政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/100267
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113648/144635 (79%)
Visitors : 51598692      Online Users : 832
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/100267


    Title: 遺傳演算法建構台灣股市期貨買賣決策規則之研究
    Other Titles: Building Taiwan Stock Futures Market Trading Rule Using Genetic Algorithms
    Authors: 連立川;葉怡成;江宗原;楊豐銘
    Lien, Li-Chuan;Yeh, I-Cheng;Yuan, Chiang-Thuang;Yang, Feng-Ming
    Keywords: 技術指標;遺傳演算法;買賣決策規則
    technical index;genetic algorithms;trading rule
    Date: 2006-03
    Issue Date: 2016-08-16 15:41:35 (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台灣股市交易策略。
    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 findings 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.
    Relation: 資管評論, 14, 47-61
    MIS review
    Data Type: article
    Appears in Collections:[MIS review: an international journal] Journal Articles

    Files in This Item:

    File Description SizeFormat
    14-47-61.pdf1125KbAdobe PDF2475View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback