著重於績效比較的交易策略程式管理平台之研究;A Study on Designing a Trading Strategy Management Platform for Comparing Trading Performance

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Title:	著重於績效比較的交易策略程式管理平台之研究;A Study on Designing a Trading Strategy Management Platform for Comparing Trading Performance
Authors:	周志強;Chou,Chin-chiang
Contributors:	資訊管理學系
Keywords:	程式交易
Date:	2014-07-25
Issue Date:	2014-10-15 17:08:56 (UTC+8)
Publisher:	國立中央大學
Abstract:	臺灣股票市場蓬勃發展，投資理財已成為現代人增加財富的管道之一，並且一般初學者學習投資策略的途徑也越來越多。外加電腦運算能力的爆炸性成長，而價格更趨低廉，促使複雜的交易策略跟測試軟體的成長，開啟了毋須人工判斷，完全機械化演算法的程式交易。而要得到一個好的程式交易策略是需要經過不斷的分析比較與修正並在改進績效時需要與其他策略作比較才能知道該策略的特性，才懂得運用該策略或更進一步改善交易策略。但是由於目前普遍投資者使用程式交易平台製作程式交易策略的過程中，要將得到的績效與該策略的架構儲存時，在大部份的記錄方式中只能儲存在紙本筆記、Excel、Word、或整理在網路上。這樣的做法常會有以下的問題，(1)在記錄這些交易策略的架構與經由程式交易平台之回測系統得到的績效報表上，策略特徵無法依策略架構來記錄，並且策略也無法連結到所屬的績效報表，(2)導致在查詢上無法依照交易策略屬性去查詢所要分析或匯出的策略與績效，(3)在匯出績效方面，對於要分析的績效無法選擇要比較的期間和各種績效欄位。因此本論文目標在於探討程式交易策略製作流程與架構並建構一個管理系統。本論文實作一個以績效比較為主的交易策略程式管理平台來輔助程式交易策略分析。透過匯整Ruggiero和Schwage的交易系統製作流程和策略架構，形成一致的交易系統製作流程與管理平台做配合，再以此策略架構建立模型做成管理平台，並使用一致的策略架構來儲存交易策略描述與策略績效，接著使用情境範例來模擬使用者的查詢與匯出需求，最後能讓使用者匯出多策略績效比較表輔助分析。;As Taiwan stock market develops, financial investment is a part of approach to increase wealth nowadays. Additionally, due to the Information Technology develops and affordable price, hence the growth of development on trading strategy and software testing. However a perfect trade strategy is depends on constantly analysis with comparison and correction. Thus, it will aid investor to adopt the strategy to make a right investment. Due to the investors developed trading strategy by utilizing program that was provided and most investors stored the trading strategy and performance on notebook, Microsoft Excel or Internet storage. It causes the problems as follows (1) Unable to store attribute according to the structure of strategy (2) Unable to query and export according to the attribute of trading strategy (3) Unable to compare various fields with particular period and performance based on trading strategy. Thus, this research aims to develop trading strategy management system based on investigating the process of trading system and architecture. Based on the combination of the trading system process and strategy architecture by Ruggiero and Schwage, this research develops a trading strategy management system with comparison and consistent storage approach to aid analysis of trading strategy. This research utilizes the scenarios to simulate the demand and query from the users. Lastly, users are able to export various strategies of performance to aid investor to analyze and make a right investment.
Appears in Collections:	[Graduate Institute of Information Management] Electronic Thesis & Dissertation

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