Self-Management Portfolio System with Adaptive Association Mining: A Practical Application on Taiwan Stock Market

Article Computer Science, Artificial Intelligence

Modifying ORB trading strategies using particle swarm optimization and multi-objective optimization

Jia-Hao Syu et al.

Summary: This study proposes a scalable and continuous optimization algorithm for the Opening Range Breakout (ORB) trading strategy, referred to as PORB, and also introduces a multi-objective optimization algorithm, referred to as MPORB. Experimental results show that PORB significantly outperforms benchmark strategies in trading performance and time efficiency, while MPORB performs similarly to PORB but falls short in some cases. Overall, the PORB strategy overcomes limitations of previous solutions and the Pareto multi-objective optimization enhances trading performance without increasing time complexity.

JOURNAL OF AMBIENT INTELLIGENCE AND HUMANIZED COMPUTING (2021)

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Article Computer Science, Artificial Intelligence

Evolutionary ORB-based model with protective closing strategies

Mu-En Wu et al.

Summary: The study introduces an evolutionary ORB-based model to optimize thresholds and develop protective closing strategies for enhanced profitability. Through evolutionary computation, rational strategies and parameters were derived, leading to improvements in annual returns by 2.8% and Sharpe ratio by 1.0, while reducing maximum drawdown by half.

KNOWLEDGE-BASED SYSTEMS (2021)

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Article Computer Science, Artificial Intelligence

Portfolio management system in equity market neutral using reinforcement learning

Mu-En Wu et al.

Summary: Portfolio management involves position sizing and resource allocation. The research developed a Portfolio Management System (PMS) using reinforcement learning with two neural networks and a novel reward function involving Sharpe ratios for evaluation. Results showed that the PMS performed outstandingly, offering a better solution for investment management.

APPLIED INTELLIGENCE (2021)

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Article Computer Science, Information Systems

An IoT-Based Hedge System for Solar Power Generation

Jia-Hao Syu et al.

Summary: The article proposes a hedging system using IoT-based data and edge predictive models to hedge low-radiation risk for solar investors, and its effectiveness is demonstrated through experiments.

IEEE INTERNET OF THINGS JOURNAL (2021)

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Article Computer Science, Information Systems