The Application Of Stock Market Investment Strategy By Using ANT Colonies System

Marco Dorigo proposed Ant Colony Optimization in 1992. After that, a lot of industrial problems are solved with ACO. For example, Quadratic Assignment Problem, Network Routing Problem, Job Shop Scheduling Problem, Vehicle Routing Problem, and Traveling Salesman Problem, etc.The concept of investment and financial management prevails in recent years. The ambiance of personal investment is getting popular, too. There are numerous financial investment tools in Taiwan, the stock market is the most integrated and mature especially. No matter the cash in security, flow, and realization, it all has better fundamental side focuses on the essence of enterprises; the technological analysis uses different technological indicators to predict the stock price. Due to the investment environment is changeable, how investors choose investment combination to become an important subject.This research combines the character of ACO with stock trading volume and return rate indicators in technological analysis to construct the capital allocation mathematics model of the investment strategy. Randomly choose six electronic industry stocks in China and Taiwanese stock markets. It will be the investment combination of six targets in this system; and add bank as hedging function in this research. Investors could invest bank when there are inappropriate opportunities in stock market. So, it could regard bank as hedging function. In this research, investor regards day as the investing unit, an basis checked while buy and sell points each stock. So; this research determines the opening quotation of stock market as buy investment opportunity every day, and the closing price as sell action every day.This research is based on daily stock trading records of listed companies in Taiwan or China area, which includes stock prices, trading volume, and the rate of return from January 1st,2005 to December 31st,2008. The comprehensive conclusions after simulation are as following:(1) The model of this research has better performance and profit making ability than the standard system in bull stock markets.(2) The model of this research has better performance and profit making ability than the standard system in bear stock markets.(3) The model of this research has better performance and profit making ability than the standard system in whole period of Taiwan and China stock markets.(4) The profit making ability is better when the evaporating coefficient is lower. The performance becomes conservative but still hold profit-making ability when the evaporating coefficient is high. So, this model has hedge and profit making ability.