Research and Strategy Optimization of Quantitative Trading Live Trading Based on Index Reconstruction
DOI:
https://doi.org/10.71222/61mrfr64Keywords:
index reconstruction, quantitative trading, strategy optimization, real time backtestingAbstract
In recent years, index-enhanced investment strategies have grown increasingly sophisticated and complex, with the application of index reconstruction techniques becoming more widespread in quantitative trading. Nevertheless, the effectiveness of these strategies in real-world trading can be constrained by factors such as index fitting bias, model overfitting, and transaction costs. This article builds on the theoretical foundation of integrating index reconstruction with quantitative strategies and provides a comprehensive analysis of the challenges encountered in actual market operations. To address these issues, corresponding optimization methods are proposed, including the development of a dynamic index reconstruction mechanism, the use of regularization techniques to enhance model stability, and the refinement of execution path management to reduce costs. Empirical research is conducted to verify the effectiveness of these strategies, offering both theoretical insights and practical guidance for optimizing index-enhanced strategies in real-market environments.
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