Investing strategy analysis of applying Ant colony optimization system to Taiwan stock market

This paper takes the ant colony optimization system to design and construct investing strategy. In the model, we take the 50 component stocks of Taiwan as the chosen sample; the study period is between 2008/01/22 and 2008/03/12. Use turnover volume of each stock in history data as pheromone accumulating message in this system; apply the function value of RSI (Repetitive Strain Injury) to represent the visibility of each stock, to analyze the investing strategies. The research shows: the profit gaining performance of this system is prior to standard system; and the lower pheromone evaporation rate will lead to the better investing performance.