遺傳演算法建構台灣股市期貨買賣決策規則之研究

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Title:	遺傳演算法建構台灣股市期貨買賣決策規則之研究
Authors:	葉怡成 Yeh, I-Cheng
Contributors:	資訊管理學系 Information Management
Keywords:	技術指標;遺傳演算法;買賣決策規則 technical;algorithms;trading rule
Date:	2006
Issue Date:	2014-06-27 01:46:50 (UTC+8)
Abstract:	本研究採用台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)的最佳化能力建構台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 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 cons
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