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    Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/68766

    Title: 多商品多策略程式交易績效曲線比較和分群機制之研究;The comparison and clustering mechanism of multi-commodity and multi-strategy program trading performance
    Authors: 林鈺翔;LIN,Yu-siang
    Contributors: 資訊管理學系
    Keywords: 程式交易;資訊儀表板;時間序列;資料探勘;分群機制
    Date: 2015-07-23
    Issue Date: 2015-09-23 14:25:35 (UTC+8)
    Publisher: 國立中央大學
    Abstract: 程式交易是技術指標與程式的結合,利用兩者來控制進出場的時機。程式交易搭配上商品就會有績效的產出,這些績效是評斷一個策略好壞的基礎,市面上有一些針對程式交易產出績效的軟體,通常都是針對單一商品加上單一策略的績效,缺少績效指標的統整並呈現的方法,也沒有一個分群機制幫助了解多績效的比較和績效曲線,投資者想要了解的並不再只是簡單的賺賠而已。
    ;Program trading is the combination of technical index and programs, used both to control the time of entry and exit. Program trading plus commodity will have performance output, these performances are the basis to judge a strategy. There are some program trading performance output software, but it is usually for single commodity or single strategy performance output, lack of integration of performance index and performance display methods, nor a clustering mechanism to help understand performance comparison and the curves of performance. What investors want to know is no longer simply the profit of program trading.
    Due to so many strategies on the market, what investors want to compare is no longer the performance of single strategy and single commodity, but the performance of multi-strategy and multi-commodity. Software now available can display multi-performance by report form, but a large number of reports and numeric type performance outputs will make investors hard to understand the performance. This study uses information dashboard architecture to build an interface of query and performance display, so that users can easily compare multi-commodity and multi-strategy performance. And uses discrete wavelet transform and k-means clustering algorithm to establish a clustering mechanism to help users understand the shape of the performance curve, and achieve the establishment of a new interactive interface of unified query and dynamic performance adding, a unity and diversity of multi-performance comparison interface and a performance curve clustering mechanism, to solve the problems investors may encounter when observing the performance.
    Appears in Collections:[資訊管理研究所] 博碩士論文

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