The Design of Trading Strategy Combination Based on Gene Expression Programming - Application of Money Management
| Autor: | CHEN, ZHI-WEI, 陳致瑋 |
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| Rok vydání: | 2017 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 106 This study use the Monte Carlo Simulation risk and Beta values, simulate a new asset price and profit-making investment model, select the best stock; Second, Gene Expression Programming in multi-gene coding and Random Numerical Constants, Innovative design of multiple trading strategy generator. In addition, Fuzzy set resolve the passivation of technical indicators, to enhance the flexibility and usability in the transaction. Finally, build dynamic technical indicators, money management. Construction of GEP systems based money management and risk control intelligence machine trading system. Results showed that:(1)Using the Monte Carlo simulation risk value and Beta value with different fund management strategies, the performance of the investment strategy is more significant.(2) Using a variety of fund management strategies to test the impact of stock selection on the trading performance of the two stock options, Monte Carlo mock-stocks are best managed by the fixed-point method(3)Compared to only setting stop-loss in investment model, using stop-loss and take-profit strategy is not only enhance trading profits, but reduce trading risk. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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