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| Title: | 利用股票市場圖形與機器學習配置最佳投資組合
Stock Chart Pattern with Machine Learning to Construct the Optimal Portfolio |
| Authors: | 何聿涵
He, Yu-Han |
| Contributors: | 黃泓智
Huang, Hong-Chih
何聿涵
He, Yu-Han |
| Keywords: | 機器學習
自動編碼器
XGBoost
股票圖形
Machine Learning
AutoEncoder
stock chart pattern
XGBoost |
| Date: | 2020 |
| Issue Date: | 2020-09-02 11:51:21 (UTC+8) |
| Abstract: | 近年隨著電腦技術及硬體設備的進步，人工智慧廣泛應用於各領域當中，因此本研究將利用其中圖形辨識之技術，搭配機器學習，期望創造高於台灣加權指數之報酬。
本研究利用股票市場最常見之蠟燭圖與成交量圖作為資料庫資料，並對圖形進行兩階段之壓縮降維，分別為自動編碼器及主成分分析，成功萃取共500個資料特徵。將降維後的資料輸入進XGBoost模型中，預測未來20天股票股價，並利用交叉驗證以防止模型過度擬合，最終選取10檔股票作為投資組合。
最後本文透過實證分析，分別對疫情發生前後做回測，回測期間為2012年至2019年底與2012年至2020年5月底。在疫情前，回測結果年化報酬率為25.2%，年化夏普比率為1.44；涵蓋疫情後，雖最大回撤率變動劇烈，但年化報酬率仍有20.6%及年化夏普比率1.17不錯之報酬，兩段期間皆優於台灣加權指數。
In recent years, with the advancement of computer technology and hardware equipment, artificial intelligence is widely used in various fields. Therefore, this study will use the technology of pattern recognition and machine learning to create a reward higher than the Taiwan Capitalization Weighted Stock Index(TAIEX).
This study uses the most common candle charts and volume charts in the stock market as database data, and performs two-stage compression and dimensionality reduction on the stock chart pattern, which are AutoEncoder and principal component analysis, and successfully reduce total of 500 data features.
Input the data after dimensionality reduction into the XGBoost model, predict the stock price in the next 20 days, and use cross-validation to prevent the model from overfitting, and finally select 10 stocks as the investment portfolio to construct the optimal portfolio.
Finally, this study evaluates the investment portfolio through empirical analysis. The backtesting period is from 2012 to the end of 2019 and 2012 to the end of May 2020. Before COVID-19, the investment portfolio deliver an annual return rate was 25.2% and the annualized Sharpe ratio was 1.44. After the epidemic was covered, although the maximum drawdown rate changed drastically, the annualized return rate was still 20.6% and the annualized Sharpe ratio was 1.17. Both of periods are better than TAIEX. |
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陳暐文, 2019, 利用深度學習圖形辨識技術建置最適投資策略-以台灣股票市場為例. |
| Description: | 碩士
國立政治大學
風險管理與保險學系
107358028 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0107358028 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202001231 |
| Appears in Collections: | [風險管理與保險學系] 學位論文
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