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題 名 | 遺傳演算法建構臺灣股市期貨買賣決策規則之研究=Building Taiwan Stock Futures Market Trading Rule Using Genetic Algorithms |
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作 者 | 連立川; 葉怡成; 江宗原; 楊豐銘; | 書刊名 | 資管評論 |
卷 期 | 14 民95.03 |
頁 次 | 頁47-61 |
分類號 | 563.54 |
關鍵詞 | 技術指標; 遺傳演算法; 買賣決策規則; Technical index; Genetic algorithms; Trading rule; |
語 文 | 中文(Chinese) |
中文摘要 | 本研究採用臺灣大盤股價指數及成交值所轉換的18種價量技術指標做為輸入參數,以期末資金最大化做為適應度函數,應用遺傳演算法(Genetic Algorithms)的最佳化能力建構臺灣大盤加權指數的買賣決策規則。研究結果顯示,本研究所比較之三種交易策略:雙向GA買賣決策策略、單一雙向GA買賣決策策略及買入持有策略,在測試範例期間的平均年獲利率分別是10.72%、6.30%與-7.2%以及平均相對獲利係數分別是1.19、1.15與1.00。另外由雙向GA買賣決策策略及單一雙向GA買賣決策策略的風險評估得知,其最小年獲利率分別為2.96%與-16.90%及最小總成功率分別為46.70%與26.40%。因此,在雙向獲利的條件下所產生的雙向GA買賣決策規則是一個穩定且有效的臺灣股市交易策略。 |
英文摘要 | This research used 18 kinds of price and volume technical indices transferred from the Taiwan stock price index as the input parameters, the maximization of the final capital as the fitness function, the genetic algorithms as the optimization tool to construct the trading rules for the Taiwan stock price index. The finidings showed that the three kinds of trading strategies, the bidirectional GA strategy, the sole bidirectional GA strategy, and the buy and hold strategy, in test period produced the average year profit rate respectively with 10.72%, 6.30% and -7.2%, as well as the relative profit coefficient respectively with 1.19, 1.15 and 1.00. Moreover, compared the risk assessment of the bidirectional GA strategy and the sole bidirectional GA strategy, the smallest year profit rate respectively is 2.96% and -16.90%, and the smallest total success ratio respectively is 46.70% and 26.40%. Therefore, the bidirectional GA strategy is a not only effective but also stable Taiwan stock market trading strategy. |
本系統中英文摘要資訊取自各篇刊載內容。