應用決策樹與濾嘴法則於股票投資

Abstract

本研究提出一結合濾嘴法則與決策樹的股票交易方法，首先利用濾嘴法則產生交易資料，再運用決策樹C4.5演算法對這些交易資料進行分類，找出高報酬群體。與之前相關研究比較，本研究在分類時多加考慮了代表未來性資訊的影響。透過對台灣以及NASDAQ市場的實證，顯示出本研究方法確實優於濾嘴法則與相關研究的方法。

This paper presents a stock trading method by combining the filter rule and the decision tree technique. The filter rule, having been widely used by investors, is used to generate candidate trading points. These points are subsequently clustered and screened by the application of a decision tree algorithm C4.5. Compared to previous literature that applied such a combination technique, this research is distinct in incorporating the future information into the criteria for clustering the trading points. Taiwan and NASDAQ stock markets are used to justify the proposed method. Experiment results show that the proposed trading method outperforms both the filter rule and the previous method.