Development of a Stock Trading System Using M & W Wave Patterns and Genetic Algorithms (M&W 파동 패턴과 유전자 알고리즘을 이용한 주식 매매 시스템 개발)
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- Journal of Intelligence and Information Systems
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- v.25 no.1
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- pp.63-83
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- 2019
Investors prefer to look for trading points based on the graph shown in the chart rather than complex analysis, such as corporate intrinsic value analysis and technical auxiliary index analysis. However, the pattern analysis technique is difficult and computerized less than the needs of users. In recent years, there have been many cases of studying stock price patterns using various machine learning techniques including neural networks in the field of artificial intelligence(AI). In particular, the development of IT technology has made it easier to analyze a huge number of chart data to find patterns that can predict stock prices. Although short-term forecasting power of prices has increased in terms of performance so far, long-term forecasting power is limited and is used in short-term trading rather than long-term investment. Other studies have focused on mechanically and accurately identifying patterns that were not recognized by past technology, but it can be vulnerable in practical areas because it is a separate matter whether the patterns found are suitable for trading. When they find a meaningful pattern, they find a point that matches the pattern. They then measure their performance after n days, assuming that they have bought at that point in time. Since this approach is to calculate virtual revenues, there can be many disparities with reality. The existing research method tries to find a pattern with stock price prediction power, but this study proposes to define the patterns first and to trade when the pattern with high success probability appears. The M & W wave pattern published by Merrill(1980) is simple because we can distinguish it by five turning points. Despite the report that some patterns have price predictability, there were no performance reports used in the actual market. The simplicity of a pattern consisting of five turning points has the advantage of reducing the cost of increasing pattern recognition accuracy. In this study, 16 patterns of up conversion and 16 patterns of down conversion are reclassified into ten groups so that they can be easily implemented by the system. Only one pattern with high success rate per group is selected for trading. Patterns that had a high probability of success in the past are likely to succeed in the future. So we trade when such a pattern occurs. It is a real situation because it is measured assuming that both the buy and sell have been executed. We tested three ways to calculate the turning point. The first method, the minimum change rate zig-zag method, removes price movements below a certain percentage and calculates the vertex. In the second method, high-low line zig-zag, the high price that meets the n-day high price line is calculated at the peak price, and the low price that meets the n-day low price line is calculated at the valley price. In the third method, the swing wave method, the high price in the center higher than n high prices on the left and right is calculated as the peak price. If the central low price is lower than the n low price on the left and right, it is calculated as valley price. The swing wave method was superior to the other methods in the test results. It is interpreted that the transaction after checking the completion of the pattern is more effective than the transaction in the unfinished state of the pattern. Genetic algorithms(GA) were the most suitable solution, although it was virtually impossible to find patterns with high success rates because the number of cases was too large in this simulation. We also performed the simulation using the Walk-forward Analysis(WFA) method, which tests the test section and the application section separately. So we were able to respond appropriately to market changes. In this study, we optimize the stock portfolio because there is a risk of over-optimized if we implement the variable optimality for each individual stock. Therefore, we selected the number of constituent stocks as 20 to increase the effect of diversified investment while avoiding optimization. We tested the KOSPI market by dividing it into six categories. In the results, the portfolio of small cap stock was the most successful and the high vol stock portfolio was the second best. This shows that patterns need to have some price volatility in order for patterns to be shaped, but volatility is not the best.
This paper describes the measured results of sonobuoy transmitting antenna system for anti-submarine warfare (ASW). Since radiation pattern and power density depend on impedance matching between transmitting RF part and antenna with termination resistance, design of matching circuit is very important for sonobuoy system performance. Matching circuit is designed by Smith chart using control of L and C. In standing wave ratio(SWR) measurement using Network Analyzer, SWR of antenna with matching circuit observed 1.5 below at the assigned VHF band. It shows very excellent performance comparison with conversional product that is used for the same object. The measured vertical and horizontal radiation patterns are also shown the satisfaction of military specifications. A drop out of sonobuoy system on the sea is happened when angle of elevation direction is over 10 degrees, and it is conformed that it takes less than I second return to original signal level. The required electric power density is
We report experimental results on 940-nm 350-mW AlGaAs/InGaAs transverse single-mode laser diodes (LDs) adopting graded-index separate confinement heterostructures (GRIN-SCH) and p,n-clad asymmetric structures, with improved temperature and small-divergence beam characteristics under high-output-power operation, for a three-dimensional (3D) motion-recognition sensor. The GRIN-SCH design provides good carrier confinement and prevents current leakage by adding a grading layer between cladding and waveguide layers. The asymmetric design, which differs in refractive-index distribution of p-n cladding layers, reduces the divergence angle at high-power operation and widens the transverse mode distribution to decrease the power density around emission facets. At an optical power of 350 mW under continuous-wave (CW) operation, Gaussian narrow far-field patterns (FFP) are measured with the full width at half maximum vertical divergence angle to be 18 degrees. A threshold current (Ith) of 65 mA, slope efficiency (SE) of 0.98 mW/mA, and operating current (Iop) of 400 mA are obtained at room temperature. Also, we could achieve catastrophic optical damage (COD) of 850 mW and long-term reliability of 60℃ with a TO-56 package.
In this study, a novel method for sweeping automatic linearization of wavelength swept laser is proposed. Through the test performed on the implemented laser, the linear sweeping is held up well with a 97% decrease in nonlinearity, and 60 nm sweeping range, 1 kHz sweeping frequency, and 8.8 mW average optical power were obtained. The proposed method uses fiber Bragg grating array, optical-electronic conversion circuit, FPGA embedded module, and a LabVIEW program to generate new compensated wave patterns which were applied to the fiber Fabry-Perot tunable filter. Linear sweeping can reduce the cumbersome and time-consuming recalibration process required for nonlinear sweeping. Additionally, the proposed method provides more accurate measurement results for the structure safety monitoring system.
This paper describes an electronic compass using micromachined X- and Y-axis micro fluxgate sensors which were perpendicularly aligned each other to measure X- and Y-axis magnetic fields respectively. The fluxgate sensor was composed of rectangular-ring shaped magnetic core and solenoid excitation(49 turns) and pick-up(46 turns) coils. Excitation and pick-up coil patterns which were formed opposite to each other wound the magnetic core alternatively to improve the sensitivity and to excite the magnetic core in an optimal condition with reduced excitation current. The magnetic core has DC effective permeability of ~1000 and coercive field of ~0.1 Oe. The magnetic core is easily saturated due to the low coercive field and closed magnetic path for the excitation field. To decrease the difference of induced second harmonic voltages from X- and Y-axis, excitation condition of 2.8
In this study, the deposition of micrometer-scale metallic interconnects on LCD glass for the repair of open-circuit type defects is investigated. Although there had been a few studies Since 1980 s for the deposition of metallic interconnects by laser-induced chemical vapor deposition, those studies mostly used continuous wave lasers. In this work, a third harmonic Nd:YLF laser (351nm) of high repetition rates, up to 10 KHz, was used as the illumination source and
This paper presents the results for deposition of micrometer-scale metal lines on glass for the development of TFT-LCD circuit repair-system. Although there had been a few studies in the late 1980's for the deposition of metallic interconnects by laser-induced chemical vapor deposition, those studies mostly used continuous wave lasers. In this work, a third harmonic Nd:YLF laser (351nm) of high repetition rates, up to 10 KHz, was used as the illumination source and W(CO)s was selected as the precursor. General characteristics of the metal deposit (tungsten) such as height, width, morphology as well as electrical properties were examined for various process conditions. Height of the deposited tungsten lines ranged from 35 to 500 m depending on laser power and scan speed while the width was controlled between 50um using a slit placed in the beam path. The resistivity of the deposited tungsten lines was measured to be below
The wall shear stress in the vicinity of end-to end anastomoses under steady flow conditions was measured using a flush-mounted hot-film anemometer(FMHFA) probe. The experimental measurements were in good agreement with numerical results except in flow with low Reynolds numbers. The wall shear stress increased proximal to the anastomosis in flow from the Penrose tubing (simulating an artery) to the PTFE: graft. In flow from the PTFE graft to the Penrose tubing, low wall shear stress was observed distal to the anastomosis. Abnormal distributions of wall shear stress in the vicinity of the anastomosis, resulting from the compliance mismatch between the graft and the host artery, might be an important factor of ANFH formation and the graft failure. The present study suggests a correlation between regions of the low wall shear stress and the development of anastomotic neointimal fibrous hyperplasia(ANPH) in end-to-end anastomoses. 30523 T00401030523 ^x Air pressure decay(APD) rate and ultrafiltration rate(UFR) tests were performed on new and saline rinsed dialyzers as well as those roused in patients several times. C-DAK 4000 (Cordis Dow) and CF IS-11 (Baxter Travenol) reused dialyzers obtained from the dialysis clinic were used in the present study. The new dialyzers exhibited a relatively flat APD, whereas saline rinsed and reused dialyzers showed considerable amount of decay. C-DAH dialyzers had a larger APD(11.70
The wall shear stress in the vicinity of end-to end anastomoses under steady flow conditions was measured using a flush-mounted hot-film anemometer(FMHFA) probe. The experimental measurements were in good agreement with numerical results except in flow with low Reynolds numbers. The wall shear stress increased proximal to the anastomosis in flow from the Penrose tubing (simulating an artery) to the PTFE: graft. In flow from the PTFE graft to the Penrose tubing, low wall shear stress was observed distal to the anastomosis. Abnormal distributions of wall shear stress in the vicinity of the anastomosis, resulting from the compliance mismatch between the graft and the host artery, might be an important factor of ANFH formation and the graft failure. The present study suggests a correlation between regions of the low wall shear stress and the development of anastomotic neointimal fibrous hyperplasia(ANPH) in end-to-end anastomoses. 30523 T00401030523 ^x Air pressure decay(APD) rate and ultrafiltration rate(UFR) tests were performed on new and saline rinsed dialyzers as well as those roused in patients several times. C-DAK 4000 (Cordis Dow) and CF IS-11 (Baxter Travenol) reused dialyzers obtained from the dialysis clinic were used in the present study. The new dialyzers exhibited a relatively flat APD, whereas saline rinsed and reused dialyzers showed considerable amount of decay. C-DAH dialyzers had a larger APD(11.70