運用決策樹於股市投資之研究－以台灣50為例

A Study of Applying Decision Tree in Stock Trading - Using Taiwan 50 Index as an Example

陳信淳(Hsin-Chun Chen)

指導教授 ： 周清江

淡江大學/商管學院/資訊管理學系碩士班/碩士(2019年)

https://doi.org/10.6846/TKU.2019.00141

摘要

在收入越來越跟不上物價上漲的近代，投資金融商品以獲取豐厚報酬一直被重視，從許多金融商品中，選擇投資股票的投資人不斷增加。一般而言股票的獲利模式可分為以下兩種：
1. 低價買進高價賣出賺取差額報酬的策略
2. 以及長遠投資賺取股利的買進持有策略
　　本研究將探討如何運用技術指標之組合來賺取差額報酬獲利模式。股市投資人最大的決策難題在於決定何時買進與何時賣出，本研究將提出一個易於操作之決策方法，在過去股市投資相關研究中已有許多運用技術指標之分析，但是大部分相關研究僅以技術指標作為參考屬性，鮮少加入成交量與價格之變動。本研究探討如何檢視前一年交易資料，搭配量價關係、KD隨機、RSI相對強弱以及SMA簡單移動平均法4種技術指標之組合建立決策樹決定交易日盤後應買進、賣出或不操作。下一年的交易資料再依此決策樹進行每日交易決策並計算年度投資報酬率，最後我們會與買進持有策略的投資報酬率作為比較。研究結果顯示使用本研究操作策略，針對台灣50這檔基金從2008年至2017年之投資報酬率，比買進持有策略具有穩定獲利的優點。並在十年交易資料的結果中可以看出，本研究操作策略之投資報酬率勝過買進持有策略。

關鍵字

技術分析 ； 資料探勘 ； 決策樹 ； 量價關係 ； 股市投資

並列摘要

In modern times, people’s income is increasingly unable to keep up with rising prices. Investing in financial products to receive monetary profits has always been valued by ordinary investors. From many financial commodities, the number of investors choosing to invest in stocks has been increasing. In fact, stocks have the following two.
1. Buying at low prices and sell at high prices to earn a return on investment strategy.
2. Long-term investment to earn a return on investment buy-and-hold strategy.
This study will explore how to use a combination of technical indicators to earn a return on investment profit model. The biggest decision-making difficulty for stock investors is to decide when to buy and when to sell. This study will present an easy to use decision making method for investors. In the past, many analyses need technical indicators in the relevant research of stock investment. However, technical indicators are used merely as reference attributes in most relevant studies. Few people use volume and price fluctuation.

This study explores how to use transaction data from the previous year, combination of volume and price fluctuation, KD stochastic oscillator index, RSI relative strength index and SMA simple moving average method index. Whether to buy, sell or no operations after daily trading have to build a decision about the next year’s daily trading data will then applied on this decision tree. We will calculate the annual return on investment based on this strategy. Finally, we will compare its return on investment with that of the buy-and-hold strategy. For the Taiwan 50 found from 2008 to 2017. The trading strategy of this study has more stable profitability over the buy-and-hold strategy. And investment return rate of our strategy is better than that of the buy-and-hold strategy.

並列關鍵字

Technical Analysis ； Data Mining ； Decision Tree ； Relationship Of Trading Volume and Price ； Stock investment

參考文獻

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