What are the most successful trading algorithms? (Hang Seng Index Stock Forecast)

This paper studies the possibilities of making prediction of stock market prices using historical data and machine learning algorithms. We evaluate Hang Seng Index prediction models with Active Learning (ML) and Independent T-Test^1,2,3,4 and conclude that the Hang Seng Index stock is predictable in the short/long term. According to price forecasts for (n+4 weeks) period: The dominant strategy among neural network is to Buy Hang Seng Index stock.

Keywords: Hang Seng Index, Hang Seng Index, stock forecast, machine learning based prediction, risk rating, buy-sell behaviour, stock analysis, target price analysis, options and futures.

Key Points

1. Can machine learning predict?
2. Can stock prices be predicted?
3. Is now good time to invest?

Hang Seng Index Target Price Prediction Modeling Methodology

Stock market forecasting is considered to be a challenging topic among time series forecasting. This study proposes a novel two-stage ensemble machine learning model named SVR-ENANFIS for stock price prediction by combining features of support vector regression (SVR) and ensemble adaptive neuro fuzzy inference system (ENANFIS). We consider Hang Seng Index Stock Decision Process with Independent T-Test where A is the set of discrete actions of Hang Seng Index stock holders, F is the set of discrete states, P : S × F × S → R is the transition probability distribution, R : S × F → R is the reaction function, and γ ∈ [0, 1] is a move factor for expectation.^1,2,3,4

F(Independent T-Test)^5,6,7= $\begin{array}{cccc}{p}_{\mathrm{a}1}& p_{\mathrm{a}2}& \dots & p_{1n}\\ & ⋮\\ p_{j1}& p_{j2}& \dots & p_{jn}\\ & ⋮\\ p_{k1}& p_{k2}& \dots & p_{kn}\\ & ⋮\\ p_{n1}& p_{n2}& \dots & p_{nn}\end{array}$ X R(Active Learning (ML)) X S(n):→ (n+4 weeks) $\overrightarrow{S}=\left(s_1,s_2,s_3\right)$

n:Time series to forecast

p:Price signals of Hang Seng Index stock

j:Nash equilibria

k:Dominated move

a:Best response for target price

 

For further technical information as per how our model work we invite you to visit the article below: 

How do AC Investment Research machine learning (predictive) algorithms actually work?

Hang Seng Index Stock Forecast (Buy or Sell) for (n+4 weeks)

Sample Set: Neural Network
Stock/Index: Hang Seng Index Hang Seng Index
Time series to forecast n: 04 Oct 2022 for (n+4 weeks)

According to price forecasts for (n+4 weeks) period: The dominant strategy among neural network is to Buy Hang Seng Index stock.

X axis: *Likelihood% (The higher the percentage value, the more likely the event will occur.)

Y axis: *Potential Impact% (The higher the percentage value, the more likely the price will deviate.)

Z axis (Yellow to Green): *Technical Analysis%

Conclusions

Hang Seng Index assigned short-term B3 & long-term B2 forecasted stock rating. We evaluate the prediction models Active Learning (ML) with Independent T-Test^1,2,3,4 and conclude that the Hang Seng Index stock is predictable in the short/long term. According to price forecasts for (n+4 weeks) period: The dominant strategy among neural network is to Buy Hang Seng Index stock.

Financial State Forecast for Hang Seng Index Stock Options & Futures

Rating	Short-Term	Long-Term Senior
Outlook*	B3	B2
Operational Risk	61	37
Market Risk	51	57
Technical Analysis	67	86
Fundamental Analysis	35	64
Risk Unsystematic	32	31

Prediction Confidence Score

Trust metric by Neural Network: 86 out of 100 with 882 signals.

References

1. Hastie T, Tibshirani R, Friedman J. 2009. The Elements of Statistical Learning. Berlin: Springer
2. Jiang N, Li L. 2016. Doubly robust off-policy value evaluation for reinforcement learning. In Proceedings of the 33rd International Conference on Machine Learning, pp. 652–61. La Jolla, CA: Int. Mach. Learn. Soc.
3. C. Wu and Y. Lin. Minimizing risk models in Markov decision processes with policies depending on target values. Journal of Mathematical Analysis and Applications, 231(1):47–67, 1999
4. Bessler, D. A. S. W. Fuller (1993), "Cointegration between U.S. wheat markets," Journal of Regional Science, 33, 481–501.
5. P. Artzner, F. Delbaen, J. Eber, and D. Heath. Coherent measures of risk. Journal of Mathematical Finance, 9(3):203–228, 1999
6. V. Borkar. An actor-critic algorithm for constrained Markov decision processes. Systems & Control Letters, 54(3):207–213, 2005.
7. Efron B, Hastie T. 2016. Computer Age Statistical Inference, Vol. 5. Cambridge, UK: Cambridge Univ. Press

Frequently Asked Questions

Q: What is the prediction methodology for Hang Seng Index stock?
A: Hang Seng Index stock prediction methodology: We evaluate the prediction models Active Learning (ML) and Independent T-Test
Q: Is Hang Seng Index stock a buy or sell?
A: The dominant strategy among neural network is to Buy Hang Seng Index Stock.
Q: Is Hang Seng Index stock a good investment?
A: The consensus rating for Hang Seng Index is Buy and assigned short-term B3 & long-term B2 forecasted stock rating.
Q: What is the consensus rating of Hang Seng Index stock?
A: The consensus rating for Hang Seng Index is Buy.
Q: What is the prediction period for Hang Seng Index stock?
A: The prediction period for Hang Seng Index is (n+4 weeks)

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