كاليبراسيون انديكاتورهاي تحليل تكنيكال با استفاده از الگوريتم آتوماتاي سلولي به منظور استفاده در معاملات با تواتر بالا

Technical Analysis indicators calibration using Cellular Automaton Algorithm for use in high-frequency trading

ﻫﺪف اﯾﻦ ﭘﮋوﻫﺶ ﺑﻮﻣﯽ ﺳﺎزي ﺷﺎﺧﺺﻫﺎي ﺗﺤﻠﯿﻞﺗﮑﻨﯿﮑﺎل در ﺑﺎزار ﺑﻮرس اوراق ﺑﻬﺎدارﺗﻬﺮان ﺑﻪ ﻣﻨﻈﻮر ﭘﯿﺶﺑﯿﻨﯽ روﻧﺪﻫﺎي ﺣﺮﮐﺖ ﻗﯿﻤﺖ ﺳﻬﺎم در ﭘﯿﺎدهﺳﺎزي اﻧﺠﺎم ﻣﻌﺎﻣﻠﺎت ﺑﺎﺑﺴﺎﻣﺪ ﺑﺎﻟﺎ ﺑﻪ روش ﻣﻮﻣﻨﺘﻮم ﻣﯽﺑﺎﺷﺪ. دراﯾﻦ ﭘﮋوﻫﺶ ﺑﺎ اﺳﺘﻔﺎده از اﻟﮕﻮرﯾﺘﻢ آﺗﻮﻣﺎﺗﺎيﺳﻠﻮﻟﯽ ﺑﻪ ﮐﺎﻟﯿﺒﺮاﺳﯿﻮن اﻧﺪﯾﮑﺎﺗﻮرﻫﺎي ﻣﯿﺎﻧﮕﯿﻦﻣﺘﺤﺮك ﻧﻤﺎﯾﯽ، ﺑﻮﻟﯿﻨﮕﺮ ﺑﺎﻧﺪز، ﺷﺎﺧﺺ ﻗﺪرت ﻧﺴﺒﯽ، درﺟﻪﺗﻐﯿﯿﺮات، اﻧﺪﯾﮑﺎﺗﻮر اﺳﺘﻮﮐﺎﺳﺘﯿﮏ و اﻧﺪﯾﮑﺎﺗﻮر ﺷﺎﺧﺺ ﺟﺮﯾﺎن ﻣﺎﻟﯽ ﭘﺮداﺧﺘﻪ ﺷﺪ. دادهﻫﺎي ﺑﺮرﺳﯽ ﺷﺪه ﺑﻪ ﻋﻨﻮان ﺟﺎﻣﻌﻪ آﻣﺎري، ﻣﻌﺎﻣﻠﺎت اﻧﺠﺎم ﺷﺪه در ﺑﻮرس اوراق ﺑﻬﺎدار ﺗﻬﺮان ﻃﯽ ﺑﺎزه ﺳﻪ ﺳﺎﻟﻪ از 1395/05/01 اﻟﯽ 1398/04/31 ﻣﯽﺑﺎﺷﺪ. ﻧﺘﺎﯾﺞ ﺑﺪﺳﺖ آﻣﺪه ﮔﻮﯾﺎي ﻟﺰوم ﺗﻐﯿﯿﺮ دورهﻫﺎي ﺗﻨﺎوب ﻣﺤﺎﺳﺒﺎت اﻧﺪﯾﮑﺎﺗﻮرﻫﺎ ﻣﯽﺑﺎﺷﺪ، ﺑﻄﻮريﮐﻪ اﻧﺪﯾﮑﺎﺗﻮرﻫﺎي ﻣﯿﺎﻧﮕﯿﻦ ﻣﺘﺤﺮك ﻧﻤﺎﯾﯽ از 14 روز ﺑﻪ 2 روز، ﺑﻮﻟﯿﻨﮕﺮﺑﺎﻧﺪز از 20 روز ﺑﻪ 2 روز، ﺷﺎﺧﺺ ﻗﺪرت ﻧﺴﺒﯽ از 14 روز ﺑﻪ 13 روز، درﺟﻪ ﺗﻐﯿﯿﺮات از 12 روز ﺑﻪ 2 روز ، اﻧﺪﯾﮑﺎﺗﻮر اﺳﺘﻮﮐﺎﺳﺘﯿﮏ از 14 روز ﺑﻪ 4 روز و اﻧﺪﯾﮑﺎﺗﻮر ﺷﺎﺧﺺ ﺟﺮﯾﺎن ﻣﺎﻟﯽ از 14 روز ﺑﻪ 20 روز ﺗﻐﯿﯿﺮ ﭘﯿﺪا ﮐﺮد. ﻧﺘﯿﺠﻪ اﯾﻦ ﺗﻐﯿﯿﺮات ﻣﻨﺠﺮ ﺑﻪ اﻓﺰاﯾﺶ ﻗﺪرت ﭘﯿﺶﺑﯿﻨﯽ ﺑﻪ ﺗﺮﺗﯿﺐ اﻧﺪﯾﮑﺎﺗﻮرﻫﺎي ﯾﺎد ﺷﺪه 1,35% ، 64,20 ،%30,52 ،%1,89 ،%36,90%، 0,24% ﮔﺮدﯾﺪ.

The present study was conducted with the aim of localizing technical analysis indicators in the Tehran Stock Exchange in order to predict stock price movement trends in implementing high frequency trading by the momentum method. In this study, calibration of exponential moving average, Bollinger Bands, Relative Strength Index (RSI), degree of difference, stochastic indicator and cash flow index was performed using cellular automata algorithm. The statistical population of this research consists of data obtained from transactions performed in the Tehran Stock Exchange during a three-year period from 7/23/2019 to 7/22/2019. According to the obtained results, there is a need to change the periodicity of the indicators calculations, so that the indicators of exponential moving average, Bollinger Bands, relative strength index, degree of difference, the stochastic indicator, the cash flow index have been changed from 14 to 2 days, 20 to 2 days, 14 to 13 days, 12 to 2 days, 14 to 4 days, and 14 to 20 days, respectively. As a result of the changes made, the increases in predictive power of the above indicators were achieved up to 1.35%, 36.90%, 1.89%, 30.52%, 64.20%, 0.24%, respectively.