基因表達規劃法與遺傳演算法調控箱型理論為基礎的交易策略設計之研究

Design of Trading Strategy Based on Gene Expression Programming and Genetic Algorithms Regulated Box Theory

10.29428/9789860544169.201801.0102

林文修；蔡耀誼

箱型理論 ； 遺傳演算法 ； 基因表達規劃演算法 ； Box Theory ； Technical indicators ； Genetic Algorithms ； Gene Expression Programming

NCS 2017 全國計算機會議

2017（2018 / 01 / 01）

538 - 544

繁體中文

本研究主要目標是應用遺傳演算法（Genetic Algorithms, GA）搜尋箱型理論（Box Theory）的最適箱頂與箱底，據以發展一套有用的股票程式交易系統；二是利用基因表達規劃法（Gene Expression Programming, GEP）分析與適應能力發展交易策略，找出最適交易策略，檢驗與分析其投資效果。期望本研究提出的兩個研究模型，能建立一套兼顧投資收益與風險的交易系統，其實驗成果能提供投資人實際交易應用。實驗結果發現箱型理論對於波動小的股票是比較不適合，而且股票市場不存在固定的最適箱型，但是具有隨著趨勢調整的最適變動箱型；當股市漲跌幅大時，則最適箱型變大，反之則變小。其次，發現GEP創新設計的最適交易策略可在趨勢盤時表現優異，亦即在大漲期間穩定獲利，而在大跌時可以減少損失。總之，GEP系統的投資風險效益在訓練期與測試期表現最好，在學術與實務上具有良好價值。

The mainly goal of the research is searching for the best top and bottom of box applying Genetic Algorithms (GA), developing an useful stock exchanging strategy system, along with Gene Expression Programming (GEP), to evaluate investment profit. Therefore, the research is devided into two parts. First of all, using GA to search the best top and bottom of box from historical data automatically, after that, using these perfect ratio box type to invest future stock market, observing its effectiveness of investment. Secondly, using GEP analysing ability to develop strategy of exchange, adding the perfect ratio box data as stop loss system, examining and analysing its effectiveness of investment. I hope the outcomes of the research could create an exchanging system balanced profit and risk, providing investors to use practically, and contributed in exchanging strategy of research. In experimental conclusion, we found that the box theory isn't appropriate to those low-movement stocks. Besides, there's no perfect box model in stock market, considering perfect flexing box would go with the trend. When the stock market rose drop large, the optimum box becomes large, otherwise small. I found the GEP would gets profit steadily while the stock market goes up dramatically, and reduces loss while it goes down. The effectiveness of invest risk is GEP in the four model we examined. GEP could control risk effectively and safely, obviously.