| dc.description.abstract | Stock investment is a high risk, high reward investment behavior. It is the main method of investments. There are many study focused on fundamental analysis and technical analysis in stock market. They hope to find the investment model which is more stable and make more excess returns.
In actual trading situation, investment decisions of investors will be influenced by many factors. This situation make investment to be worthless and much unstable. Therefore, many investors are turn to using program trading. Program trading use program languages to define the conditions of buying and selling products and execute trading automatically. This can avoid problems caused by human investment.
Richard Tortoriello, who was senior analyst in Standard & Poor, published the book “Quantitative Strategies for Achieving Alpha” in 2009. This book described a quantitative investment method to analyze the whole American stock market. Tortoriello’s stock selection model use fundamental factors to rank companies, and divided them into 5 parts each year. Each part is one portfolio. It buy and hold portfolio every year. Finally, Tortoriello compare the trading performance of every stock selection model. This book analyze the correlation between fundamental factors and trading performance. Generally, investors have no enough resources to trade according to Tortoriello’s stock selection model. First, there are almost four hundreds stocks need to hold in one portfolio in each year. Second, investors need to hold these portfolios in many years.
This study cooperate with Ryan Huang’s study “Combining Stock Selection Model and Program Trading to Design and Implement an Analyzing Platform. Using Taiwan Stock Data for initial Verification” to design and implement an analyzing platform based on Tortoriello’s stock selection model. The purpose of this study is combing commercial software, including MultiCharts and SQL Server, to implement the platform integrated market timing model and stock selection model. This study use American stock data for initial verification of analyzing platform. Besides, this study combine the factor of program trading into Tortoriello’s stock selection model, and try to cut down the number of stocks need to hold in portfolio of Tortoriello’s stock selection model.
There were few study experiment the trading performance about using fundamental factors into trading strategy, and use quantitative investment method to compute its trading performance in the past. Therefore, second contribution of this study is to program two DLLs and execute them in MultiCharts. These DLLs let MultiCharts can run the trading strategy which is using fundamental factors. This study use Portfolio Trader to execute quantitatively back testing. This will use American stock data for system verification. Otherwise, this study divide the optimization process of trading strategy into two parts. This two detail process translate the exponent complexity of optimization process into polynomial complexity of optimization process.
This study use “free cash flow to price” to initial verify this analyzing platform. Compare to Tortoriello’s stock selection model, the trading performance of integrated model of market timing model and stock selection model is higher 29.5% than the trading performance of Tortoriello’s stock selection model. The result of experiment shows that an analyzing platform developed by this study can calculate the performance of stock selection model, and can implement Tortoriello’s stock selection model and integrated model of market timing model and stock selection model. | en_US |