以LSTM結合二次交易策略預測ETF 50股價趨勢

Abstract

本研究以臺灣50（ETF50）「指數股票型證券投資信託基金」的股票指數作為預測目標。運用深度學習中的長短期記憶模型（Long Short-Term Memory, LSTM）進行研究，將臺灣50指數和其成分股占比最大股票之歷史資料及技術指標資料做為模型的輸入變數。藉由訓練模型預測未來的價格趨勢，並經由模擬交易確立何種交易策略獲利能力較佳。而在策略中，買賣點的價格相對重要。投資人在決策時會希望盡可能地買在低點賣在高點，因此給予投資人作為成交價參考的定價方法中，我們提出「價格區間修正法」跳脫以往常用的「預測收盤價」，進而創造更多獲利空間。此外，考量模型預測誤差會間接影響到交易策略判斷買賣點的時機，本研究也提出「誤差均值移動視窗校正法」，透過實驗找到最適合的校正天數及閥值。本研究將收集到的樣本切割成兩部份，3454筆日資料為訓練資料；384筆日資料為測試資料。經實驗發現：一、本研究提出的「價格區間修正法」獲得4%的報酬率，其結果相當接近以實際最高及最低價進行交易的理想報酬4.03%，有效達成買低賣高之目的；二、本研究加入校正策略以間接修正交易訊號，報酬率的表現由校正前的4%提升至4.55%。

This study uses Taiwan Top50 Exchange Tracker Fund (ETF50) as a forecast target. Using Long Short-Term Memory (LSTM) model in deep learning, the historical data and technical indicators of ETF50 and the largest share of its constituent stocks as input variables of the model. By training the model to predict the future price trend, and through the simulated transaction to establish which trading strategy has the best profitability. And in the strategy, the price of buying and selling points is relatively important. Investors will want to buy as low as possible and sell as high as possible when making decisions. Therefore, in the pricing method given to investors as a reference for the transaction price, we propose the 'price range correction method' to get rid of the 'predicted closing price' used in the past, thereby creating more profitable space. In addition, considering that the model prediction error will indirectly affect the timing of the trading strategy to determine the trading point, we also proposes the 'mean error sliding window correction method', through experiments to find the most suitable correction days and threshold. Our sample data is separated into two parts, 3454 records of training data and 384 records of testing data. After the experiment, it was found that: (1) The 'price range correction method' proposed in this research obtains a 4% return rate, and the result is quite close to the ideal return of 4.03% for trading at the actual highest and lowest prices, effectively achieving the purpose of buying low and selling high; (2) After adding the correction strategy, the performance of the trading signal was corrected indirectly, increasing from 4% before correction to 4.55% to achieve the best return.