Development of trading strategies using fundamental and technical analysis in SGX
Fundamental and technical analysis are the two pillars of stock analysis. Fundamental analysis helps us identify stocks that are worthy of investments. Technical analysis gives us insights in the trend of stock prices and helps us determine entry and exit points. This study combined both approach...
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sg-ntu-dr.10356-1578242023-07-07T19:05:03Z Development of trading strategies using fundamental and technical analysis in SGX Pan, Zhijin Wong Jia Yiing, Patricia School of Electrical and Electronic Engineering EJYWong@ntu.edu.sg Engineering::Electrical and electronic engineering Business::Finance::Stock exchanges Fundamental and technical analysis are the two pillars of stock analysis. Fundamental analysis helps us identify stocks that are worthy of investments. Technical analysis gives us insights in the trend of stock prices and helps us determine entry and exit points. This study combined both approaches to form stock market strategy. Fundamental analysis was used to filter out five stocks with strong growth potential in Food & Beverage Sector in SGX. After that, Long Short-Term Memory (LSTM) network was used to predict future prices of the selected stocks. In terms of feature engineering, Least Absolute Shrinkage and Selection Operator (LASSO) and Principal Component Analysis (PCA) were used to reduce the dimension of the input data. With predictions in future stock prices, a trading strategy was tested on historical data of the five stocks and achieved an average 28.3% annualized rate of return. This study first shows that use of dimensionality reduction method LASSO enhances the accuracy of the LSTM model and gives good predictions on stock prices. Secondly, it proves that machine learning models can be useful in generating rewarding trading strategies in real life. Lastly, this study demonstrates that it is not only feasible but also powerful to incorporate fundamental and technical analysis. Bachelor of Engineering (Electrical and Electronic Engineering) 2022-05-24T04:47:11Z 2022-05-24T04:47:11Z 2022 Final Year Project (FYP) Pan, Z. (2022). Development of trading strategies using fundamental and technical analysis in SGX. Final Year Project (FYP), Nanyang Technological University, Singapore. https://hdl.handle.net/10356/157824 https://hdl.handle.net/10356/157824 en A1176-211 application/pdf Nanyang Technological University |
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Engineering::Electrical and electronic engineering Business::Finance::Stock exchanges Pan, Zhijin Development of trading strategies using fundamental and technical analysis in SGX |
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Fundamental and technical analysis are the two pillars of stock analysis. Fundamental
analysis helps us identify stocks that are worthy of investments. Technical analysis gives
us insights in the trend of stock prices and helps us determine entry and exit points. This
study combined both approaches to form stock market strategy. Fundamental analysis was
used to filter out five stocks with strong growth potential in Food & Beverage Sector in
SGX. After that, Long Short-Term Memory (LSTM) network was used to predict future
prices of the selected stocks. In terms of feature engineering, Least Absolute Shrinkage and
Selection Operator (LASSO) and Principal Component Analysis (PCA) were used to
reduce the dimension of the input data. With predictions in future stock prices, a trading
strategy was tested on historical data of the five stocks and achieved an average 28.3%
annualized rate of return.
This study first shows that use of dimensionality reduction method LASSO enhances the
accuracy of the LSTM model and gives good predictions on stock prices. Secondly, it
proves that machine learning models can be useful in generating rewarding trading
strategies in real life. Lastly, this study demonstrates that it is not only feasible but also
powerful to incorporate fundamental and technical analysis. |
author2 |
Wong Jia Yiing, Patricia |
author_facet |
Wong Jia Yiing, Patricia Pan, Zhijin |
format |
Final Year Project |
author |
Pan, Zhijin |
author_sort |
Pan, Zhijin |
title |
Development of trading strategies using fundamental and technical analysis in SGX |
title_short |
Development of trading strategies using fundamental and technical analysis in SGX |
title_full |
Development of trading strategies using fundamental and technical analysis in SGX |
title_fullStr |
Development of trading strategies using fundamental and technical analysis in SGX |
title_full_unstemmed |
Development of trading strategies using fundamental and technical analysis in SGX |
title_sort |
development of trading strategies using fundamental and technical analysis in sgx |
publisher |
Nanyang Technological University |
publishDate |
2022 |
url |
https://hdl.handle.net/10356/157824 |
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1772829142243344384 |