• The Journal of Asian Finance, Economics and Business
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• v.7 no.10
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• pp.9-21
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• 2020

The aim of this paper is to predict the Borsa Istanbul (BIST) 30 index movements to determine the most accurate buy and sell decisions using the methods of Artificial Neural Networks (ANN) and Genetic Algorithm (GA). We combined these two methods to obtain a hybrid intelligence method, which we apply. In the financial markets, over 100 technical indicators can be used. However, several of them are preferred by analysts. In this study, we employed nine of these technical indicators. They are moving average convergence divergence (MACD), relative strength index (RSI), commodity channel index (CCI), momentum, directional movement index (DMI), stochastic oscillator, on-balance volume (OBV), average directional movement index (ADX), and simple moving averages (3-day moving average, 5-day moving average, 10-day moving average, 14-day moving average, 20-day moving average, 22-day moving average, 50-day moving average, 100-day moving average, 200-day moving average). In this regard, we combined these two techniques and obtained a hybrid intelligence method. By applying this hybrid model to each of these indicators, we forecast the movements of the Borsa Istanbul (BIST) 30 index. The experimental result indicates that our best proposed hybrid model has a successful forecast rate of 75%, which is higher than the single ANN or GA forecasting models.

• Proceedings of the Korean Information Science Society Conference
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• 2003.10c
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• pp.115-117
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• 2003

ea­RED(Efficient Adaptive RED)[1][2] 라우터 버퍼 관리 알고리즘 성능 향상을 위해서 ea­RED 라우터 버퍼 사이즈 변화를 예측할 수 있는 예측 알고리즘 모듈의 추가 필요성을 느낀다. 그래서 본 논문에서는 ea­RED 라우터 버퍼 관리 알고리즘의 원형인 RED 라우터 버퍼 관리 알고리즘에 AR(AutoRegression Analysis), IIR(Infinite Impulse Response) MACD(Moving Average Convergence & Divergence), LR_Lines(Linear Regression Lines)등의 예측 알고리즘 모듈을 적용하여 변화를 살펴보고. 결과를 비교. 분석하여 ea­RED 라우터 버퍼 관리 알고리즘 성능 향상에 가장 적합한 예측 알고리즘으로 LR_Lines를 선정했다. ea­RED 라우터 버퍼 관리 알고리즘에 적합한 예측 알고리즘 선정을 위해서 RED 라우터 버퍼 관리 알고리즘을 대신 이용한 이유는 ea­RED 라우터 버퍼 관리 알고리즘의 경우 네트워크 상황에 따라, 버퍼 관련 파라미터 값을 수시로 바꾸기 때문에 예측 알고리즘의 정확성을 판단하는데 어려움이 있지만, RED 라우터의 경우는 버퍼 관련 파라미터 값을 변화시키지 않기 때문에, 좀 더 일관성 있고 정확한 분석을 수행할 수 있기 때문이다.

• Journal of Intelligence and Information Systems
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• v.20 no.2
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• pp.59-71
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• 2014

System trading is becoming more popular among Korean traders recently. System traders use automatic order systems based on the system generated buy and sell signals. These signals are generated from the predetermined entry and exit rules that were coded by system traders. Most researches on system trading have focused on designing profitable entry and exit rules using technical indicators. However, market conditions, strategy characteristics, and money management also have influences on the profitability of the system trading. Unexpected price deviations from the predetermined trading rules can incur large losses to system traders. Therefore, most professional traders use strategy portfolios rather than only one strategy. Building a good strategy portfolio is important because trading performance depends on strategy portfolios. Despite of the importance of designing strategy portfolio, rule of thumb methods have been used to select trading strategies. In this study, we propose a SVM-based strategy portfolio management system. SVM were introduced by Vapnik and is known to be effective for data mining area. It can build good portfolios within a very short period of time. Since SVM minimizes structural risks, it is best suitable for the futures trading market in which prices do not move exactly the same as the past. Our system trading strategies include moving-average cross system, MACD cross system, trend-following system, buy dips and sell rallies system, DMI system, Keltner channel system, Bollinger Bands system, and Fibonacci system. These strategies are well known and frequently being used by many professional traders. We program these strategies for generating automated system signals for entry and exit. We propose SVM-based strategies selection system and portfolio construction and order routing system. Strategies selection system is a portfolio training system. It generates training data and makes SVM model using optimal portfolio. We make $m{\times}n$ data matrix by dividing KOSPI 200 index futures data with a same period. Optimal strategy portfolio is derived from analyzing each strategy performance. SVM model is generated based on this data and optimal strategy portfolio. We use 80% of the data for training and the remaining 20% is used for testing the strategy. For training, we select two strategies which show the highest profit in the next day. Selection method 1 selects two strategies and method 2 selects maximum two strategies which show profit more than 0.1 point. We use one-against-all method which has fast processing time. We analyse the daily data of KOSPI 200 index futures contracts from January 1990 to November 2011. Price change rates for 50 days are used as SVM input data. The training period is from January 1990 to March 2007 and the test period is from March 2007 to November 2011. We suggest three benchmark strategies portfolio. BM1 holds two contracts of KOSPI 200 index futures for testing period. BM2 is constructed as two strategies which show the largest cumulative profit during 30 days before testing starts. BM3 has two strategies which show best profits during testing period. Trading cost include brokerage commission cost and slippage cost. The proposed strategy portfolio management system shows profit more than double of the benchmark portfolios. BM1 shows 103.44 point profit, BM2 shows 488.61 point profit, and BM3 shows 502.41 point profit after deducting trading cost. The best benchmark is the portfolio of the two best profit strategies during the test period. The proposed system 1 shows 706.22 point profit and proposed system 2 shows 768.95 point profit after deducting trading cost. The equity curves for the entire period show stable pattern. With higher profit, this suggests a good trading direction for system traders. We can make more stable and more profitable portfolios if we add money management module to the system.