论文标题
关于双线性交易的稳健性，交易成本
On Robustness of Double Linear Trading with Transaction Costs
论文作者
论文摘要
如果交易系统不论市场方向如何，据说它会产生强大的回报率。为此，始终如一的积极预期交易收益通常用作交易系统的鲁棒性指标。在本文中，我们在涉及交易成本时提出了一类新的交易策略，称为{双线性策略}。与许多现有论文不同，我们首先表明，涉及交易成本时，所需的强劲预期增益可能会消失。然后，我们在哪个条件下仍可以保留所需阳性的条件。此外，我们为基础资产进行了大量的蒙特卡罗模拟，其价格受到几何布朗尼运动的影响，并跳高以验证我们的理论。还研究了一个更现实的回测示例，涉及加密货币比特币USD的历史数据。
A trading system is said to be {robust} if it generates a robust return regardless of market direction. To this end, a consistently positive expected trading gain is often used as a robustness metric for a trading system. In this paper, we propose a new class of trading policies called the {double linear policy} in an asset trading scenario when the transaction costs are involved. Unlike many existing papers, we first show that the desired robust positive expected gain may disappear when transaction costs are involved. Then we quantify under what conditions the desired positivity can still be preserved. In addition, we conduct heavy Monte-Carlo simulations for an underlying asset whose prices are governed by a geometric Brownian motion with jumps to validate our theory. A more realistic backtesting example involving historical data for cryptocurrency Bitcoin-USD is also studied.
