{"product_id":"parnaq-torgowlq-von-chzha-huan","title":"Parnaq torgowlq","description":"\u003cp\u003eStatisticheskij arbitrazh osnowan na parnoj torgowle sredneobraschaüschimisq dohodnostqmi. My ispol'zowali kointegracionnyj podhod i ECM-DCC-GARCH dlq postroeniq 98 par iz 152 akcij 3 walüt. Torgowlq akciqmi osuschestwlqetsq s pomosch'ü kontrakta na raznicu. Dlq izmereniq äffektiwnosti my wweli koäfficient pribyli, kotoryj predstawlqet soboj godowuü normu pribyli na edinicu riska. A istoricheskij risk izmerqetsq maximal'noj prosadkoj. My srawnili tri osnownye strategii: procent, standartnoe otklonenie dolgosrochnyh ostatkow kointegracii i Bollinger Bands (dinamicheskoe standartnoe otklonenie), s dwojnym podtwerzhdeniem kratkosrochnogo standartnogo otkloneniq, smodelirowannogo ECM-DCC-GARCH, i bez nego. Kazhdaq iz treh osnownyh strategij optimiziruetsq dwumq optimizatorami: absolütnaq pribyl' i koäfficient pribyli. Period optimizacii dlitsq s 2012-01-01 po 2014-12-31, a period podtwerzhdeniq - s 2015-01-01 po 2016-06-01. Nashi rezul'taty pokazali, chto strategiq USD Bollinger Bands bez dwojnogo podtwerzhdeniq i optimizirowannaq po profit factor, prewzoshla drugie strategii i obespechila samyj wysokij godowoj dohod na edinicu riska. 32% par nashej wyborki okazalis' w ubytke, i 94% iz nih ob#qsnqütsq razrywom kointegracii w techenie testowogo perioda.\u003c\/p\u003e\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9786205946565\"\u003e\u003ch3\u003estatisticheskij, wysokochastotnyj i fundamental'nyj arbitrazh\u003c\/h3\u003e\u003c\/div\u003e","brand":"Autorenwelt Shop","offers":[{"title":"Softcover - 9786205946565","offer_id":46665840296261,"sku":"9786205946565","price":19.8,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/f63fcfb7-a01a-4692-b0ab-7613b6193e1a.jpg?v=1750742971","url":"https:\/\/shop.autorenwelt.de\/products\/parnaq-torgowlq-von-chzha-huan","provider":"Autorenwelt Shop","version":"1.0","type":"link"}