The Investment Models Based on the Fundamental and Technical Indicators of Listed Companies

摘要

The fundamental and technical approaches are often used to analyze the operation status of listed companies and the development tendency of the stock market. The investment models using financial ratios and technical indicators are proposed in this article, and a multi-objective evolutionary algorithm with benefits and risks is used to optimize them. Two different chromosomes are used for representing different investment models with real constraints. An empirical study based on 40 stocks of SSE A shares from Cathay Pacific database was conducted to illustrate the practicability of the proposed models. The results show that better stocks and better transaction decisions can be found and selected by the portfolio management method based on fundamental and technical analysis, which could be obtained a portfolio with better result than the market index. The effectiveness and practicality of this investment model is improved more with more fundamental indicators introduced, especially cash flow growth, capital expenditure growth rates and payout ratio.