いていますが最近はプログラミングにかける時間がほとんどです
このブログもハードウエアの話からプログラミングよりになるかも知れませんがまた宜しくお願い致します。

 

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