주식투자 전략을 위한 지식기반의 의사결정 지원 시스템 = Knowledged-Base Decision Making Support System for Stock Trading Strategies

다국어 초록 (Multilingual Abstract)

Technical indicators are normally used to monitor the stock prices and assist investors to set up trading rules to make the buy-sell-hold decision. The rules can predict to certain extent buy not always the price movement of stocks. The accuracy of the rules is dependent on the time and the best trading rule is determinant by the accuracy. Certain combination of trading rules will generate more reliable buy-sell-hold signals for a particular sock in a certain period of time.
In this paper, we propose a knowledge based decision making system for stock trading strategies. The proposed system analyzes the stock historical price and transaction volume using technical indicators and trading rules and advises the investor on making decision on the next-day stock trading(buy-sell-hold). Technical indicators that we are using include MACD, CCI, ROC, Stochastic, VR, OBV, PSY, RSI. Parameter and structure of the technical indicators and trading rules are automatic optimization based on the profit.
Experiments are conducted to evaluate the performance of the system. The data used for analysis are blue-chip items. The analysis period is from January 1, 2003 to December 31, 2003. Risk management is accomplished by Stop Loss. The results indicate that the system can get more returns than buy and hold strategies.

목차 (Table of Contents)

• 목차
• 1. 서론 = 1
• 1.1 연구 배경 = 1
• 1.2 연구 내용 = 2
• 2. 지식기반 의사결정지원시스템 및 시스템트레이딩 = 6
• 2.1 지식기반의 의사결정지원 시스템 = 6
• 2.2 시스템트레이딩 = 13
• 3. 기술적 분석 이론 = 16
• 3.1 기술적 분석 이론 개요 = 16
• 3.2 기술적 분석 지표 = 18
• 4. 주식투자 전략을 위한 지식기반의 의사결정지원시스템 개발 = 24
• 4.1 시스템 개요 = 24
• 4.2 지식기반의 의사결정지원시스템 = 32
• 5. 시뮬레이션 및 실험결과 = 35
• 5.1 매매전략의 변수 최적화 결과 = 35
• 5.2 규칙 결합의 최적화 결과 = 40
• 5.3 위험관리 및 자금관리 적용시의 결과 = 43
• 6. 결론 = 48
• Appendix - 기술적 분석 = 50
• 참고문헌 = 60
• Abstract = 63