基于相似性匹配和聚类的K线模式可盈利性研究

Study on K-line Patterns' Profitability Based on Similarity Match and Clustering

K线模式是股票短期投资中最常用的技术分析工具,但学术界却对K线模式的可盈利性存在争议。为了客观评价K线模式的可盈利性,提出从数据挖掘的角度出发,采用模式识别、模式聚类和模式知识挖掘的方法来对K线模式的盈利能力进行研究。为此,首先定义了K线序列的相似性匹配模型来解决K线模式的相似性匹配问题;然后,定义了K线序列的最近邻聚类算法来解决K线模式的聚类问题;最后,定义了K线模式盈利能力度量模型来对K线模式不同形态的利能力进行分析。实验采用近11年上证180指数成份股的数据作为测试数据集,对白三兵和黑三鸦这两个模式的盈利能力进行分析。实验结果表明:同一个K线模式的不同形态的盈利能力差别很大,有时甚至完全相反,这是K线模式可盈利性产生争议的一个主要原因。为了解决这一争议并提高基于K线模式的股票投资效果,亟需根据形态特征对现有的每一个K线模式做进一步分类,并提供更加严谨的模式定义。

K-line pattern is the most popular technical analysis method for short term stock investment.However,there are some disputes about the K-line patterns' profitability in academia.To resolve the debate,this paper used the method of pattern recognition,pattern clustering and pattern knowledge mining to study the profitability of K-line patterns.Therefore,firstly,the similarity match model was proposed for solving the problem of similarity match of K-line pattern.Secondly,the nearest neighbor-clustering algorithm was proposed for solving the problem of clustering of K-line pattern.Finally,the measurement model of K-line pattern's profitability was defined for measuring the profitability of a K-line pattern's different shapes.In the experiment,the profitability of three white soldiers pattern and three black crows pattern was analyzed with the testing dataset of the K-line series data of Shanghai 180 index component stocks over the latest 11 years.Experimental results show that the main reason for the debate is that the profitability of one pattern varies a great deal for different shapes and they are even opposite at sometimes.There is a need to further classify each of the existing K-line patterns based on the shape feature and give their strict mathematical definitions for improving the profitability and resolving the disputes.