臺灣博碩士論文加值系統

現今有許多針對量化投資策略是否能在市場上獲得超額報酬的研究。本研究採用型態辨識的方式建構交易策略，基於過去歷史會在未來重演的假設之下，在樣本期內將全股票市場上市櫃下市櫃公司的趨勢型態進行分類以及統計分析，接著選出表現好的型態進行交易。
此外本研究在使用型態辨識的同時搭配了機器學習模型---隨機森林，利用技術指標以及趨勢型態本身的特徵作為特徵變數輸入，預測趨勢型態未來是否會有正報酬，輔助進場判斷，利用型態辨識與機器學習的結合，觀察是否能夠提升投資績效。實證結果顯示，搭配隨機森林模型後能夠有效的優化交易策略，提升投資績效。

Recent quantitative investment studies have provoked an interest in whether the strategy can obtain excess returns in the stock market, and the purpose of this paper is to test the predictability and profitability of pattern recognition. Under the assumption that history repeats itself, this paper constructs the price pattern trading strategy based on the statistics determinants and trend classification of both listed and unlisted companies. Besides, random forest model of machine learning algorithm, which uses technical indicators and trend’s characteristics as the characteristic variable, is applied to this strategy to supplement for entry determination and to see whether the trading performance can be improved. Empirically, the trading performance is effectively enhanced after random forest model is applied.

論文審定書 i
誌謝詞 ii
摘 要 iii
Abstract iv
第一章 緒論 1
1.1 研究背景與動機 1
1.2 研究目的 2
1.3 研究流程 3
第二章 文獻探討 5
2.1 技術分析 5
2.2 隨機森林 6
第三章 研究方法 8
3.1 樣本建立及蒐集 8
3.2 趨勢型態分類準則 8
3.3 基因編碼 14
3.4 交易策略 14
3.5 特徵變數 17
3.6 回測方法 22
第四章 實證結果 25
4.1 績效回測 25
4.2 各策略比較 32
第五章 結論與建議 36
5.1 結論 36
5.2 後續研究建議 36
5.3 後續 37
參考文獻 39

一、中文文獻
洪梓語，趨勢交易策略在台灣股票市場之應用，國立中山大學財務管理學系碩士論 文，民國一百零六年。
張雅婷，股價型態辨識法在凱利法則之運用，國立中山大學財務管理學系碩士論 文，民國一百零五年。
二、英文文獻
Kamijo, K., & Tanigawa, T. (1990). Stock price pattern recognition-a recurrent neural network approach. Paper presented at the Neural Networks, 1990., 1990 IJCNN International Joint Conference on.
Masteika, S., & Rutkauskas, A. V. (2012). Research on futures trend trading strategy based on short term chart pattern. Journal of Business Economics and Management, 13(5), 915-930.
Pruitt, S. W., & White, R. E. (1988). “The CRISMA trading system: Who says technical analysis can''t beat the market?”. The journal of portfolio management, 14(3), 55-58.
Ratner, M., & Leal, R. P. (1999). “Tests of technical trading strategies in the emerging equity markets of Latin America and Asia”. Journal of Banking & Finance, 23(12), 1887-1905.
Wang, J. L., & Chan, S. H. (2007). “Stock market trading rule discovery using pattern recognition and technical analysis”. Expert Systems with Applications, 33(2), 304-315.