技术指标增强了预测股票交易信号的智能策略

Q1 Economics, Econometrics and Finance Journal of Open Innovation: Technology, Market, and Complexity Pub Date : 2024-10-09 DOI:10.1016/j.joitmc.2024.100398
Arjun Singh Saud , Subarna Shakya
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引用次数: 0

摘要

股票交易中广泛使用技术分析,依靠 MACD、DMI、KST 等常用指标来预测股票走势。尽管这些滞后指标被广泛使用,但偶尔也会产生误导性信号。在文献中,机器学习研究人员使用这些指标作为输入,开发了许多预测股票交易信号的智能策略。然而,技术分析师和机器学习专家在如何应用这些指标方面存在很大差异。基于这些知识,本研究利用 MACD、DMI 和 KST 指标开发了智能股票交易信号预测策略,并利用 LSTM 和 GRU 网络实现了这些策略,因为它们能够管理长期依赖关系并保持上下文。根据 18 只股票(东北证券交易所、上证交易所和纽约证券交易所各六只)的历史交易数据,使用 ARR、SR 和胜率指标对所提出的智能交易策略进行了评估,从而得出了四个重要见解。(1) 在预测股票交易信号方面,基于 MACD 和 DMI 的智能策略的最佳回溯期为 5 天,而基于 KST 的策略的最佳回溯期为 10 天。(2)与使用 LSTM 实现的智能交易策略相比,使用 GRU 网络实现的智能交易策略表现出更优越的性能。(3)基于 MACD、DMI 和 KST 指标的智能交易策略优于同类经典股票交易方法。(4) 在提出的三种智能策略中,基于 MACD 的方法最安全、最有效。
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Technical indicator empowered intelligent strategies to predict stock trading signals
Technical analysis is widely employed in stock trading, relying on popular indicators such as MACD, DMI, KST etc. to predict stock trends. Despite their common use, these lagging indicators can occasionally generate misleading signals. In the literature, machine learning researchers developed many intelligent strategies for predicting stock trading signals using these indicators as inputs. However, significant differences exist in how these indicators are applied by technical analysts and machine learning experts. Building on this knowledge, this study developed intelligent stock trading signal prediction strategies using MACD, DMI, and KST indicators, and implemented these strategies with LSTM and GRU networks due to their ability to manage long-term dependencies and maintain context. The proposed intelligent trading strategies were assessed using ARR, SR, and win rate metrics, based on historical trading data from 18 stocks—six each from NEPSE, BSE, and NYSE—leading to four key insights. (1) For predicting stock trading signals, a 5-day lookback period is optimal for intelligent strategies based on MACD and DMI, while a 10-day period is best for the KST-based strategy. (2) Intelligent trading strategies implemented with GRU networks demonstrated superior performance compared to those implemented with LSTM. (3) The intelligent trading strategies based on MACD, DMI, and KST indicators outperform their peer classical stock trading methods. (4) Among the three proposed intelligent strategies, the MACD-based approach is found to be the safest and most effective.
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来源期刊
Journal of Open Innovation: Technology, Market, and Complexity
Journal of Open Innovation: Technology, Market, and Complexity Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)
CiteScore
11.00
自引率
0.00%
发文量
196
审稿时长
1 day
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