طراحی الگوی تعیین راهبردهای معاملاتی سهام با رویکرد مبتنی بر آینده‌پژوهی، تحلیل بنیادی، مهندسی ویژگیها و الگوریتم های یادگیری ماشین
الموضوعات :سید مجید موسوی انزهایی 1 , هاشم نیکو مرام 2
1 - گروه مدیریت مالی، واحد علوم و تحقیقات، دانشگاه آزاد اسلامی، تهران، ایران
2 - گروه مدیریت مالی، واحد علوم و تحقیقات، دانشگاه آزاد اسلامی، تهران، ایران
الکلمات المفتاحية: آینده‌پژوهی, راهبردهای معاملاتی, الگوریتم LGBM, قواعد معاملاتی خبرگان, سیگنالهای تابلوخوانی سهم,
ملخص المقالة :
سرمایه‌گذاران در بازار سهام همواره به دنبال روش های نوین و کارآمد جهت پیش بینی روند حرکت قیمت سهم و اتخاذ استراتژیهای معاملاتی مناسب بوده‌اند. این پژوهش با بهره‌گیری از مدلی مرکب از آینده پژوهی ، تحلیل بنیادی ، قواعد معاملاتی خبرگان و الگوریتم های یادگیری ماشین، الگویی جهت اتخاذ راهبردهای معاملاتی مناسب پیشنهاد می‌نماید. ابتدا با استفاده از نظر خبرگان وآینده پژوهی، سناریو های پیش روی بازار سهام طراحی و با انجام تحلیل بنیادی سبدی شامل شش سهم تشکیل می‌گردد . در مرحله بعد با استفاده از 7 الگوریتم یادگیری ماشین و داده های شرکت های منتخب در بازه زمانی 1393 تا 1398، مدلسازی جهت پیش بینی روند قیمت هر سهم منتخب صورت می‌گیرد. متغیرهای ورودی مدل شامل شاخص های تکنیکال، قواعد تکنیکال، قواعد تابلوخوانی و داده‌های معاملاتی سهم می‌باشد. نتایج نشان می‌دهد، بکارگیری الگوی پیشنهادی برای سرمایه گذاری در بازار سهام بازدهی بالاتری را نسبت به شاخص کل بورس تهران ایجاد می‌نماید. همچنین بکارگیری راهبردهای معاملاتی کوتاه مدت مبتنی بر سیگنالهای مدل آموزش داده شده توسط الگوریتم تقویت گرادیان سبک (LGBM)، بازدهی بالاتری را در مقایسه با استراتژیهای خرید - نگهداری و تکنیکال برای سبد سهام منتخب ارایه می دهد.
فهرست منابع
1) باجلان،سعید، فلاحپور، سعید، دانا، ناهید(1395)، پیش بینی روند تغییرات قیمت سهم با استفاده از ماشین بردار پشتیبان وزندهی شده و انتخاب ویژگی هیبرید به منظور ارائه استراتژی معاملاتی بهینه، راهبرد مدیریت مالی، شماره چهاردهم، پاییز 1395.
2) تهرانی، رضا، هندیجانی زاده، محمد، نوروزیان، عیسی(1394)، ارائه رویکرد جدید برای مدیریت فعال پرتفوی و انجام معاملات هوشمند سهام با تاکید بر نگرش انتخاب ویژگی، دانش سرمایه گذاری، شماره سیزدهم، بهار 1394.
3) راعی، رضا، حسینی، فرهنگ (1394)، مقایسه بازده خرید و فروش مبتنی بر نماگرهای تکنیکی و منطق فازی و روش ترکیبی الگوریتم ژنتیک منطق - فازی. مهندسی مالی و مدیریت اوراق بهادار. شماره بیست و چهارم، پائیز 1394.
4) رهنمای رودپشتی، فریدون، شیرین بیان، ندا(1395)، طراحی سبد سرمایه گذاری با استفاده از رویکرد سناریو نگری با بکارگیری روش برنامه ریزی بر پایه فرض، مهندسی مالی و مدیریت اوراق بهادار، شماره بیست و هشتم، پاییز 1395.
5) سارنج، علیرضا و همکاران(1399)، طراحی سیستم معاملات تکنیکی سهام با استفاده از مدل ترکیبی شیکه عصبی MLP و الگوریتم های تکاملی، دانش مالی و تحلیل اوراق بهادار.
6) شاه منصوری، اسفندیار(1396)، آزمون سبد اوراق بهادار مبتنی بر راهبردهای بنیادی، تکنیکی و شهودی با اهداف و ویژگیهای رفتاری سرمایه گذاران بورس اوراق بهادار تهران، دانش سرمایه گذاری، سال ششم، شماره زمستان 1396.
7) غلامیان، الهام، داودی، سید محمدرضا(1397)، پیش بینی روند قیمت در بازار سهام با استفاده از الگوریتم جنگل تصادفی، مهندسی مالی و مدیریت اوراق بهادار، شماره سی و پنجم.
8) فلاح پور، سعید، گل ارضی، غلام حسین، فتورچیان، ناصر( 1392)، پیش بینی روند حرکتی قیمت سهام با استفاده از ماشین بردار پشتیبان بر پایه الگوریتم ژنتیک در بورس اوراق بهادار. دوره 15،
9) مشاری، محمد، و همکاران (1398)، طراحی مدل هوشمند ترکیبی جهت پیش بینی نقاط طلایی قیمت سهام، دانش سرمایه گذاری، سال هشتم، شماره بیست و نهم.
10) Alipour, M., Hafezi, V., M. Amer, M., Akhavan. A.N. (2017). A new hybrid fuzzy cognitive map-based scenario planning approach for Iran's oil production pathways in the post-sanction period. Energy 135, 851-864.
11) Amer M, Daim TU, Jetter A.(2013). Scenario planning for the national wind energy Sector through Fuzzy Cognitive Maps. In: Portland international center for Management of engineering and technology (PICMET): technology management in the it-driven services, 2013. p. 2153e62. San Jose, CA.
12) Atsalakis, G.S., Valavanis, K.P., (2009). Surveying stock market forecasting techniques part II: soft computing methods, Expert Syst. Appl.36 (3), 5932-5941.
13) Barak, Sasan, Arjmand, Azadeh, Ortobelli, Sergio (2016). Fusion of Multiple Diverse Predictors in Stock Market. Journal of Information Fusion, Accepted Manuscript.
14) Chermack, T.J. (2005). Studying scenario planning: theory, research suggesti and hypotheses Technol. Forecast. Soc. Chang. 72 (1), 59–73.
15) Choudry,R, Grag, K. (2008). A Hybrid Machin Learning System for Stock Market Forecasting.Word Academy of Science, Engineering and Technology, 39.
16) Fama, E.-F., Blume, M.-E., (1966), Filter rules and stock market trading, J. Bus. 39 (1), 226–241.
17) Gulin, Ke, et.al, (2017), LightGBM: A Highly Efficient Gradient Boosting Decision Tree, Neural Information Processing Systems, 30.
18)Jing, Zhang, et.al.(2018), A novel data- driven stock price trend prediction system, Expert system with applications, 97,60 - 69.
19) Lawrence, R. (1997), Using Neural Networks to Forecast Stock Market Prices, 1-12.
20) Leung, M, T., Chen, A. S., & Daouk, H. (2000). Forecasting exchange rates general regression neural networks.
21) Nanni, L., & Lumini, A. (2009). An experimental comparison of ensemble of classi- fiers for bankruptcy prediction and credit scoring. Expert Systems with Applica- tions, 36, 3028–3033.
22) Pamučar, Ddragan, Ćirović, Goran, (2015), the selection of transport and handling resources in logistics centres using Multi-Attributive Border Approximation area Comparison (MABAC), Expert system with applications, 42, 3016- 3028
23) Patel, J, et.al. (2015). Predicting stock and stock price index movement using trend deterministic data preparation and machinelearnning techniques. Expert Systems with Applications, 42 (1), 259–268.
24) Shearer C. (2000), The CRISP-DM model: the new blueprint for data mining, J Data Warehousing (2000); 5:13—22.
25) Sarkar, Sobhan, et al. (2019), Application of optimized machine learning techniques for prediction of Occupational accidents,Computer & Operation research, 106, 210-224.
26) Shynkevich, Yauheniya, et al. (2017), forecasting price movements using technical indicators: Investigating the impact of varying input window length. Neurocomputing, 264 71–88.
27) Suryoday, Basak, et al., (2018), predicting the direction of stock market prices using tree-based classifiers, North American Journal of Economics and finance, In Press.
28) Trappey, C., Shin, T. and Trappey, A. (2007), “Modeling international investment decisions for financial holding companies”, European Journal of Operational Research, Vol. 180, pp. 800-14.
29) Xiaolei, Sun, Mingxi, Liu , Zeqian, Sima, (2020). A novel cryptocurrency price trend forecasting model base on LightGBM, Finance Research Letters, 32.
30) Xiao-dan Z., Ang L., Ran P., (2016), Stock trend prediction based on a new status box method and AdaBoost probabilistic support vector machine, Journal of Applied Soft Computing, 385-398.
31) Yufei, Xia, Chuanzhe, liu, YuYing, Li, Nana, Liu, (2017). Aboosted decision tree approach using Bayesian hyper_parameter optimization for credit scoring, Expert System with Application, 78, 225-241.
_||_) Bajlan, Saeed, Fallahpour, Saeed, Dana, Naheed (2016), predicting the trend of share price changes using weighted support vector machine and choosing hybrid features in order to provide an optimal trading strategy, financial management strategy, 14th issue, autumn 2015.
2) Tehrani, Reza, Handijanizadeh, Mohammad, Norouzian, Isa (2014), presenting a new approach for active portfolio management and making smart stock transactions with an emphasis on the attitude of feature selection, Investment Knowledge, No. 13, Spring 2015.
3) Rai, Reza, Hosseini, Farhang (2014), comparing buying and selling efficiency based on technical indicators and fuzzy logic and the combined method of genetic algorithm-fuzzy logic. Financial engineering and securities management. Number twenty-four, autumn 2014.
4) Rahnema Roudpashti, Fereydoun, Shirin Bayan, Neda (2015), Designing an investment portfolio using a scenario approach using the planning method based on assumptions, financial engineering and securities management, number twenty-eight, autumn 2015.
5) Saranj, Alireza et al. (2019), Designing a technical stock trading system using MLP neural network hybrid model and evolutionary algorithms, financial knowledge and securities analysis.
6) Shah Mansouri, Esfandiar (2016), the test of the portfolio of securities based on fundamental, technical and intuitive strategies with the goals and behavioral characteristics of Tehran Stock Exchange investors, Investment Knowledge, 6th year, winter issue of 2016.
7) Gholamian, Elham, Davodi, Seyed Mohammad Reza (2017), forecasting the price trend in the stock market using the random forest algorithm, financial engineering and securities management, number 35.
8) Fallahpour, Saeed, Gol Arzi, Gholam Hossein, Faturchian, Nasser (2013), predicting the stock price trend using support vector machine based on genetic algorithm in the stock exchange. period 15,
9) Mashari, Mohammad, et al. (2018), Designing a hybrid intelligent model to predict the golden points of stock prices, Investment Knowledge, 8th year, 29th issue.
10) Alipour, M., Hafezi, V., M. Amer, M., Akhavan. A.N. (2017). A new hybrid fuzzy cognitive map-based scenario planning approach for Iran's oil production pathways in the post-sanction period. Energy 135, 851-864.
11) Amer M, Daim TU, Jetter A.(2013). Scenario planning for the national wind energy Sector through Fuzzy Cognitive Maps. In: Portland international center for Management of engineering and technology (PICMET): technology management in the it-driven services, 2013. p. 2153e62. San Jose, CA.
12) Atsalakis, G.S., Valavanis, K.P., (2009). Surveying stock market forecasting techniques part II: soft computing methods, Expert Syst. Appl.36 (3), 5932-5941.
13) Barak, Sasan, Arjmand, Azadeh, Ortobelli, Sergio (2016). Fusion of Multiple Diverse Predictors in Stock Market. Journal of Information Fusion, Accepted Manuscript.
14) Chermack, T.J. (2005). Studying scenario planning: theory, research suggesti and hypotheses Technol. Forecast. Soc. Chang. 72 (1), 59–73.
15) Choudry,R, Grag, K. (2008). A Hybrid Machin Learning System for Stock Market Forecasting.Word Academy of Science, Engineering and Technology, 39.
16) Fama, E.-F., Blume, M.-E., (1966), Filter rules and stock market trading, J. Bus. 39 (1), 226–241.
17) Gulin, Ke, et.al, (2017), LightGBM: A Highly Efficient Gradient Boosting Decision Tree, Neural Information Processing Systems, 30.
18)Jing, Zhang, et.al.(2018), A novel data- driven stock price trend prediction system, Expert system with applications, 97,60 - 69.
19) Lawrence, R. (1997), Using Neural Networks to Forecast Stock Market Prices, 1-12.
20) Leung, M, T., Chen, A. S., & Daouk, H. (2000). Forecasting exchange rates general regression neural networks.
21) Nanni, L., & Lumini, A. (2009). An experimental comparison of ensemble of classi- fiers for bankruptcy prediction and credit scoring. Expert Systems with Applica- tions, 36, 3028–3033.
22) Pamučar, Ddragan, Ćirović, Goran, (2015), the selection of transport and handling resources in logistics centres using Multi-Attributive Border Approximation area Comparison (MABAC), Expert system with applications, 42, 3016- 3028
23) Patel, J, et.al. (2015). Predicting stock and stock price index movement using trend deterministic data preparation and machinelearnning techniques. Expert Systems with Applications, 42 (1), 259–268.
24) Shearer C. (2000), The CRISP-DM model: the new blueprint for data mining, J Data Warehousing (2000); 5:13—22.
25) Sarkar, Sobhan, et al. (2019), Application of optimized machine learning techniques for prediction of Occupational accidents,Computer & Operation research, 106, 210-224.
26) Shynkevich, Yauheniya, et al. (2017), forecasting price movements using technical indicators: Investigating the impact of varying input window length. Neurocomputing, 264 71–88.
27) Suryoday, Basak, et al., (2018), predicting the direction of stock market prices using tree-based classifiers, North American Journal of Economics and finance, In Press.
28) Trappey, C., Shin, T. and Trappey, A. (2007), “Modeling international investment decisions for financial holding companies”, European Journal of Operational Research, Vol. 180, pp. 800-14.
29) Xiaolei, Sun, Mingxi, Liu , Zeqian, Sima, (2020). A novel cryptocurrency price trend forecasting model base on LightGBM, Finance Research Letters, 32.
30) Xiao-dan Z., Ang L., Ran P., (2016), Stock trend prediction based on a new status box method and AdaBoost probabilistic support vector machine, Journal of Applied Soft Computing, 385-398.
31) Yufei, Xia, Chuanzhe, liu, YuYing, Li, Nana, Liu, (2017). Aboosted decision tree approach using Bayesian hyper_parameter optimization for credit scoring, Expert System with Application, 78, 225-241.
کل
1) Bajlan, Saeed, Fallahpour, Saeed, Dana, Naheed (2016), predicting the trend of share price changes using weighted support vector machine and choosing hybrid features in order to provide an optimal trading strategy, financial management strategy, 14th issue, autumn 2015.
2) Tehrani, Reza, Handijanizadeh, Mohammad, Norouzian, Isa (2014), presenting a new approach for active portfolio management and making smart stock transactions with an emphasis on the attitude of feature selection, Investment Knowledge, No. 13, Spring 2015.
3) Rai, Reza, Hosseini, Farhang (2014), comparing buying and selling efficiency based on technical indicators and fuzzy logic and the combined method of genetic algorithm-fuzzy logic. Financial engineering and securities management. Number twenty-four, autumn 2014.
4) Rahnema Roudpashti, Fereydoun, Shirin Bayan, Neda (2015), Designing an investment portfolio using a scenario approach using the planning method based on assumptions, financial engineering and securities management, number twenty-eight, autumn 2015.
5) Saranj, Alireza et al. (2019), Designing a technical stock trading system using MLP neural network hybrid model and evolutionary algorithms, financial knowledge and securities analysis.
6) Shah Mansouri, Esfandiar (2016), the test of the portfolio of securities based on fundamental, technical and intuitive strategies with the goals and behavioral characteristics of Tehran Stock Exchange investors, Investment Knowledge, 6th year, winter issue of 2016.
7) Gholamian, Elham, Davodi, Seyed Mohammad Reza (2017), forecasting the price trend in the stock market using the random forest algorithm, financial engineering and securities management, number 35.
8) Fallahpour, Saeed, Gol Arzi, Gholam Hossein, Faturchian, Nasser (2013), predicting the stock price trend using support vector machine based on genetic algorithm in the stock exchange. period 15,
9) Mashari, Mohammad, et al. (2018), Designing a hybrid intelligent model to predict the golden points of stock prices, Investment Knowledge, 8th year, 29th issue.
10) Alipour, M., Hafezi, V., M. Amer, M., Akhavan. A.N. (2017). A new hybrid fuzzy cognitive map-based scenario planning approach for Iran's oil production pathways in the post-sanction period. Energy 135, 851-864.
11) Amer M, Daim TU, Jetter A.(2013). Scenario planning for the national wind energy Sector through Fuzzy Cognitive Maps. In: Portland international center for Management of engineering and technology (PICMET): technology management in the it-driven services, 2013. p. 2153e62. San Jose, CA.
12) Atsalakis, G.S., Valavanis, K.P., (2009). Surveying stock market forecasting techniques part II: soft computing methods, Expert Syst. Appl.36 (3), 5932-5941.
13) Barak, Sasan, Arjmand, Azadeh, Ortobelli, Sergio (2016). Fusion of Multiple Diverse Predictors in Stock Market. Journal of Information Fusion, Accepted Manuscript.
14) Chermack, T.J. (2005). Studying scenario planning: theory, research suggesti and hypotheses Technol. Forecast. Soc. Chang. 72 (1), 59–73.
15) Choudry,R, Grag, K. (2008). A Hybrid Machin Learning System for Stock Market Forecasting.Word Academy of Science, Engineering and Technology, 39.
16) Fama, E.-F., Blume, M.-E., (1966), Filter rules and stock market trading, J. Bus. 39 (1), 226–241.
17) Gulin, Ke, et.al, (2017), LightGBM: A Highly Efficient Gradient Boosting Decision Tree, Neural Information Processing Systems, 30.
18)Jing, Zhang, et.al.(2018), A novel data- driven stock price trend prediction system, Expert system with applications, 97,60 - 69.
19) Lawrence, R. (1997), Using Neural Networks to Forecast Stock Market Prices, 1-12.
20) Leung, M, T., Chen, A. S., & Daouk, H. (2000). Forecasting exchange rates general regression neural networks.
21) Nanni, L., & Lumini, A. (2009). An experimental comparison of ensemble of classi- fiers for bankruptcy prediction and credit scoring. Expert Systems with Applica- tions, 36, 3028–3033.
22) Pamučar, Ddragan, Ćirović, Goran, (2015), the selection of transport and handling resources in logistics centres using Multi-Attributive Border Approximation area Comparison (MABAC), Expert system with applications, 42, 3016- 3028
23) Patel, J, et.al. (2015). Predicting stock and stock price index movement using trend deterministic data preparation and machinelearnning techniques. Expert Systems with Applications, 42 (1), 259–268.
24) Shearer C. (2000), The CRISP-DM model: the new blueprint for data mining, J Data Warehousing (2000); 5:13—22.
25) Sarkar, Sobhan, et al. (2019), Application of optimized machine learning techniques for prediction of Occupational accidents,Computer & Operation research, 106, 210-224.
26) Shynkevich, Yauheniya, et al. (2017), forecasting price movements using technical indicators: Investigating the impact of varying input window length. Neurocomputing, 264 71–88.
27) Suryoday, Basak, et al., (2018), predicting the direction of stock market prices using tree-based classifiers, North American Journal of Economics and finance, In Press.
28) Trappey, C., Shin, T. and Trappey, A. (2007), “Modeling international investment decisions for financial holding companies”, European Journal of Operational Research, Vol. 180, pp. 800-14.
29) Xiaolei, Sun, Mingxi, Liu , Zeqian, Sima, (2020). A novel cryptocurrency price trend forecasting model base on LightGBM, Finance Research Letters, 32.
30) Xiao-dan Z., Ang L., Ran P., (2016), Stock trend prediction based on a new status box method and AdaBoost probabilistic support vector machine, Journal of Applied Soft Computing, 385-398.
31) Yufei, Xia, Chuanzhe, liu, YuYing, Li, Nana, Liu, (2017). Aboosted decision tree approach using Bayesian hyper_parameter optimization for credit scoring, Expert System with Application, 78, 225-241.
