\uacfc\uac70 \uba87 \uc2ed \ub144 \uac04\uc758 \uae08\uc735 \uc2dc\uc7a5 \uc5f0\uad6c\ub294 \ub2e4\uc591\ud55c \ud329\ud130\ub4e4\uc774 \uc8fc\uc2dd\uc758 \uc218\uc775\ub960\uc5d0 \ubbf8\uce58\ub294 \uc601\ud5a5\uc744 \ubcf4\uc5ec\uc8fc\uc5c8\uc2b5\ub2c8\ub2e4. \uc774\ub7ec\ud55c \uc5f0\uad6c\ub4e4\uc740 \uc77c\ubc18\uc801\uc73c\ub85c \uc7ac\ubb34\uc81c\ud45c \ube44\uc728, \uac00\uaca9 \ubaa8\uba58\ud140, \ubcc0\ub3d9\uc131, \uc720\ub3d9\uc131 \ub4f1 \uc5ec\ub7ec \uac00\uc9c0 \uc694\uc778\ub4e4\uc744 \ud1b5\ud574 \ud6a8\uacfc\uc801\uc73c\ub85c \uc8fc\uc2dd\uc774\uc775\uc744 \ucd94\uc815\ud560 \uc218 \uc788\ub294 \ubc29\ubc95\ub860\uc744 \uac1c\ubc1c\ud558\ub294 \ub370 \uae30\uc5ec\ud588\uc2b5\ub2c8\ub2e4. \ucd5c\uc2e0 \uba38\uc2e0\ub7ec\ub2dd \uae30\uc220\uc758 \ubc1c\uc804\uc740 \uc774\ub7ec\ud55c \uae30\uc874\uc758 \ud329\ud130 \ubaa8\ub378\uc744 \ubcf4\ub2e4 \uc815\uad50\ud558\uac8c \ubc1c\uc804\uc2dc\ud0a4\uace0 \ud328\ud134 \uc778\uc2dd, \ub370\uc774\ud130 \ub9c8\uc774\ub2dd \ub4f1\uacfc \uac19\uc740 \uac15\ub825\ud55c \uae30\ub2a5\uc744 \ud65c\uc6a9\ud574 \ub354 \ub098\uc740 \uc608\uce21 \ubaa8\ud615\uc744 \ub9cc\ub4dc\ub294 \ub370 \ud06c\uac8c \uae30\uc5ec\ud558\uace0 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n
\uc54c\uace0\ub9ac\uc998 \ud2b8\ub808\uc774\ub529\uc774\ub780 \ucef4\ud4e8\ud130 \ud504\ub85c\uadf8\ub7a8\uc744 \uc774\uc6a9\ud558\uc5ec \ubbf8\ub9ac \uc815\uc758\ub41c \uaddc\uce59\uc5d0 \ub530\ub77c \uc790\ub3d9\uc73c\ub85c \ub9e4\ub9e4\ub97c \uc218\ud589\ud558\ub294 \uac83\uc744 \uc758\ubbf8\ud569\ub2c8\ub2e4. \uc774\ub7ec\ud55c \uc54c\uace0\ub9ac\uc998\uc740 \ud1b5\uacc4\uc801 \ubaa8\ub378\ub9c1, \uc5ec\ub7ec \uae30\uc220\uc801 \uc9c0\ud45c \ubc0f \uace0\uae09 \uae08\uc735 \uc774\ub860\uc744 \uae30\ubc18\uc73c\ub85c \ud558\uba70, \uc778\uac04 \ud2b8\ub808\uc774\ub354\ubcf4\ub2e4 \ube60\ub974\uace0 \uc815\ud655\ud558\uac8c \uac70\ub798\ub97c \uc218\ud589\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n
\uc54c\uace0\ub9ac\uc998 \ud2b8\ub808\uc774\ub529\uc740 1970\ub144\ub300\uc5d0 \uc2dc\uc791\ub418\uc5c8\uc2b5\ub2c8\ub2e4. \ucd08\uae30\uc5d0\ub294 \uc8fc\ub85c \uace0\ube48\ub3c4 \uac70\ub798(high-frequency trading)\uc640 \uad00\ub828\ub41c \uac70\ub798\uc18c\uc5d0\uc11c \uc0ac\uc6a9\ub418\uc5c8\uc73c\uba70, \uc2dc\uac04\uc774 \uc9c0\ub098\uba74\uc11c \ub2e4\uc591\ud55c \ud615\ud0dc\uc758 \uac70\ub798 \uc804\ub7b5\uacfc \uae30\uc220\ub4e4\uc774 \ubc1c\uc804\ud558\uac8c \ub418\uc5c8\uc2b5\ub2c8\ub2e4. \uc774\ub7ec\ud55c \uc804\ub7b5\ub4e4\uc740 \uae08\uc735 \uc2dc\uc7a5\uc758 \ud6a8\uc728\uc131\uc744 \ub192\uc774\ub294 \ub370 \uae30\uc5ec\ud558\uace0 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n
\uba38\uc2e0\ub7ec\ub2dd\uc740 \ub370\uc774\ud130\ub97c \ud1b5\ud574 \ud559\uc2b5\ud558\uc5ec \uc608\uce21 \ubaa8\ub378\uc744 \ub9cc\ub4dc\ub294 \ubc29\ubc95\uc774\uba70, \ub525\ub7ec\ub2dd\uc740 \uba38\uc2e0\ub7ec\ub2dd\uc758 \ud558\uc704 \ubd84\uc57c\ub85c \uc2e0\uacbd\ub9dd\uc744 \ud1b5\ud55c \ud559\uc2b5 \ubc29\ubc95\uc744 \uc0ac\uc6a9\ud569\ub2c8\ub2e4. \ub370\uc774\ud130 \uae30\ubc18\uc758 \ud2b8\ub808\uc774\ub529\uc5d0\uc11c\ub294 \uc774 \ub450 \uae30\uc220\uc774 \ub9e4\uc6b0 \uc911\uc694\ud55c \uc5ed\ud560\uc744 \ud569\ub2c8\ub2e4.<\/p>\n
\uba38\uc2e0\ub7ec\ub2dd\uc758 \uae30\ubcf8 \uac1c\ub150\uc740 ‘\ub370\uc774\ud130\uc5d0\uc11c \ud559\uc2b5\ud558\uc5ec \ud328\ud134\uc744 \uc778\uc2dd\ud558\ub294 \uac83’\uc785\ub2c8\ub2e4. \uc9c0\ub3c4\ud559\uc2b5, \ube44\uc9c0\ub3c4\ud559\uc2b5, \uac15\ud654\ud559\uc2b5 \ub4f1\uc73c\ub85c \ub098\ub20c \uc218 \uc788\uc73c\uba70, \uac01\uac01\uc758 \ubc29\ubc95\ub860\uc740 \ud2b9\uc815\ud55c \ubb38\uc81c\ub97c \ud574\uacb0\ud558\ub294 \ub370 \uc801\ud569\ud569\ub2c8\ub2e4.<\/p>\n
\ub525\ub7ec\ub2dd\uc740 \uc778\uacf5\uc2e0\uacbd\ub9dd\uc744 \uae30\ubc18\uc73c\ub85c \ud55c \ud559\uc2b5 \uae30\ubc95\uc73c\ub85c, \ud2b9\ud788 \uc774\ubbf8\uc9c0 \uc778\uc2dd, \uc790\uc5f0\uc5b4 \ucc98\ub9ac \ub4f1\ubcf5\uc7a1\ud55c \ub370\uc774\ud130\uc5d0\uc11c \ub192\uc740 \uc815\ud655\ub3c4\ub97c \ubcf4\uc785\ub2c8\ub2e4. \uc54c\uace0\ub9ac\uc998 \ud2b8\ub808\uc774\ub529\uc5d0\uc11c\ub3c4 \uac00\uaca9 \ud328\ud134 \uc608\uce21, \uc2dc\uc7a5 \uac10\uc815 \ubd84\uc11d\uc5d0 \ud65c\uc6a9\ub418\uace0 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n
\ud329\ud130 \uc5f0\uad6c\ub294 \uae08\uc735 \uc790\uc0b0\uc758 \uc218\uc775\ub960\uc744 \uc124\uba85\ud558\ub294 \ub2e4\uc591\ud55c \uc694\uc778\uc744 \ucc3e\uae30 \uc704\ud55c \uc5f0\uad6c\uc785\ub2c8\ub2e4. \ud329\ud130 \uc774\ub860\uc740 3-factor \ubaa8\ub378(\uc2dc\uc7a5 \uc704\ud5d8, \uac00\uce58, \uaddc\ubaa8)\uc5d0\uc11c \uc2dc\uc791\ud558\uc5ec, \ub2e4\uc591\ud55c \uc694\uc778\uc744 \ucd94\uac00\ud558\uba74\uc11c \ubc1c\uc804\ud558\uc600\uc2b5\ub2c8\ub2e4.<\/p>\n
\uba38\uc2e0\ub7ec\ub2dd \uae30\ubc95\uc744 \ud65c\uc6a9\ud558\uba74, \uae30\uc874 \ud329\ud130\uc758 \uc870\ud569\uc744 \ud1b5\ud574 \uc0c8\ub85c\uc6b4 \ud328\ud134\uc744 \ubc1c\uacac\ud558\uac70\ub098, \ube44\uc120\ud615\uc801\uc778 \uad00\uacc4\ub97c \ubaa8\ub378\ub9c1 \ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4. Random Forest, Gradient Boosting, Neural Networks \ub4f1\uc774 \uc0ac\uc6a9\ub429\ub2c8\ub2e4.<\/p>\n
\uc54c\uace0\ub9ac\uc998 \ud2b8\ub808\uc774\ub529 \uc804\ub7b5\uc744 \uad6c\ucd95\ud558\uae30 \uc704\ud574\uc11c\ub294 \ub370\uc774\ud130 \uc218\uc9d1, \ud2b9\uc131 \uc120\ud0dd, \ubaa8\ub378 \uc120\ud0dd, \uc131\ub2a5 \ud3c9\uac00\uc758 \uacfc\uc815\uc774 \ud544\uc694\ud569\ub2c8\ub2e4.<\/p>\n
\ub370\uc774\ud130\ub294 \uc2dc\uc7a5 \ub370\uc774\ud130\ub97c \ud3ec\ud568\ud558\uc5ec \uc7ac\ubb34 \uc81c\ud45c, \ub274\uc2a4, \uc18c\uc15c \ubbf8\ub514\uc5b4 \uc790\uc0b0\uad6c\uc131 \ub4f1\uc774 \ud3ec\ud568\ub420 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \uc774\ub7ec\ud55c \ub370\uc774\ud130\ub97c \uc218\uc9d1\ud558\ub294 \uac83\uc740 \ub9e4\uc6b0 \uc911\uc694\ud558\uba70, \uc2e4\uc2dc\uac04 \ucc98\ub9ac \ubc0f \ubd84\uc11d\uc774 \uc694\uad6c\ub429\ub2c8\ub2e4.<\/p>\n
\ud2b9\uc131 \uc120\ud0dd\uc740 \uba38\uc2e0\ub7ec\ub2dd \ubaa8\ub378\uc758 \uc131\ub2a5\uc5d0 \ud070 \uc601\ud5a5\uc744 \ubbf8\uce69\ub2c8\ub2e4. \ub2e4\uc591\ud55c \ud329\ud130\uac00 \ud3ec\ud568\ub418\uba70, PCA(\uc8fc\uc131\ubd84 \ubd84\uc11d)\uc640 \uac19\uc740 \ubc29\ubc95\uc73c\ub85c \uc911\uc694\ub3c4\ub97c \ud3c9\uac00\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n
\ubaa8\ub378 \uc120\ud0dd\uc740 \ubb38\uc81c\uc758 \uc131\uaca9\uc5d0 \ub530\ub77c \ub2e4\ub985\ub2c8\ub2e4. \ud68c\uadc0 \ubb38\uc81c\uc77c \uacbd\uc6b0 \uc120\ud615 \ud68c\uadc0, \ubd84\ub958 \ubb38\uc81c\ub77c\uba74 \ub79c\ub364 \ud3ec\ub808\uc2a4\ud2b8, \ub525\ub7ec\ub2dd \ubaa8\ub378 \ub4f1\uc774 \ud6a8\uacfc\uc801\uc785\ub2c8\ub2e4.<\/p>\n
\uc131\ub2a5 \ud3c9\uac00\ub294 \ubc31\ud14c\uc2a4\ud305, \uc0e4\ud504 \ube44\uc728, \ucd5c\ub300 \ub099\ud3ed(Max Drawdown) \ub4f1\uc758 \uc9c0\ud45c\ub85c \uc218\ud589\ub429\ub2c8\ub2e4. \ubaa8\ub378\uc758 \uacfc\uc801\ud569\uc744 \ud53c\ud558\uace0 \uc77c\ubc18\ud654 \uac00\ub2a5\ud55c\uc9c0\ub97c \ud655\uc778\ud558\ub294 \uac83\uc774 \uc911\uc694\ud569\ub2c8\ub2e4.<\/p>\n
\ub2e4\uc591\ud55c \uc0ac\ub840\ub97c \ud1b5\ud574 \uba38\uc2e0\ub7ec\ub2dd\uc744 \ud65c\uc6a9\ud55c \uc54c\uace0\ub9ac\uc998 \ud2b8\ub808\uc774\ub529 \uc804\ub7b5\uc744 \uc774\ud574\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \uc608\ub97c \ub4e4\uc5b4, \uace0\uc804\uc801\uc778 \ubaa8\uba58\ud140 \uc804\ub7b5\uc744 \uba38\uc2e0\ub7ec\ub2dd\uc73c\ub85c \uad6c\ud604\ud558\ub294 \ubc29\ubc95\uc744 \uc0b4\ud3b4\ubcf4\uaca0\uc2b5\ub2c8\ub2e4.<\/p>\n
import pandas as pd\n\n# \uc8fc\uac00 \ub370\uc774\ud130 \ub85c\ub4dc\ndata = pd.read_csv('stock_data.csv')\ndata['Date'] = pd.to_datetime(data['Date'])\ndata.set_index('Date', inplace=True)<\/code><\/pre>\n5.2 \ud2b9\uc131 \uc0dd\uc131<\/h3>\n
\ubaa8\uba58\ud140 \uc804\ub7b5\uc744 \uc704\ud55c \ud2b9\uc131\uc744 \uc0dd\uc131\ud569\ub2c8\ub2e4. \uc608\ub97c \ub4e4\uc5b4, 12\uac1c\uc6d4 \uc804 \uac00\uaca9\uacfc \ud604\uc7ac \uac00\uaca9\uc758 \ube44\uc728\uc744 \ud1a0\ub300\ub85c \ud558\ub294 \ud2b9\uc131\uc744 \uc0dd\uc131\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n
data['Momentum'] = data['Close'].pct_change(periods=252) # 12\uac1c\uc6d4 \ub3d9\uc548\uc758 \ud37c\uc13c\ud2b8 \ubcc0\ud654<\/code><\/pre>\n5.3 \ubaa8\ub378 \ud559\uc2b5<\/h3>\n
\ubaa8\ub378 \ud559\uc2b5\uc744 \uc704\ud574 \ub370\uc774\ud130\ub97c \ud6c8\ub828 \uc138\ud2b8\uc640 \ud14c\uc2a4\ud2b8 \uc138\ud2b8\ub85c \ubd84\ud560\ud558\uace0, \ub2e4\uc591\ud55c \uba38\uc2e0\ub7ec\ub2dd \uc54c\uace0\ub9ac\uc998\uc744 \ud65c\uc6a9\ud558\uc5ec \ubaa8\ub378\uc744 \ud559\uc2b5\uc2dc\ud0b5\ub2c8\ub2e4.<\/p>\n
from sklearn.model_selection import train_test_split\nfrom sklearn.ensemble import RandomForestClassifier\n\nX = data[['Momentum']].dropna()\ny = (data['Close'].shift(-1) > data['Close']).astype(int).dropna()\n\nX_train, X_test, y_train, y_test = train_test_split(X, y, test_size=0.2, random_state=42)\n\nmodel = RandomForestClassifier()\nmodel.fit(X_train, y_train)<\/code><\/pre>\n5.4 \uc131\ub2a5 \ud3c9\uac00<\/h3>\n
\ubaa8\ub378\uc758 \uc131\ub2a5\uc744 \ud3c9\uac00\ud558\ub294 \uac83\uc740 \uc911\uc694\ud55c \ub2e8\uacc4\uc785\ub2c8\ub2e4. \ud63c\ub3d9 \ud589\ub82c\uc744 \ud65c\uc6a9\ud574 \ubaa8\ub378\uc758 \ubd84\ub958 \uc131\ub2a5\uc744 \ubd84\uc11d\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n
from sklearn.metrics import confusion_matrix\n\ny_pred = model.predict(X_test)\ncm = confusion_matrix(y_test, y_pred)\nprint(cm)<\/code><\/pre>\n6. \uacb0\ub860: \uba38\uc2e0\ub7ec\ub2dd \ubc0f \ub525\ub7ec\ub2dd \uc54c\uace0\ub9ac\uc998 \ud2b8\ub808\uc774\ub529\uc758 \ubbf8\ub798<\/h2>\n
\uba38\uc2e0\ub7ec\ub2dd \ubc0f \ub525\ub7ec\ub2dd\uc744 \ud65c\uc6a9\ud55c \uc54c\uace0\ub9ac\uc998 \ud2b8\ub808\uc774\ub529\uc740 \uae08\uc735 \uc2dc\uc7a5\uc5d0\uc11c \ud601\uc2e0\uc801\uc778 \ubcc0\ud654\ub97c \uac00\uc838\uc624\uace0 \uc788\uc73c\uba70, \uc55e\uc73c\ub85c\ub3c4 \uadf8 \uc911\uc694\uc131\uc740 \ub354\uc6b1 \ucee4\uc9c8 \uac83\uc785\ub2c8\ub2e4. \uc218\uc2ed \ub144\uc758 \ud329\ud130 \uc5f0\uad6c\ub97c \ubc14\ud0d5\uc73c\ub85c \ud55c \uc2dc\uc2a4\ud15c\uc801 \uc811\uadfc\uc740 \ud2b8\ub808\uc774\ub529 \uc804\ub7b5\uc758 \uc131\uacfc\ub97c \uadf9\ub300\ud654\ud558\uace0 \uc788\uc73c\uba70, \uc9c0\uc18d\uc801\uc73c\ub85c \ubc1c\uc804\ud560 \uac83\uc73c\ub85c \uae30\ub300\ub429\ub2c8\ub2e4.<\/p>\n
\ub9c8\uc9c0\ub9c9\uc73c\ub85c, \uc54c\uace0\ub9ac\uc998 \ud2b8\ub808\uc774\ub529\uc5d0\uc11c \uc131\uacf5\ud558\uae30 \uc704\ud574\uc11c\ub294 \uae30\uc220\uc801\uc778 \uce21\uba74 \ubfd0\ub9cc \uc544\ub2c8\ub77c \ub3c4\uba54\uc778 \uc9c0\uc2dd, \ub9ac\uc2a4\ud06c \uad00\ub9ac, \uc815\uad50\ud55c \ud734\uba3c \uc778\ud130\ud398\uc774\uc2a4 \uad6c\ucd95\uc774 \ud544\uc218\uc801\uc785\ub2c8\ub2e4. \ub530\ub77c\uc11c, \uc54c\uace0\ub9ac\uc998 \ud2b8\ub808\uc774\ub529\uc5d0 \ub6f0\uc5b4\ub4dc\ub294 \ud2b8\ub808\uc774\ub354\ub4e4\uc740 \uc885\ud569\uc801\uc778 \uc2dc\uac01\uc5d0\uc11c \uc811\uadfc\ud574\uc57c \ud560 \uac83\uc785\ub2c8\ub2e4.<\/p>\n
<\/body><\/p>\n","protected":false},"excerpt":{"rendered":"