{"id":385,"date":"2024-05-08T16:41:39","date_gmt":"2024-05-08T08:41:39","guid":{"rendered":"https:\/\/blog.alltick.co\/?p=385"},"modified":"2025-04-28T15:18:07","modified_gmt":"2025-04-28T07:18:07","slug":"andreas-clenow-trend-following-strategy","status":"publish","type":"post","link":"https:\/\/blog.alltick.co\/zh-CN\/andreas-clenow-trend-following-strategy\/","title":{"rendered":"Andreas Clenow Trend Following \u5b89\u5fb7\u70c8\u4e9a\u65af\u00b7\u514b\u83b1\u8bfa\u8d8b\u52bf\u8ddf\u8e2a\u7b56\u7565"},"content":{"rendered":"\n

Andreas Clenow\uff08\u5b89\u5fb7\u70c8\u4e9a\u65af\u00b7\u514b\u83b1\u8bfa\uff09\u662f\u4e00\u4f4d\u77e5\u540d\u7684\u91cf\u5316\u4ea4\u6613\u4e13\u5bb6\u3002\u4ed6\u662f\u4e00\u4f4d\u745e\u58eb\u91d1\u878d\u5206\u6790\u5e08\u548c\u8d44\u4ea7\u7ba1\u7406\u4eba\uff0c\u4e13\u6ce8\u4e8e\u7cfb\u7edf\u5316\u4ea4\u6613\u548c\u6295\u8d44\u7b56\u7565\u7684\u7814\u7a76\u4e0e\u5b9e\u8df5\u3002Andreas Clenow\u5728\u91cf\u5316\u4ea4\u6613\u9886\u57df\u5177\u6709\u4e30\u5bcc\u7684\u7ecf\u9a8c\uff0c\u5e76\u5728\u8be5\u9886\u57df\u4eab\u6709\u5f88\u9ad8\u7684\u58f0\u8a89\u3002<\/p>\n\n\n\n

Andreas Clenow\u5728\u4ed6\u7684\u8457\u4f5c\u548c\u6f14\u8bb2\u4e2d\u4ecb\u7ecd\u4e86\u8bb8\u591a\u6709\u4ef7\u503c\u7684\u91cf\u5316\u4ea4\u6613\u7b56\u7565\u548c\u6982\u5ff5\u3002\u4ed6\u7684\u4f5c\u54c1\u5305\u62ec\u300a\u80a1\u5e02\u8d8b\u52bf\u4ea4\u6613\u7b56\u7565\uff1a\u6784\u5efa\u3001\u6d4b\u8bd5\u548c\u6267\u884c\u8d5a\u94b1\u7684\u91cf\u5316\u4ea4\u6613\u7cfb\u7edf\u300b\uff08”Following the Trend: Diversified Managed Futures Trading”\uff09\u548c\u300a\u91cf\u5316\u4ea4\u6613\uff1a\u5982\u4f55\u5efa\u7acb\u4f60\u7684\u7b97\u6cd5\u4ea4\u6613\u4e1a\u52a1\u300b\uff08”Machine Trading: Deploying Computer Algorithms to Conquer the Markets”\uff09\u3002\u4ed6\u7684\u8457\u4f5c\u6df1\u5165\u6d45\u51fa\uff0c\u65e8\u5728\u5e2e\u52a9\u8bfb\u8005\u7406\u89e3\u548c\u5e94\u7528\u91cf\u5316\u4ea4\u6613\u7684\u539f\u7406\u548c\u5b9e\u8df5\u3002<\/p>\n\n\n\n

Andreas Clenow\u7684\u7b56\u7565\u4e2d\uff0c\u6700\u8457\u540d\u7684\u662f\u4ed6\u63d0\u51fa\u7684\u8d8b\u52bf\u8ddf\u968f\u7b56\u7565\uff08Trend Following\uff09\u3002\u8fd9\u79cd\u7b56\u7565\u4e13\u6ce8\u4e8e\u6355\u6349\u5e02\u573a\u957f\u671f\u8d8b\u52bf\uff0c\u5e76\u901a\u8fc7\u6280\u672f\u6307\u6807\u548c\u8d8b\u52bf\u7ebf\u6765\u8bc6\u522b\u548c\u8ddf\u8e2a\u5e02\u573a\u8d8b\u52bf\u3002\u8d8b\u52bf\u8ddf\u968f\u7b56\u7565\u7684\u76ee\u6807\u662f\u5728\u8d8b\u52bf\u5f00\u59cb\u65f6\u8fdb\u5165\u5e02\u573a\uff0c\u7136\u540e\u6301\u6709\u5e76\u8ddf\u968f\u8d8b\u52bf\u76f4\u5230\u8d8b\u52bf\u7ed3\u675f\uff0c\u4ee5\u83b7\u5f97\u957f\u671f\u7a33\u5b9a\u7684\u6536\u76ca\u3002<\/p>\n\n\n\n

Trend Following\u7b56\u7565\u7684\u6838\u5fc3\u601d\u60f3\u662f\uff0c\u5e02\u573a\u5b58\u5728\u7740\u957f\u671f\u7684\u8d8b\u52bf\uff0c\u5e76\u4e14\u8fd9\u4e9b\u8d8b\u52bf\u5728\u4e00\u6bb5\u65f6\u95f4\u5185\u4f1a\u6301\u7eed\u3002\u8be5\u7b56\u7565\u7684\u76ee\u6807\u662f\u5728\u8d8b\u52bf\u5f00\u59cb\u65f6\u8fdb\u5165\u5e02\u573a\uff0c\u7136\u540e\u6301\u6709\u5e76\u8ddf\u968f\u8d8b\u52bf\u76f4\u5230\u8d8b\u52bf\u7ed3\u675f\u3002\u901a\u8fc7\u6355\u6349\u5e02\u573a\u7684\u957f\u671f\u8d8b\u52bf\uff0cTrend Following\u7b56\u7565\u53ef\u4ee5\u5728\u5e02\u573a\u4e0a\u6da8\u6216\u4e0b\u8dcc\u65f6\u83b7\u5f97\u6536\u76ca\uff0c\u5e76\u52aa\u529b\u907f\u514d\u5728\u5e02\u573a\u6ce2\u52a8\u8f83\u5927\u7684\u65f6\u5019\u627f\u53d7\u8fc7\u591a\u7684\u98ce\u9669\u3002<\/p>\n\n\n\n

Trend Following\u7b56\u7565\u901a\u5e38\u4f7f\u7528\u6280\u672f\u6307\u6807\u548c\u8d8b\u52bf\u7ebf\u6765\u8bc6\u522b\u548c\u8ddf\u8e2a\u5e02\u573a\u8d8b\u52bf\u3002\u5e38\u7528\u7684\u6280\u672f\u6307\u6807\u5305\u62ec\u79fb\u52a8\u5e73\u5747\u7ebf\u3001\u76f8\u5bf9\u5f3a\u5f31\u6307\u6807\uff08RSI\uff09\u3001\u5e73\u5747\u771f\u5b9e\u8303\u56f4\uff08ATR\uff09\u7b49\u3002\u8fd9\u4e9b\u6307\u6807\u53ef\u4ee5\u5e2e\u52a9\u4ea4\u6613\u8005\u786e\u5b9a\u5e02\u573a\u7684\u65b9\u5411\u548c\u8d8b\u52bf\u7684\u5f3a\u5ea6\u3002\u8d8b\u52bf\u7ebf\u5219\u901a\u8fc7\u7ed8\u5236\u5e02\u573a\u7684\u9ad8\u70b9\u548c\u4f4e\u70b9\u6765\u8bc6\u522b\u8d8b\u52bf\uff0c\u5e76\u5728\u8d8b\u52bf\u53d1\u751f\u53d8\u5316\u65f6\u63d0\u4f9b\u51fa\u573a\u4fe1\u53f7\u3002<\/p>\n\n\n\n

Trend Following\u7b56\u7565\u7684\u4f18\u52bf\u5728\u4e8e\u5176\u957f\u671f\u7a33\u5b9a\u6027\u548c\u9002\u5e94\u5404\u79cd\u5e02\u573a\u73af\u5883\u7684\u80fd\u529b\u3002\u5b83\u4e0d\u4f9d\u8d56\u4e8e\u7279\u5b9a\u7684\u5e02\u573a\u6761\u4ef6\u6216\u7ecf\u6d4e\u9884\u6d4b\uff0c\u800c\u662f\u4f9d\u9760\u5e02\u573a\u81ea\u8eab\u7684\u8868\u73b0\u6765\u8fdb\u884c\u51b3\u7b56\u3002\u8fd9\u4f7f\u5f97\u8be5\u7b56\u7565\u80fd\u591f\u9002\u5e94\u4e0d\u540c\u7684\u5e02\u573a\u60c5\u51b5\uff0c\u5e76\u5728\u957f\u671f\u6301\u6709\u7684\u60c5\u51b5\u4e0b\u5b9e\u73b0\u7a33\u5b9a\u7684\u6536\u76ca\u3002<\/p>\n\n\n\n

\u7136\u800c\uff0cTrend Following\u7b56\u7565\u4e5f\u5b58\u5728\u4e00\u4e9b\u98ce\u9669\u3002\u5728\u5e02\u573a\u51fa\u73b0\u9707\u8361\u6216\u6a2a\u76d8\u884c\u60c5\u65f6\uff0c\u8be5\u7b56\u7565\u53ef\u80fd\u4f1a\u4ea7\u751f\u9891\u7e41\u7684\u4ea4\u6613\u4fe1\u53f7\u800c\u5bfc\u81f4\u4ea4\u6613\u6210\u672c\u589e\u52a0\u3002\u6b64\u5916\uff0c\u7531\u4e8e\u8d8b\u52bf\u7684\u5ef6\u7eed\u6027\u4e0d\u662f\u7edd\u5bf9\u7684\uff0c\u7b56\u7565\u53ef\u80fd\u5728\u5e02\u573a\u5feb\u901f\u53cd\u8f6c\u6216\u8d8b\u52bf\u7ed3\u675f\u65f6\u906d\u53d7\u635f\u5931\u3002\u56e0\u6b64\uff0c\u98ce\u9669\u7ba1\u7406\u548c\u8d44\u91d1\u7ba1\u7406\u5728Trend Following\u7b56\u7565\u4e2d\u975e\u5e38\u91cd\u8981\u3002<\/p>\n\n\n\n

Java\u4ee3\u7801\u793a\u4f8b<\/strong><\/h2>\n\n\n\n
import java.util.ArrayList;\nimport java.util.List;\n\npublic class TrendFollowingStrategy {\n\n    public static void main(String[] args) {\n        \/\/ \u5047\u8bbe\u6211\u4eec\u6709\u4e00\u7cfb\u5217\u4ef7\u683c\u6570\u636e\n        List<Double> prices = new ArrayList<>();\n        prices.add(100.0);\n        prices.add(105.0);\n        prices.add(110.0);\n        prices.add(95.0);\n        prices.add(120.0);\n        prices.add(130.0);\n\n        \/\/ \u8ba1\u7b97\u79fb\u52a8\u5e73\u5747\u7ebf\uff08\u7b80\u5355\u793a\u4f8b\uff0c\u4f7f\u75285\u4e2a\u5468\u671f\u7684\u79fb\u52a8\u5e73\u5747\u7ebf\uff09\n        List<Double> movingAverages = calculateMovingAverages(prices, 5);\n\n        \/\/ \u6267\u884c\u8d8b\u52bf\u8ddf\u968f\u7b56\u7565\n        for (int i = 1; i < prices.size(); i++) {\n            double currentPrice = prices.get(i);\n            double previousPrice = prices.get(i - 1);\n            double movingAverage = movingAverages.get(i - 1);\n\n            if (currentPrice > movingAverage && previousPrice <= movingAverage) {\n                \/\/ \u5f53\u4ef7\u683c\u4e0a\u6da8\u5e76\u4e14\u7a7f\u8fc7\u79fb\u52a8\u5e73\u5747\u7ebf\u65f6\uff0c\u6267\u884c\u4e70\u5165\u64cd\u4f5c\n                System.out.println(\"\u4e70\u5165 @ \uffe5\" + currentPrice);\n            } else if (currentPrice < movingAverage && previousPrice >= movingAverage) {\n                \/\/ \u5f53\u4ef7\u683c\u4e0b\u8dcc\u5e76\u4e14\u7a7f\u8fc7\u79fb\u52a8\u5e73\u5747\u7ebf\u65f6\uff0c\u6267\u884c\u5356\u51fa\u64cd\u4f5c\n                System.out.println(\"\u5356\u51fa @ \uffe5\" + currentPrice);\n            }\n        }\n    }\n\n    private static List<Double> calculateMovingAverages(List<Double> prices, int period) {\n        List<Double> movingAverages = new ArrayList<>();\n        for (int i = period - 1; i < prices.size(); i++) {\n            double sum = 0.0;\n            for (int j = i - period + 1; j <= i; j++) {\n                sum += prices.get(j);\n            }\n            double movingAverage = sum \/ period;\n            movingAverages.add(movingAverage);\n        }\n        return movingAverages;\n    }\n}<\/pre>\n\n\n\n
Python\u4ee3\u7801\u793a\u4f8b<\/strong><\/h2>\n\n\n\n
def calculate_moving_averages(prices, period):\n    moving_averages = []\n    for i in range(period - 1, len(prices)):\n        sum_prices = sum(prices[i - period + 1: i + 1])\n        moving_average = sum_prices \/ period\n        moving_averages.append(moving_average)\n    return moving_averages\n\ndef trend_following_strategy(prices, moving_averages):\n    for i in range(1, len(prices)):\n        current_price = prices[i]\n        previous_price = prices[i - 1]\n        moving_average = moving_averages[i - 1]\n\n        if current_price > moving_average and previous_price <= moving_average:\n            # \u5f53\u4ef7\u683c\u4e0a\u6da8\u5e76\u4e14\u7a7f\u8fc7\u79fb\u52a8\u5e73\u5747\u7ebf\u65f6\uff0c\u6267\u884c\u4e70\u5165\u64cd\u4f5c\n            print(\"\u4e70\u5165 @ \uffe5\", current_price)\n        elif current_price < moving_average and previous_price >= moving_average:\n            # \u5f53\u4ef7\u683c\u4e0b\u8dcc\u5e76\u4e14\u7a7f\u8fc7\u79fb\u52a8\u5e73\u5747\u7ebf\u65f6\uff0c\u6267\u884c\u5356\u51fa\u64cd\u4f5c\n            print(\"\u5356\u51fa @ \uffe5\", current_price)\n\n# \u5047\u8bbe\u6211\u4eec\u6709\u4e00\u7cfb\u5217\u4ef7\u683c\u6570\u636e\nprices = [100.0, 105.0, 110.0, 95.0, 120.0, 130.0]\n\n# \u8ba1\u7b97\u79fb\u52a8\u5e73\u5747\u7ebf\uff08\u7b80\u5355\u793a\u4f8b\uff0c\u4f7f\u75285\u4e2a\u5468\u671f\u7684\u79fb\u52a8\u5e73\u5747\u7ebf\uff09\nmoving_averages = calculate_moving_averages(prices, 5)\n\n# \u6267\u884c\u8d8b\u52bf\u8ddf\u968f\u7b56\u7565\ntrend_following_strategy(prices, moving_averages)<\/pre>\n","protected":false},"excerpt":{"rendered":"
Andreas Clenow\uff08\u5b89\u5fb7\u70c8\u4e9a\u65af\u00b7\u514b\u83b1\u8bfa\uff09\u662f\u4e00\u4f4d\u77e5\u540d\u7684\u91cf\u5316\u4ea4\u6613\u4e13\u5bb6\u3002\u4ed6\u662f\u4e00\u4f4d\u745e\u58eb\u91d1\u878d\u5206\u6790\u5e08\u548c\u8d44\u4ea7\u7ba1\u7406\u4eba…<\/p>\n","protected":false},"author":1,"featured_media":387,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":""},"categories":[8],"tags":[],"class_list":["post-385","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-tick-data-wiki"],"acf":[],"_links":{"self":[{"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/posts\/385","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/comments?post=385"}],"version-history":[{"count":2,"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/posts\/385\/revisions"}],"predecessor-version":[{"id":388,"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/posts\/385\/revisions\/388"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/media\/387"}],"wp:attachment":[{"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/media?parent=385"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/categories?post=385"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/tags?post=385"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}