Conceptual Framework for Pattern-Based Real-Time Trading System using Genetic Algorithm

유전알고리즘 활용한 실시간 패턴 트레이딩 시스템 프레임워크

The aim of this study is to design an intelligent pattern-based real-time trading system (PRTS) using rough set analysis of technical indicators, dynamic time warping (DTW), and genetic algorithm in stock futures market. Rough set is well known as a data-mining tool for extracting trading rules from huge data sets such as real-time data sets, and a technical indicator is used for the construction of the data sets. To measure similarity of patterns, DTW is used over a given period. Through an empirical study, we identify the ideal performances that were profitable in various market conditions.