Design and Verification of Automated Platform for Analyzing the Suitability of Strategies and Portfolio via Distributed Operations
| Autor: | Hao-Yuan Zheng, 鄭皓元 |
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| Rok vydání: | 2018 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 106 The purpose of this research is to analyze the suitability of portfolio in different sub-strategies through Distributed System. And build an automation platform in Python to improve the efficiency of portfolio analysis. In this study, we use Bollinger Bands as the main trading strategy, six indicator filters as sub-strategies. Then using classification parameters to present sub-strategies. So the sub-strategies can work as filter conditions to modify the main strategy under different combinations when we optimize the strategy. However, the number of stocks in Taiwan is 1,690, it will take lots of time to analysis all symbol. So this research combines Data Mining and Distributed System to integrate multiple computers for analysis in order to accelerate the overall computing process. It also uses the method of region growing which can find the plateau in profit report to analyze the penetrability of the strategy in portfolio. After that, we can get a stable strategy and its parameters, so as to avoid the overfitting of the optimization. Finally, the results will be presented by the charts of the data visualization. This will allow users to quickly analyze the suitability of portfolio in different sub-strategy through this platform. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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