Automatiserad aktieanalys baserad på kombinerade tekniska analysmetoder
2014
The project examines the possibility of creating an economic system with
a higher yield than market index. For this purpose, a model based on
combinations of known technical analysis methods is created. The model
conducts trades in accordance with the signals generated by the analysis
methods and is evaluated through comparison to an index portfolio, which
is composed by an even distribution of the same 35 stocks available to the
model. The result is deemed successful if the value of the system portfolio
surpasses the value of the index portfolio measured at the same point in
time.
A combined model is created based on the weightings of the implemented
analysis methods, according to their expected profitability after they have
been parametrically optimized. A portfolio manager, that determines
which stock is to be traded and the amount of shares for each trade, is
constructed according to these weightings. The system created based on
this model showed a successful result, after being tested and validated
on two independent time periods. The time it took the system to show
a successful result was relatively long, and the results presented in this
thesis encourages further development of the model.
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