在這篇論文中，我們將股價數據從一維資料轉型為二維的圖像資料，並提供給
深度卷積神經網路進行訓練。為了產生二維的圖像資料，我們採用了15 種計
算指標及15 種區間，將其轉換成15*15 的二維圖片，每張圖片也根據股價於
波峰、波谷的位置將其標籤(label) 為分別為買、賣及持有。有了模型及輸入
數據及標籤後，我們將此上述模型進行進一步的延伸，將此模型訓練完後的特
徵萃取出數個特徵，轉換成如同輸入的15*15 矩陣，將此矩陣輸入給LSTM，
最終輸出預測。結果顯示，我們透過上述的方法於股票市場進行回測，相較於
CNN、Buy and Hold (BaH) 及其他方法，我們所提出的模型有較好的結果。

In this thesis, we transform stock price data from one-dimensional data to twodimensional image data and provide it to the deep CNN and LSTM for training. In order to generate two-dimensional image data, we used 15 technical indicators and 15 intervals to transform them into 15*15 two-dimensional images. We also label each picture as buy, sell and hold according to the position of the stock price at the peak and valley. With the model and input data and labels, we first train the CNN part, and extract 225 features, which is a one dimensional vector. Then we reshape them into a 15*15 matrix as the input of LSTM part. Compared with CNN and Buy-and-Hold methods, the results show that our proposed neural network model, CNN-LSTM, has better results.

Contents
abstract i
致謝iii
1 相關背景. . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
2 模型特徵與神經網路簡介. . . . . . . . . . . . . . . . . . . . . .3
2.1 模型特徵. . . . . . . . . . . . . . . . . . . . . . . . . . . 3
2.2 卷積神經網路. . . . . . . . . . . . . . . . . . . . . . . . . 4
2.3 遞迴神經網路. . . . . . . . . . . . . . . . . . . . . . . . . 5
2.4 長短期記憶網路. . . . . . . . . . . . . . . . . . . . . . . . 6
3 方法. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .7
3.1 資料前處理與維度轉換. . . . . . . . . . . . . . . . . . . . . 8
3.2 標籤. . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
3.3 圖像生成. . . . . . . . . . . . . . . . . . . . . . . . . . 10
3.4 模型. . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
3.4.1 卷積神經網路. . . . . . . . . . . . . . . . . . . . . . . 14
3.4.2 長短期記憶網路. . . . . . . . . . . . . . . . . . . . . . . 14
3.5 方法總結. . . . . . . . . . . . . . . . . . . . . . . . . . . 15
4 交易回測. . . . . . . . . . . . . . . . . . . . . . . . . . . .16
4.1 測試集. . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
4.2 模型計算效能. . . . . . . . . . . . . . . . . . . . . . . . . 18
4.3 交易回測. . . . . . . . . . . . . . . . . . . . . . . . . . . 19
4.4 方法比較. . . . . . . . . . . . . . . . . . . . . . . . . . .20
4.5 股票分析. . . . . . . . . . . . . . . . . . . . . . . . . . .21
4.6 線圖分析. . . . . . . . . . . . . . . . . . . . . . . . . . .23
4.7 小結. . . . . . . . . . . . . . . . . . . . . . . . . . . . .24
5 結論. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .25
參考資料. . . . . . . . . . . . . . . . . . . . . . . . . . . . .26
附錄. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .29

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