Designing a Trading Strategy to Buy and Sell the Stock of Companies Listed on the New York Stock Exchange Based on Classification Learning Algorithms

محورهای موضوعی : Financial Engineering

Nasser Heydari ¹ , Majid Zanjirdar ² , Ali Lalbar ³

1 - Department of Finance , Arak Branch, Islamic Azad University, Arak, Iran
2 - Department of Finance , Arak Branch, Islamic Azad University, Arak, Iran
3 - Department of Accounting, Arak Branch, Islamic Azad University, Arak, Iran

تاریخ دریافت : 1401/06/15 تاریخ پذیرش : 1401/09/24 تاریخ انتشار : 1403/02/08

کلید واژه: Trading Strategy , Machine Learning, Classification Algorithms,

چکیده مقاله :

This research investigated the development of a stock trading strategy for companies on the New York Stock Exchange (NYSE), a prominent global market. Data was acquired from established libraries and the Yahoo Finance database. The model employed technical analysis indicators and oscillators as input features. Machine learning classification algorithms were used to design trading strategies, and the optimal model was identified based on statistical performance metrics. Accuracy, recall, and F-measure were utilized to evaluate the classification algorithms. Additionally, advanced statistical methods and various software tools were implemented, including Python, Spyder, SPSS, and Excel. The Kruskal-Wallis test was employed to assess the statistical differences between the designed strategies. A sample of 41 actively traded NYSE companies across diverse sectors such as financial services, healthcare, technology, communication services, consumer cyclicals, consumer staples, and energy were chosen using a filter-based approach on June 28th, 2021. The selection criteria included a market capitalization exceeding $200 billion and an average daily trading volume surpassing 1 million shares. Evaluation metrics revealed that the designed random forest trading strategy achieved a good fit with the data and exhibited statistically significant differences from other strategies based on classification learning algorithm.

چکیده انگلیسی:

This research investigated the development of a stock trading strategy for companies on the New York Stock Exchange (NYSE), a prominent global market. Data was acquired from established libraries and the Yahoo Finance database. The model employed technical analysis indicators and oscillators as input features. Machine learning classification algorithms were used to design trading strategies, and the optimal model was identified based on statistical performance metrics. Accuracy, recall, and F-measure were utilized to evaluate the classification algorithms. Additionally, advanced statistical methods and various software tools were implemented, including Python, Spyder, SPSS, and Excel. The Kruskal-Wallis test was employed to assess the statistical differences between the designed strategies. A sample of 41 actively traded NYSE companies across diverse sectors such as financial services, healthcare, technology, communication services, consumer cyclicals, consumer staples, and energy were chosen using a filter-based approach on June 28th, 2021. The selection criteria included a market capitalization exceeding $200 billion and an average daily trading volume surpassing 1 million shares. Evaluation metrics revealed that the designed random forest trading strategy achieved a good fit with the data and exhibited statistically significant differences from other strategies based on classification learning algorithm.

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