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系統識別號 U0002-2402201919490400
中文論文名稱 仿生自動化K線圖閱讀系統
英文論文名稱 Let machine read candlestick charts like human beings
校院名稱 淡江大學
系所名稱(中) 資訊工程學系全英語碩士班
系所名稱(英) Master’s Program, Department of Computer Science and Information Engineering (English-taught program
學年度 107
學期 1
出版年 108
研究生中文姓名 郭修志
研究生英文姓名 Siou-Jhih Guo
學號 606780012
學位類別 碩士
語文別 英文
口試日期 2018-12-28
論文頁數 52頁
口試委員 指導教授-洪智傑
委員-彭文智
委員-林莊傑
中文關鍵字 深度學習  量化交易  K線圖 
英文關鍵字 Deep Learning  Quantitative Trading  Candlestick Chart 
學科別分類 學科別應用科學資訊工程
中文摘要 自18世紀以來,K線圖長期被視為市場分析中俱要重要地位的輔助工具。K線圖原理為將歷史價格圖切分為大小不同的區間,對每一區間判讀其樣式,再將每一種樣式對於未來趨勢的影響組合為最終決策。相較於其他方法,K線圖成功之處在於,其能夠解析更大量歷史資訊,自中抽取對於未來趨勢至關重要的部分,同時亦具有極高精準度。本研究透過近年異軍突起的深度學習中,大量研究者採用的深度卷積網路,建構能夠閱讀K線圖並預測未來價格趨勢的自動化決策系統。設計原理仿自人類交易員閱讀K線圖時之過程--集合由各小區間圖形樣式對漲跌之影響,產出最終對價格趨勢的預測。系統由三大元件構築而成:將大區間價格資訊拆分為小區間的區間拆分器;將小區間圖形轉化為低維度、並自中抽取圖形特徵的Autoencoder;以及自各小區間的特徵中,判讀出最終價格趨勢的RNN。此系統以台灣期貨交易所上的6檔交易標的,TX、MTX、TE、TF、XIF、GTF進行訓練及測試,並與利用傳統指標如:SMA、K/D線等的既有方法進行比較,本研究之系統可得到更高的精確度,證實本研究之有效性與可行性。
英文摘要 Candlestick charts have been very important tool for human traders while making trading decisions since 18th century. Inspired from people reading candlestick charts for decision making, this paper proposed a deep network framework, Deep Candlestick Predictor (DCP), to forecast the price movements by reading the candlestick charts rather than the numerical data from financial reports. DCP contains a chart decomposer which can decomposes given candlestick chart into several sub-charts, an CNN-Autoencoder which can derive the best representation for sub-charts, and a RNN which can forecast the price movements of the k+1-th day. Extensive experiments are conducted by daily prices from real dataset of 6 future merchandises of stock indices in Taiwan Future Exchange, which totally have 21,819 trading days. The experimental results show that the proposed framework DCP could achieve higher accuracy than the traditional index-based model, which shows the effectiveness of the concept of designing a deep network to read candlestick charts like human beings.
論文目次 Table of Content

Abstract I
List of Content IV
List of Figure VI
List of Table VII
List of Formula VIII
Chapter 1 Introduction 1
Chapter 2 Related Works 6
2.1 Candlestick Charts Analysis 6
2.2 Time Series Forecasting 9
2.2.1 RNN 9
2.2.2 GRU 11
2.2.3 CNN 13
2.3 CNN-Autoencoder 15
Chapter 3 Problem Formulation 17
Chapter 4 DCP 19
4.1 Chart Decomposer 19
4.2 CAE 21
4.3 RNN 23
Chapter 5 Experiment Result 25
5.1 Settings and Dataset 25
5.1.1 Dataset 25
5.1.2 Experiment Workflow 30
5.2 Feature-Efficiency 31
5.2.1 IEM 31
5.2.2 Performance Evaluation 33
5.3 Model-Efficiency 37
5.3.1 1-D CNN 38
5.3.2 2-D CNN 40
5.3.3 Performance Evaluation 42
Chapter 6 Conclusion 44
References 47

List of Figure

Figure 1 : 20-days candlestick chart 2
Figure 2 : candlesticks 2
Figure 3 : Method summary 4
Figure 4 : Architecture of RNN 10
Figure 5 : General representation of RNN 10
Figure 6 : Calculation overview of GRU 13
Figure 7 : CNN overview 14
Figure 8: Workflow of CAE 16
Figure 9 : An illustrative example of a 3-day sub-chart 20
Figure 10 : CAE overview 22
Figure 11 : RNN overview 24
Figure 12 : IEM overview 33
Figure 13 : 1-D CNN overview 38
Figure 14 : 1-D tensor 38
Figure 15 : 1-D CNN model 39
Figure 16 : 2-D CNN overview 40
Figure 17 : Original sub-chart 40
Figure 18 : Concatenated sub-charts for 2-D CNN 40
Figure 19 : 2-D CNN Model 41

List of Table

Table 1 : Comparison between different method 8
Table 2 : Future merchandises 28
Table 3 : Distribution of trend on each year 29
Table 4 : Nested-CV results of 10 best-performing model of DCP 34
Table 5 : Nested-CV results of 3 different classifier of IEM 34
Table 6: Scores of DCP (Experiment 10) and IEM(SVM) which is tested on TX merchandise in 2016 34
Table 7 : Detail of Nested-CV on each year on DCP(Experiment 10) and IEM(SVM) 35
Table 8 : Detail of Nested-CV of best 10 model of DCP 36
Table 9 : Number of data and accumulative total number of data 37
Table 10 : Nested-CV results of 10 best-performing model of 1-D CNN 43
Table 11 : Nested-CV results of 10 best-performing model of 2-D CNN 43
Table 12 : Performance comparison of best models of RNN, 1-D CNN and 2-D CNN 43

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