Title page for etd-0912112-113643


[Back to Results | New Search]

URN etd-0912112-113643
Author Chang-Hao Huang
Author's Email Address No Public.
Statistics This thesis had been viewed 5350 times. Download 561 times.
Department Computer Science and Engineering
Year 2012
Semester 1
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title Trading Strategy Mining with Gene Expression Programming
Date of Defense 2012-09-07
Page Count 55
Keyword
  • Taiwan Stock Exchange Capitalization Weighted Stock Index
  • simple majority vote
  • feature set
  • strategy pool
  • gene expression programming
  • Abstract In the thesis, we apply the gene expression programming (GEP) to training profitable trading strategies. We propose a model which utilizes several historical periods that are highly related to the current template period, and the best trading strategies of the historical periods generate the trading signals. To keep stability of our model, we proposed the trading decision mechanism based on simple majority vote in our model. The Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) is selected as our investment target and the trading period starts from 2000/9/14 to 2012/1/17, approximately twelve years. In our experiments, the lengths of our training period are 60, 90, 120, 180, and 270 trading days, respectively. We observe that the model with higher voting threshold usually can make profitable trading decisions. The best cumulative return 236.25\% and the best annualized cumulative return 10.63\% occur when the 180-day training models pairs with available threshold 0.21 and voting threshold 0.88, which are higher than the cumulative return 0.96\% and annualized cumulative return 0.08\% of the buy-and-hold strategy.
    Advisory Committee
  • Chia-Ping Chen - chair
  • Hsing-Yen Ann - co-chair
  • Kuo-Si Huang - co-chair
  • Chang-Biau Yang - advisor
  • Files
  • etd-0912112-113643.pdf
  • Indicate in-campus at 0 year and off-campus access at 1 year.
    Date of Submission 2012-09-12

    [Back to Results | New Search]


    Browse | Search All Available ETDs

    If you have more questions or technical problems, please contact eThesys