• Journal of Intelligence and Information Systems
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• v.20 no.2
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• pp.59-71
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• 2014

System trading is becoming more popular among Korean traders recently. System traders use automatic order systems based on the system generated buy and sell signals. These signals are generated from the predetermined entry and exit rules that were coded by system traders. Most researches on system trading have focused on designing profitable entry and exit rules using technical indicators. However, market conditions, strategy characteristics, and money management also have influences on the profitability of the system trading. Unexpected price deviations from the predetermined trading rules can incur large losses to system traders. Therefore, most professional traders use strategy portfolios rather than only one strategy. Building a good strategy portfolio is important because trading performance depends on strategy portfolios. Despite of the importance of designing strategy portfolio, rule of thumb methods have been used to select trading strategies. In this study, we propose a SVM-based strategy portfolio management system. SVM were introduced by Vapnik and is known to be effective for data mining area. It can build good portfolios within a very short period of time. Since SVM minimizes structural risks, it is best suitable for the futures trading market in which prices do not move exactly the same as the past. Our system trading strategies include moving-average cross system, MACD cross system, trend-following system, buy dips and sell rallies system, DMI system, Keltner channel system, Bollinger Bands system, and Fibonacci system. These strategies are well known and frequently being used by many professional traders. We program these strategies for generating automated system signals for entry and exit. We propose SVM-based strategies selection system and portfolio construction and order routing system. Strategies selection system is a portfolio training system. It generates training data and makes SVM model using optimal portfolio. We make $m{\times}n$ data matrix by dividing KOSPI 200 index futures data with a same period. Optimal strategy portfolio is derived from analyzing each strategy performance. SVM model is generated based on this data and optimal strategy portfolio. We use 80% of the data for training and the remaining 20% is used for testing the strategy. For training, we select two strategies which show the highest profit in the next day. Selection method 1 selects two strategies and method 2 selects maximum two strategies which show profit more than 0.1 point. We use one-against-all method which has fast processing time. We analyse the daily data of KOSPI 200 index futures contracts from January 1990 to November 2011. Price change rates for 50 days are used as SVM input data. The training period is from January 1990 to March 2007 and the test period is from March 2007 to November 2011. We suggest three benchmark strategies portfolio. BM1 holds two contracts of KOSPI 200 index futures for testing period. BM2 is constructed as two strategies which show the largest cumulative profit during 30 days before testing starts. BM3 has two strategies which show best profits during testing period. Trading cost include brokerage commission cost and slippage cost. The proposed strategy portfolio management system shows profit more than double of the benchmark portfolios. BM1 shows 103.44 point profit, BM2 shows 488.61 point profit, and BM3 shows 502.41 point profit after deducting trading cost. The best benchmark is the portfolio of the two best profit strategies during the test period. The proposed system 1 shows 706.22 point profit and proposed system 2 shows 768.95 point profit after deducting trading cost. The equity curves for the entire period show stable pattern. With higher profit, this suggests a good trading direction for system traders. We can make more stable and more profitable portfolios if we add money management module to the system.

• The Journal of the Petrological Society of Korea
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• v.25 no.3
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• pp.211-230
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• 2016

Detailed mapping along the Keumwang fault reveals a complex history of multiple brittle reactivations following late Jurassic and early Cretaceous ductile shearing. The fault core consists of a 10~50 m thick fault gouge layer bounded by a 30~100 m thick damaged zone. The Pre-cambrian gneiss and Jurassic granite underwent at least six distinct stages of fault movements based on deformation environment, time and mechanism. Each stage characterized by fault kinematics and dynamics at different deformation environment. Stage 1 generated mylonite series along the Keumwang shear zone by sinistral ductile shearing during late Jurassic and early Cretaceous. Stage 2 was a mostly brittle event generating cataclasite series superimposed on the mylonite series of the Keumwang shear zone. The roundness of pophyroclastes and the amount of matrix increase from host rocks to ultracataclasite indicating stronger cataclastic flow toward the fault core. At stage 3, fault gouge layer superimposed on the cataclasite generated during stage 2 and the sedimentary basins (Umsung and Pungam) formed along the fault by sinistral strike-slip movement. Fragments of older cataclasite suspended in the fault gouge suggest extensive reworking of fault rocks at brittle deformation environments. At stage 4, systematic en-echelon folds, joints and faults were formed in the sedimentary basins by sinistral strike-slip reactivation of the Keumwang fault. Most of the shearing is accommodated by slip along foliations and on discrete shear surfaces, while shear deformation tends to be relatively uniformly distributed within the fault damage zone developed in the mudrocks in the sedimentary basins. Fine-grained andesitic rocks intruded during stage 4. Stage 5 dextral strike-slip activity produced shear planes and bands in the andesitic rocks. ESR(Electron Spin Resonance) dates of fault gouge show temporal clustering within active period and migrating along the strike of the Keumwang fault during the stage 6 at the Quaternary period.