在現今低利率的時代，銀行利息遠不如股票獲利，而投資股票必須要能準確地掌握適當的買賣股票時間點才能獲利，這對資訊有限之投資散戶而言相當困難。因此，本研究之主要目的是針對一般投資散戶皆可獲得之 股票資訊及技術指標，建立一套股票買賣決策系統，以增加獲利之機會或降低投資風險。本研究首先應用累積和管制圖(Cumulative Sum, CUSUM)之參數設計，來建構ー套適用於監控股價變化之管制圖，並找出適合股票買賣之價格區間，然後再根據CUSUM管制圖所得之資訊，應用自組性演算法(Group Method of Data Handling, GMDH)來預測股價未來之走勢，進而建立一套股票買賣決策系統。本研究最後利用台灣五十成分股中之十支股票資訊來説明本研究方法確實有效。

In recent years, the bank deposit interest rate is much lower than the profit from stock investment. However, stock investors must know the proper timing of buying and selling stocks to gain high profit. The retail investor usually has very limited information on stocks, therefore it is difficult for them to determine the proper timing for buying or selling stocks. The main objective of this study is to utilize the information of stock prices and technical indices which a retail investor can easily obtain to construct a stock trading decision system. First, a Cumulative Sum (CUSUM) Control Chart is constructed to monitor the stock prices efficiently and a price interval of a stock is obtained from the control chart to determine the proper timing for buying or selling a stock. Group Method of Data Handling (GMDH) is then employed to forecast the trend of stock prices in the future based on the information contained in the CUSUM control chart. The proposed stock trading decision system is constructed by integrating the CUSUM control chart of stock prices and GMDH prediction model. Finally, ten Taiwanese stocks are utilized to demonstrate the effectiveness of the proposed method.