The 2nd KRX Stock Investment Algorithm Competition

OpenDartReader(https://github.com/FinanceData/OpenDartReader)를 활용하여, Open DART(https://opendart.fss.or.kr/)에서 제공하는 사업보고서 재무제표 데이터를 2022년까지 최근 5년 데이터를 수집하고, 주요 재무비율과 변화율을 변수로 생성하였습니다. 대회에서 제시된 주식 가격 데이터와 결합하고 모델의 Input 값으로는 과거 15일 동안의 데이터를 시계열로 추출하고, Target 값으로 향후 15일 동안의 주가수익률을 해당 기간의 변동성으로 나눈 값을 정의하여 사용했습니다. 2000개 종목에 대해서 각 종목별로 Conv1D를 활용한 CNN 모델을 각각 학습하고 예측한 결과를 제출했습니다. 

구글 드라이브 파일 공유: https://drive.google.com/drive/folders/1xOgv7x9U82_FbpqLmFmeo_Dis-3cxlWD?usp=sharing