| dc.description.abstract | We always concern about how to make profits stably on the stock market. Along with the development of financial technology, it seems no longer out of reach. In the past, most of investment in stocks field focused on stock selection, market timing, profit, risk evaluation and applied a single strategy on a single stock. They lacked of a program trading which make us change strategy and stock easily and it should be more fast, easy to comprehend and also could show more detail information to us. Therefore, this study is dedicated to build an integrated system including stock selection, equal divided method based on fundamental factors, core trading strategies, different ways of investment and number of shares held. We want to combine all of these aspects to analyze and show the result automatically to make users can understand and compare the result simply.
The system utilizes Amibroker, Python, MySQL and Django to implement. And it could be divided by several parts including sort ten different fundamental factors, make batch files to allow Amibroker to conduct multi-variables and multi-stock automated backtest and output as csv files. Finally, we can display the results of profit and risk analysis on the Django website.
This study research on Taiwan stocks from January 1, 2010 to December 31, 2017. According to different fundamental factors, the stock will be divided into ten parts by using equal divided method. In addition, quarterly reports are used, we’ll re-order all stocks for each season and then decide which part of it should be buy or not. In terms of strategy, we compare Buy and Hold with Keltner Channel, and then with different capital investment methods and the number of shares held for comprehensive comparison to find out what’s the most effective fundamental factors in different configurations.
The result of the study shows that there are several fundamental factors that are highly relevant in rank and profit which means that choosing the best group of appropriate fundamental indicators as the basic of portfolio will indeed have greater benefits. Beside, come with proper Keltner Channle will make greater net profit and reduce the maximum drawdown effectively. In addition, the study provides a framework and process to make it easily in the future if we want to add a new fundamental indicator, strategy, investment method, etc., we can easily apply to this system and complete the analysis. | en_US |