Systematic multi-factor trading strategy based on SGX market

• Main Author: Cen, Yu
• Other Authors: Wong Jia Yiing, Patricia
• Format: Final Year Project
• Language: English
• Published: Nanyang Technological University 2023
• Subjects: Engineering::Electrical and electronic engineering
• Online Access: https://hdl.handle.net/10356/167306
• Institution: Nanyang Technological University

Numerous studies have been conducted over the years in an attempt to identify profitable trading strategies for financial markets. However, the high level of efficiency in larger markets, such as the US stock market, has led to such strategies being quickly exploited by investors and arbitrageurs. In contrast, smaller markets, such as the SGX, are thought to contain more inefficiencies, providing opportunities for profitable trading strategies. The objective of this project is to develop a systematic trading strategy for SGX stocks, utilizing a combination of traditional approaches such as fundamental and technical analysis, as well as quantitative approaches like statistical analysis. The aim is to create a robust and profitable strategy that performs well in both back tests and real market conditions.