英文摘要 |
With the ensemble learning of specific TAIEX market characteristics drawn from technical analysis data, in this paper we construct futures trading strategies where price directional forecasts are generated by Random Forest classification models. By quantifying the model attributes' extent of contribution to the overall prediction outcomes, we identify attributes-in-dispute and explore their perturbative effects on the predictive ability of Random Forest and thus the risk-reward performance of the proposed strategies. Using 2007-2018 TAIEX futures data, our in-sample and out-of-sample test results show that, after transaction costs, risk-adjusted outperformance over the market is consistently observable when the Random Forest models adapt the 3-14 days MA and RSI indicators, far-month futures trading volume, spot transaction volume, foreign capital open interest in futures, and open interest ratio in options. |