| dc.description.abstract |
Investment securities are always main topics in academic circle, industry or public. The issue of investment management is more and more important since FinTech has been discussed over the past few years. Most study in stock selection and market timing only surveyed in specific part, there was not only a few systematic and overall discussion in portfolio investment or profit and risk evaluation, but also a few study discussed the performance of combining program trading, portfolio investment and risk evaluation together. In this study, there are three research purposes. First, combining each process in investment securities to build an investment strategy process model. Second, discussing the performance of combining trading strategy, position sizing and style investment. Finally, providing an automatic return and risk evaluation platform for investors to use.
This study uses MultiCharts, Python, Microsoft SQL Server, Django and Plotly to implement this system. It includes three sub system, program trading strategy optimization sub system (optimizes the parameters of the technical analysis strategies), portfolio investment management sub system (creates the classification of portfolio investment) and profit and risk evaluation sub system (provides the performance of portfolio investment).
Mid-Cap 100 ETF in Taiwan Stock is representative and has enough number of stocks to verify this system. Channel strategy and moving average strategy are trend indicators in technical analysis, this study chooses them as experiment. Portfolio investment uses value, size, momentum and volatility effect in style investment. Portfolio in each effect is equally classified into five categories and invests different ratio of position sizing. Based on the fundamentals above, this study compares portfolio performance between the combination of stock selection and market timing (fundamental and technical analysis) and stock selection (fundamental analysis).
In this experiment, no matter which style investment and trading strategy, the performance of combination of stock selection and market timing is better than stock selection, the rate of return is higher and the risk is lower. This result proves that the combination of stock selection and market timing is feasible to use in investment trading and management. | en_US |