目录索引

一、背景介绍：趋势策略的信号筛选.....................................................................................4
（一） EMDT 策略 ..........................................................................................................4
（二）成份股一致性选股策略 ........................................................................................5
（三）机器学习趋势信号优选 ........................................................................................6
二、循环神经网络 ..................................................................................................................7
（一）深度学习回顾.......................................................................................................7
（二）循环神经网络.....................................................................................................11
（二） RNN 参数优化时的梯度消失和梯度爆炸 ...........................................................13
（三）长短期记忆模型（LSTM）的应用 .....................................................................14
（四） RNN 的不同应用场景 ........................................................................................15
三、策略与实证分析 ............................................................................................................16
（一）策略原理 ............................................................................................................16
（二）实证分析 ............................................................................................................17
（三）参数敏感性分析 .................................................................................................20
（四）策略对照分析.....................................................................................................21
四、总结与讨论....................................................................................................................22