A hybrid stock trading strategy based on fundamental and technical analysis

被引：0

作者：

Simutis, Rimvydas ^{[1
]}

Masteika, Saulius ^{[1
]}

机构：

[1] Vilnius State Univ, Fac Human, LT-44280 Kaunas, Lithuania

来源：

PROCEEDINGS OF THE 2006 SEVENTH INTERNATIONAL BALTIC CONFERENCE ON DATABASES AND INFORMATION SYSTEMS (BALTIC DB&IS 2006) | 2006年

关键词：

D O I：

暂无

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

A contribution of this paper lies in novel combination of fundamental and technical analysis for creation of hybrid stock trading strategy. The proposed strategy consists of two steps: on the first step the stock screening tools are used to select stocks that meet certain fundamental criteria; on the second step technical analysis for the selected stocks is applied and highest ranked stocks are recommended for the trader's portfolio. These stocks are being hold for fixed time interval then sold and replaced with the new ones with the highest rank. The proposed hybrid trading strategy was tested using historical data records from the USA stock market (2005-2006). The trading strategy had given significantly higher returns if compared to the benchmark (SP500) and to the results of trading strategy based only on technical analysis.

引用

页码：113 / 121

页数：9

共 50 条

[1] A hybrid stock trading system for intelligent technical analysis-based equivolume charting
Chavarnakul, Thira
Enke, David
[J]. NEUROCOMPUTING, 2009, 72 (16-18) : 3517 - 3528
[2] Analysis of profitability of cryptocurrencies trading strategy based on technical analysis
Quang Van Tran
Kukal, Jaromir
[J]. 39TH INTERNATIONAL CONFERENCE ON MATHEMATICAL METHODS IN ECONOMICS (MME 2021), 2021, : 499 - 504
[3] Stock trading system based on formalized technical analysis and ranking technique
Masteika, Saulius
Simutis, Rimvydas
[J]. COMPUTATIONAL SCIENCE - ICCS 2006, PT 4, PROCEEDINGS, 2006, 3994 : 332 - 339
[4] FUNDAMENTAL AND TECHNICAL ANALYSIS ON CROATIAN STOCK MARKET
Caljkusic, Veronika
[J]. CROATIAN OPERATIONAL RESEARCH REVIEW, 2011, 2 (01) : 71 - 80
[5] FUNDAMENTAL AND TECHNICAL ANALYSIS ON CROATIAN STOCK MARKET
Caljkusic, Veronika
[J]. CROATIAN OPERATIONAL RESEARCH REVIEW (CRORR), VOL 2, 2011, 2 : 71 - 80
[6] Technical and Fundamental Trading in the Chinese Stock Market: Evidence Based on Time-Series and Panel Data
Moosa, Imad
Li, Larry
[J]. EMERGING MARKETS FINANCE AND TRADE, 2011, 47 (01) : 23 - 31
[7] A HYBRID INTELLIGENT MODEL USING TECHNICAL AND FUNDAMENTAL ANALYSIS TO FORECASTING STOCK PRICE INDEX
Shavandi, Hassan
Alizadeh, Parisa
[J]. ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, 2010, 44 (02): : 95 - 112
[8] Stock Trading Alert with fuzzy knowledge-based systems and technical analysis
Ahmad, Mahfudh
Soeparno, Haryono
Napitupulu, Togar Alam
[J]. 2020 INTERNATIONAL CONFERENCE ON INFORMATION TECHNOLOGY SYSTEMS AND INNOVATION (ICITSI), 2020, : 155 - 160
[9] Fundamental analysis of stock trading systems using classification techniques
Cheng, Ching-Hsue
Chen, You-Shyang
[J]. PROCEEDINGS OF 2007 INTERNATIONAL CONFERENCE ON MACHINE LEARNING AND CYBERNETICS, VOLS 1-7, 2007, : 1377 - 1382
[10] Fundamental analysis and technical analysis integrated system for stock filtration
Narissara Eiamkanitchat
Theerasak Moontuy
Sakgasit Ramingwong
[J]. Cluster Computing, 2017, 20 : 883 - 894

← 1 2 3 4 5 →