market data

First of all, we need to declare the Time Series concept. It is a kind of data structure showing the development of historical data by the order of time. As for Time Series Model, it is applied to analyze time series data. Further, by this model, we manage to find high-likelihood trend and make forecasting.

Analyze the source of portfolio performance Highlights Preface Portfolio’s performance is affected by many factors. It is not easy for us to clearly distinguish whether the performance is due to the rise in the market, the stock selection ability of traders, or the proper allocation of assets or industries? Therefore, we can use the performance […]

Use common technical indicators to backtesting Highlights Preface Relative strength index (RSI) is the momentum technical indicator. It is usually used as an oscillator interval to evaluate overbought or oversold condition by measuring recent trend of price movements. Following is the way to calculate this indicator: Criterion of RSI: RSI’s Deactivation: Gain and loss is […]

Analyze the relationship between the company’s earnings management and the earnings-price ratio group Preface Investors care about earnings which is one of the key indicators. future earnings trends will affect investors’ willingness to hold stocks. If investors expect an increase in the company’s earnings, they will improve their willingness to hold stocks. Earnings can be […]

Backtesting and stock-picking strategy with machine learning Highlights Preface To put it simply, random forest is one of algorithms made up of many decision trees with the adoption of bagging and random sampling. Since it’s based on CART algorithm, it can handle both classification and continuous data. Other advantages such as its comparability with high […]

Does the weights setting affects the performance of the two-factor portfolio? Preface The common weights settings are equal-weighted and capitalization-weighted. The former treats all factors as the same, assigns equal weights to different factors, and synthesizes new factor values; the latter weights individual factors with capitalization-weighted to synthesize new factor values at first, assign different […]

KD indicator is one of the commonly-used indicators in technical analysis. It’s mainly used for judging the current strength of stock price or possible timing of reversing. Following is the way to calculate this indicator

Use algorithm to learn the investment factors and predict returns. Highlights Preface We talked about how to create new enviornment and install XGBoost last time. If you haven’t read it yet, please click this link. In this article we will make some preprocessing on data. Then train the model to predict the stock returns and try […]

Use free database to do backtesting Highlights Preface MACD, standing for moving average convergence divergence, can be used to identify the medium-term and long-term trend of stock price. If the fast line (DIF) crosses from below to above the slow line(MACD), indicating there’s an upside momentum. On the contrary, when the fast line crosses from […]

The gambling trading strategy. Highlights Preface 「Martingale Strategy」is a popular way of gambling since 18th century. The main method is to double the next bet when we lose this time. By this strategy, if we win the next bet, not only recover previous losses, but also get rewards for the first bet. It sound like […]

To construct a portfolio based on Jim Slater’s principle Preface Jim Slater is one of the well-known U.K. investors. He used to write column articles of portfolio recommendation for Sunday Telegraph and was famous for earning around 68.9% return during the period between 1963 to 1965, while the U.K. stock market only grew at 3.6% […]

In the last two articles, we’ve introduced the three major institutional investors in Taiwan. Now we are heading to share the calculation methods of Dealers’ shareholding ratio.