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# System prepended metadata

title: 1/19 中研meeting
tags: [畢專, meeting]

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###### tags: `畢專` `meeting`
# 1/19 中研meeting
# 詠雯學姊
* Trading strategy
1). Calculate weights for bullish stocks using Black Litterman model
2). Equally distribute capital on bullish stocks
3). Equally distribute capital on all stocks buy bullish stocks only

### result
1. bull only(all equal)的不會跌太多

### 重點
1. Black Litterman可以看出大盤的趨勢
2. Black Litterman 有放CAPM在裡面

# 嘉豪學長
1. divide funds into M(25 or 50) units.
2. 對每個股票做篩選->先設定出場，停損停利點TP(take profit), SL(stop-less)，每個股票的TP,SL都不一樣-> by HT(historical transaction)
3. 透過 根據feature(根據historical transactions,250天)的association rule(自己訂的->目前18個)去產出一個signal來判斷該不該買
4. 250 days (a year)
5. feature會產生label(碰到上或下)
6. confident: (#F1 AND +1)/#F1 ,算confident多少期望值才會>0

### 問題
F1-> 上升,F2 -> (F2可以拿掉)??




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### 重要名詞
arbitrage套利
delta hedging
hedge fund
ADR
pairstrading
