Need to learn the skills of others. I found a good article today, the title is very attractive. The full title is: Individualized Indicator for All: Stock-wise Technical Indicator Optimization with Stock Embedding. The translation is a bit rough, but it is easy to understand the main idea of the article first.
Summary
As one of the most important investment methods, technical analysis attempts to predict the trend of stocks by explaining the inherent laws of historical price and volume data. In order to solve the noisy nature of the financial market, General Technical Analysis has developed technical trading indicators as a mathematical summary of historical price and volume data, laying the foundation for a sound and profitable investment strategy. However, observations have found that stocks of different natures have different affinities in technical indicators, which poses a great challenge to indicator-oriented stock selection and investment. In order to solve this problem, this paper designs a Technical Trading Indicator Optimization (TTIO, Technical Trading Indicator Optimization) framework, which uses the characteristics of stocks to optimize the original technical indicators. In order to obtain an effective representation of stock attributes, we propose a stock embedding learning method based on the Skip-gram structure, which is inspired by the valuable knowledge base formed by fund managers' collective investment behavior. Based on the learned stock representation, TTIO further learns a re-scaling network to optimize the performance of the indicator. A large number of experiments on real stock market data show that because the optimized indicator can generate stronger investment signals than the original indicator, our method can obtain a stock representation that is very valuable for technical indicator optimization.
Key words
Technical analysis; optimization of trading indicators; stock embedding
1 Introduction
Technical analysis [15,22,24] is one of the important methods of quantitative investment, focusing on explaining and predicting stock changes from the perspective of price and volume. The core assumption of technical analysis is that all relevant information about investment decisions is reflected by changes in price and trading volume. Therefore, price and volume data constitute sufficient