{"id":149,"date":"2025-06-18T06:48:34","date_gmt":"2025-06-18T06:48:34","guid":{"rendered":"https:\/\/blog.alltick.co\/ja-jp\/?p=149"},"modified":"2025-06-18T06:48:35","modified_gmt":"2025-06-18T06:48:35","slug":"classic-quantitative-strategies-in-the-forex-market","status":"publish","type":"post","link":"https:\/\/blog.alltick.co\/ja-jp\/classic-quantitative-strategies-in-the-forex-market\/","title":{"rendered":"\u5916\u56fd\u70ba\u66ff\u5e02\u5834\u306b\u304a\u3051\u308b\u30af\u30e9\u30b7\u30c3\u30af\u306a\u30af\u30aa\u30f3\u30c4\u6226\u7565"},"content":{"rendered":"\n<p>\u5916\u56fd\u70ba\u66ff\uff08FX\uff09\u5e02\u5834\u306f\u3001\u305d\u306e\u9ad8\u3044\u6d41\u52d5\u6027\u306824\u6642\u9593\u53d6\u5f15\u53ef\u80fd\u306a\u7279\u6027\u306b\u3088\u308a\u3001\u591a\u304f\u306e\u30c8\u30ec\u30fc\u30c0\u30fc\u3092\u60f9\u304d\u3064\u3051\u3066\u3044\u307e\u3059\u3002\u30af\u30aa\u30f3\u30c4\uff08\u5b9a\u91cf\uff09\u53d6\u5f15\u6226\u7565\u306f\u3001\u4ed6\u306e\u91d1\u878d\u5e02\u5834\u3068\u540c\u69d8\u306bFX\u5e02\u5834\u3067\u3082\u975e\u5e38\u306b\u4eba\u6c17\u304c\u3042\u308a\u307e\u3059\u3002\u4ee5\u4e0b\u306f\u3001\u30af\u30aa\u30f3\u30c4\u30b7\u30b9\u30c6\u30e0\u306b\u5b9f\u88c5\u53ef\u80fd\u306a3\u3064\u306e\u30af\u30e9\u30b7\u30c3\u30af\u306aFX\u53d6\u5f15\u6226\u7565\u3067\u3059\u3002<\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>1. \u30e2\u30e1\u30f3\u30bf\u30e0\u6226\u7565\uff08Momentum Trading Strategy\uff09<\/strong><\/h2>\n\n\n\n<p>\u30e2\u30e1\u30f3\u30bf\u30e0\u6226\u7565\u306f\u3001\u300c\u3042\u308b\u65b9\u5411\u306b\u52d5\u304d\u51fa\u3057\u305f\u4fa1\u683c\u306f\u3057\u3070\u3089\u304f\u305d\u306e\u65b9\u5411\u306b\u52d5\u304d\u7d9a\u3051\u308b\u300d\u3068\u3044\u3046\u4eee\u5b9a\u306b\u57fa\u3065\u3044\u3066\u3044\u307e\u3059\u3002\u30e2\u30e1\u30f3\u30bf\u30e0\u30c8\u30ec\u30fc\u30c0\u30fc\u306f\u3001\u76f8\u5bfe\u7684\u306b\u5f37\u3044\u901a\u8ca8\u30da\u30a2\u3092\u8cb7\u3044\u3001\u5f31\u3044\u901a\u8ca8\u30da\u30a2\u3092\u58f2\u308b\u3053\u3068\u3067\u5229\u76ca\u3092\u72d9\u3044\u307e\u3059\u3002<\/p>\n\n\n\n<p><strong>\u5b9f\u88c5\u624b\u9806\uff1a<\/strong><\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>\u30e2\u30e1\u30f3\u30bf\u30e0\u3092\u6e2c\u5b9a\u3059\u308b\u6642\u9593\u7a93\uff08\u4f8b\uff1a20\u65e5\u300150\u65e5\u3001200\u65e5\uff09\u3092\u9078\u629e<\/li>\n\n\n\n<li>\u904e\u53bb\u306e\u4fa1\u683c\u5909\u5316\u7387\uff08\u30d1\u30fc\u30bb\u30f3\u30c6\u30fc\u30b8\uff09\u3092\u8a08\u7b97<\/li>\n\n\n\n<li>\u30e2\u30e1\u30f3\u30bf\u30e0\u306e\u95be\u5024\u3092\u8a2d\u5b9a\u3057\u3001\u4fa1\u683c\u5909\u52d5\u304c\u3053\u306e\u6c34\u6e96\u3092\u8d85\u3048\u305f\u3089\u58f2\u8cb7\u3092\u5b9f\u884c<\/li>\n\n\n\n<li>\u30e2\u30e1\u30f3\u30bf\u30e0\u3092\u5b9a\u671f\u7684\u306b\u518d\u8a08\u7b97\u3057\u3001\u30dd\u30b8\u30b7\u30e7\u30f3\u3092\u8abf\u6574<\/li>\n<\/ul>\n\n\n\n<pre class=\"EnlighterJSRAW\" data-enlighter-language=\"generic\" data-enlighter-theme=\"\" data-enlighter-highlight=\"\" data-enlighter-linenumbers=\"\" data-enlighter-lineoffset=\"\" data-enlighter-title=\"\" data-enlighter-group=\"\">import pandas as pd\nimport numpy as np\n\ndata = pd.read_csv('forex_data.csv')\n\ndata['momentum'] = data['close'].pct_change(periods=20)\n\nbuy_threshold = 0.05\nsell_threshold = -0.05\n\ndata['signal'] = np.where(data['momentum'] > buy_threshold, 1, 0)\ndata['signal'] = np.where(data['momentum'] &lt; sell_threshold, -1, data['signal'])\n\ndata['return'] = data['close'].pct_change()\ndata['strategy_return'] = data['signal'].shift(1) * data['return']<\/pre>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>2. \u5e73\u5747\u56de\u5e30\u6226\u7565\uff08Mean Reversion Strategy\uff09<\/strong><\/h2>\n\n\n\n<p>\u5e73\u5747\u56de\u5e30\u6226\u7565\u306f\u3001\u300c\u5e02\u5834\u4fa1\u683c\u306f\u4e00\u5b9a\u306e\u5e73\u5747\u5024\u306b\u56de\u5e30\u3059\u308b\u50be\u5411\u304c\u3042\u308b\u300d\u3068\u3044\u3046\u8003\u3048\u306b\u57fa\u3065\u3044\u3066\u3044\u307e\u3059\u3002\u4fa1\u683c\u304c\u5e73\u5747\u304b\u3089\u5927\u304d\u304f\u4e56\u96e2\u3057\u305f\u969b\u3001\u5143\u306b\u623b\u308b\u52d5\u304d\u3092\u72d9\u3063\u3066\u53d6\u5f15\u3092\u884c\u3044\u307e\u3059\u3002<\/p>\n\n\n\n<p><strong>\u5b9f\u88c5\u624b\u9806\uff1a<\/strong><\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>\u79fb\u52d5\u5e73\u5747\u3092\u7b97\u51fa\u3059\u308b\u6642\u9593\u7a93\uff08\u4f8b\uff1a20\u65e5\uff09\u3092\u9078\u5b9a<\/li>\n\n\n\n<li>\u305d\u306e\u671f\u9593\u306e\u4fa1\u683c\u306e\u5e73\u5747\u5024\u3068\u6a19\u6e96\u504f\u5dee\u3092\u8a08\u7b97<\/li>\n\n\n\n<li>\u4fa1\u683c\u304c\u300c\u5e73\u5747 \u2212 \u6a19\u6e96\u504f\u5dee \u00d7 \u4fc2\u6570\u300d\u3088\u308a\u4e0b\u56de\u3063\u305f\u5834\u5408\u306b\u8cb7\u3044\u30a8\u30f3\u30c8\u30ea\u30fc<\/li>\n\n\n\n<li>\u4fa1\u683c\u304c\u300c\u5e73\u5747 + \u6a19\u6e96\u504f\u5dee \u00d7 \u4fc2\u6570\u300d\u3088\u308a\u4e0a\u56de\u3063\u305f\u5834\u5408\u306b\u58f2\u308a\u30a8\u30f3\u30c8\u30ea\u30fc<\/li>\n<\/ul>\n\n\n\n<pre class=\"EnlighterJSRAW\" data-enlighter-language=\"generic\" data-enlighter-theme=\"\" data-enlighter-highlight=\"\" data-enlighter-linenumbers=\"\" data-enlighter-lineoffset=\"\" data-enlighter-title=\"\" data-enlighter-group=\"\">data['mean'] = data['close'].rolling(window=20).mean()\ndata['std'] = data['close'].rolling(window=20).std()\n\nbuy_threshold = data['mean'] - 2 * data['std']\nsell_threshold = data['mean'] + 2 * data['std']\n\ndata['signal'] = np.where(data['close'] &lt; buy_threshold, 1, 0)\ndata['signal'] = np.where(data['close'] > sell_threshold, -1, data['signal'])\n\ndata['strategy_return'] = data['signal'].shift(1) * data['return']<\/pre>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>3. \u30c8\u30ec\u30f3\u30c9\u30d5\u30a9\u30ed\u30fc\u6226\u7565\uff08Trend-Following Strategy\uff09<\/strong><\/h2>\n\n\n\n<p>\u30c8\u30ec\u30f3\u30c9\u30d5\u30a9\u30ed\u30fc\u6226\u7565\u306f\u3001\u300c\u5e02\u5834\u306b\u306f\u9577\u671f\u7684\u306a\u30c8\u30ec\u30f3\u30c9\u304c\u5b58\u5728\u3059\u308b\u300d\u3068\u3044\u3046\u524d\u63d0\u306b\u57fa\u3065\u3044\u3066\u3044\u307e\u3059\u3002\u4fa1\u683c\u304c\u7279\u5b9a\u306e\u6c34\u6e96\uff08\u4f8b\uff1a\u79fb\u52d5\u5e73\u5747\uff09\u3092\u7a81\u7834\u3059\u308b\u3068\u3001\u30c8\u30ec\u30f3\u30c9\u304c\u7d99\u7d9a\u3059\u308b\u30b5\u30a4\u30f3\u3068\u898b\u306a\u3057\u3001\u305d\u306e\u65b9\u5411\u306b\u30dd\u30b8\u30b7\u30e7\u30f3\u3092\u53d6\u308a\u307e\u3059\u3002<\/p>\n\n\n\n<p><strong>\u5b9f\u88c5\u624b\u9806\uff1a<\/strong><\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>\u7570\u306a\u308b\u671f\u9593\u306e2\u672c\u306e\u79fb\u52d5\u5e73\u5747\u7dda\uff08\u4f8b\uff1a50\u65e5\u3068200\u65e5\uff09\u3092\u9078\u5b9a<\/li>\n\n\n\n<li>\u77ed\u671f\u79fb\u52d5\u5e73\u5747\u304c\u9577\u671f\u79fb\u52d5\u5e73\u5747\u3092\u4e0a\u629c\u3051\u305f\u5834\u5408\u306b\u8cb7\u3044\uff08\u30b4\u30fc\u30eb\u30c7\u30f3\u30af\u30ed\u30b9\uff09<\/li>\n\n\n\n<li>\u77ed\u671f\u79fb\u52d5\u5e73\u5747\u304c\u9577\u671f\u79fb\u52d5\u5e73\u5747\u3092\u4e0b\u629c\u3051\u305f\u5834\u5408\u306b\u58f2\u308a\uff08\u30c7\u30c3\u30c9\u30af\u30ed\u30b9\uff09<\/li>\n<\/ul>\n\n\n\n<pre class=\"EnlighterJSRAW\" data-enlighter-language=\"generic\" data-enlighter-theme=\"\" data-enlighter-highlight=\"\" data-enlighter-linenumbers=\"\" data-enlighter-lineoffset=\"\" data-enlighter-title=\"\" data-enlighter-group=\"\">data['short_mavg'] = data['close'].rolling(window=50).mean()\ndata['long_mavg'] = data['close'].rolling(window=200).mean()\n\ndata['signal'] = np.where(data['short_mavg'] > data['long_mavg'], 1, 0)\ndata['signal'] = np.where(data['short_mavg'] &lt; data['long_mavg'], -1, data['signal'])\n\ndata['strategy_return'] = data['signal'].shift(1) * data['return']<\/pre>\n","protected":false},"excerpt":{"rendered":"<p>\u5916\u56fd\u70ba\u66ff\uff08FX\uff09\u5e02\u5834\u306f\u3001\u305d\u306e\u9ad8\u3044\u6d41\u52d5\u6027\u306824\u6642\u9593\u53d6\u5f15\u53ef\u80fd\u306a\u7279\u6027\u306b\u3088\u308a\u3001\u591a\u304f\u306e\u30c8\u30ec\u30fc\u30c0\u30fc\u3092\u60f9\u304d\u3064\u3051\u3066\u3044\u307e\u3059\u3002\u30af\u30aa\u30f3\u30c4\uff08\u5b9a\u91cf\uff09\u53d6\u5f15\u6226\u7565\u306f\u3001\u4ed6\u306e\u91d1\u878d\u5e02\u5834\u3068\u540c\u69d8\u306bFX\u5e02\u5834\u3067\u3082\u975e\u5e38\u306b\u4eba\u6c17\u304c\u3042\u308a\u307e\u3059\u3002\u4ee5\u4e0b\u306f\u3001\u30af\u30aa\u30f3\u30c4\u30b7\u30b9\u30c6\u30e0\u306b\u5b9f\u88c5\u53ef [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":150,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[7],"tags":[],"class_list":["post-149","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-guide"],"featured_image_src":"https:\/\/i0.wp.com\/blog.alltick.co\/ja-jp\/wp-content\/uploads\/sites\/2\/2025\/06\/foreign-exchange.webp?fit=1142%2C763&ssl=1","author_info":{"display_name":"admin","author_link":"https:\/\/blog.alltick.co\/ja-jp\/author\/admin\/"},"_links":{"self":[{"href":"https:\/\/blog.alltick.co\/ja-jp\/wp-json\/wp\/v2\/posts\/149","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/blog.alltick.co\/ja-jp\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/blog.alltick.co\/ja-jp\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/blog.alltick.co\/ja-jp\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/blog.alltick.co\/ja-jp\/wp-json\/wp\/v2\/comments?post=149"}],"version-history":[{"count":1,"href":"https:\/\/blog.alltick.co\/ja-jp\/wp-json\/wp\/v2\/posts\/149\/revisions"}],"predecessor-version":[{"id":151,"href":"https:\/\/blog.alltick.co\/ja-jp\/wp-json\/wp\/v2\/posts\/149\/revisions\/151"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/blog.alltick.co\/ja-jp\/wp-json\/wp\/v2\/media\/150"}],"wp:attachment":[{"href":"https:\/\/blog.alltick.co\/ja-jp\/wp-json\/wp\/v2\/media?parent=149"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/blog.alltick.co\/ja-jp\/wp-json\/wp\/v2\/categories?post=149"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/blog.alltick.co\/ja-jp\/wp-json\/wp\/v2\/tags?post=149"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}