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- Type of Document: M.Sc. Thesis
- Language: Farsi
- Document No: 56318 (01)
- University: Sharif University of Technology
- Department: Industrial Engineering
- Advisor(s): Khedmati, Majid
- Abstract:
- Since investing in the stock market is always known as one of the ways to increase capital, many researches have been done in the field of portfolio selection in order to provide methods to earn more profit and control investment risk. One of the influential factors in increasing the profit from the portfolio is the proper prediction of future of shares. Therefore, in many research, various methods and tools have been used to predict the future of shares more accurately. One of these tools is forecasting the market regime. In this research, harmonic patterns have been used to predict the market regime. Also, based on the harmonic patterns, the scope of entry into the transaction, the expected return of each share, and a way for monitoring the transactions have been determined. At the end of each month, the shares that are susceptible to upward growth in the next month are identified, and during the month, the shares whose prices enter , the scope of entry are purchased. In this research, unlike the previous researches, the time of selling the purchased shares is not only the end of the investment horizon, and during the investment horizon, decisions are made about selling or keeping them continuously.
The results of the implementation of the presented model, in the two time periods of 2018 to 2020 and 2021 to 2023, based on three criteria of cumulative profit, the ratio of maximum drawup to maximum drawdown and the ratio of cumulative profit maximum drawdown, have been compared with six commonly used methods. The results show that since in this model harmonic patterns are used to predict the future regime of each share and the expected return of each share is determined using harmonic patterns, the cumulative profit and the maximum drawup of the portfolio are formed. Also, since the time to buy shares is not the beginning of the investment horizon, contrary to previous studies, and the shares are bought if their price is within a certain range, the portfolio is superior according to the criteria of maximum drawup and cumulative profit. In addition, since the time of selling the purchased shares is not limited to the end of the investment horizon, and according to the method described under the title of transactions monitoring, the shares may be sold before the end of the investment horizon, the portfolio achieves superiority in the criteria of cumulative profit and maximum drawdown - Keywords:
- Stock Selection ; Stock Portfolio ; Fibonacci Anyon ; Market Regime ; Harmonic Patterns ; Portfolio Selection Problem ; Burse
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