Trading Timing Strategy Evaluation on Stock Market Using Genetic Algorithm
管理學院 - 資訊管理系
Department of Information Management
|Thesis Publication Year:||2007|
|Graduation Academic Year:||95|
|Keywords (in Chinese):||基因演算法 、技術分析 、股票市場|
|Keywords (in other languages):||Keywords：Genetic Algorithm, Technical Analysis, Stock Market|
|Reference times:||Clicks: 39 Downloads: 0|
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根據實驗發現除了Wal-Mart外的報酬率結果幾乎都能顯著的擊敗買入持有策略(buy and hold)。此外使用多口交易(multiple transaction trading)策略比單口交易(single transaction trading) 策略風險低；使用買賣訊號相抵(signal collision cancellation)策略的平均報酬優於買賣訊號不相抵(signal collision recognition)策略。另一方面我們還測試不同時間長度訓練期，並推論出當訓練期長度訂為一年與一個月時的結果最為穩健。最後實驗在有考慮交易成本的情形下統計出平均勝過買入持有策略大約17%和62%之間，因此我們能相信本研究提出一個好的方法去預測股票交易。
Because of the high return rate, stock is always one of the popular investment targets. Considering the high level of risk based on high return rate, investors need more information and investment strategies to make a decision when trading stock.
Technical analysis is an important tool which depends on the past stock price, volume data and different charts to predict the fluctuation of stock market. In order to confirm the effectiveness of technical indexes, we select some technical rules to predict the trend on stock market.
In our research, we utilize genetic algorithm to decide the combination of technical rules and their weights. Then we proposed a trading system, which can choose different trading strategies to simulate the stock that investors buy or sell. IBM, Intel and Wal-Mart are investment targets within Dow Jones Industrial Index and the testing period is between 2001 and 2004.
As the result, we found that in spite of the results of Wal-Mart our experiments can always beat the buy and hold benchmark method. In addition, using multiple transaction trading mechanism had a lower risk than single transaction trading mechanism and signal collision cancellation mechanism has better return than signal collision recognition mechanism. We also tested the different lengths of learning period and deduced the robust result when setting the length as one year and one month. Finally, our results after concerning transaction cost still exceeds the return rate of buy and hold method between 17% and 62%. Hence it is believed that our research provided a good strategy method in stock trading.
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