유전자 알고리즘을 이용한 주식투자 수익률 향상에 관한 연구 = A Study to Improve the Return of Stock Investment Using Genetic Algorithm

다국어 초록 (Multilingual Abstract)

This paper deals with the application of the genetic algorithm to the technical trading rule of the stock market. MACD(Moving Average Convergence & Divergence) and the Stochastic techniques are widely used technical trading rules in the financial markets. But, it is necessary to determine the parameters of these trading rules in order to use the trading rules. We use the genetic algorithm to obtain the appropriate values of the parameters.
We use the daily KOSPI data of eight years during January 1995 and October 2002 as the experimental data. We divide the total experimental period into learning period and testing period. The genetic algorithm determines the values of parameters for the trading rules during the learning period and we test the performance of the algorithm during the testing period with the determined parameters. Also, we compare the return of the genetic algorithm with the returns of buy-hold strategy and risk-free asset.
From the experiment, we can see that the genetic algorithm outperforms the other strategies. Thus, we can conclude that genetic algorithm can be used successfully to the technical trading rule.

목차 (Table of Contents)

• Ⅰ. 서론
• Ⅱ. 유전자 알고리즘의 세계
• 2.1 기술적 분석
• 2.2 기술적 분석을 위한 유전자 알고리즘
• Ⅲ. 주식시장에서의 실증 분석
• 3.1 MACD를 위한 유전자 알고리즘
• 3.2 Staochastic 지표의 변수 결정
• 3.3 MACD 및 Stochastic 지표의 성과 분석
• Ⅳ. 결론 및 제언
• 참고문헌
• Abstract