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STRATEGY SHAPER

A web-based application to analyze factors and select better factors for stock selection models. Utilizes the ID3 algorithm to create a decision tree for classification.

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STRATEGY SHAPER

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  1. STRATEGY SHAPER Susmita Chatterjee CS 470

  2. System Overview • Goal – Selection of Factors for Stock Selection Models • Solution – Web based application to analyze factors and select better factors for stock selection model.

  3. Current Solutions • Screening • Multivariate Analysis

  4. ID3 Algorithm • Developed by Ross Quinlan (1983) • Yields a decision tree that can classify data with the fewest number of tests on average

  5. Data Files Single CSV file with Six columns, the first column is the stock symbol, the other five columns are the quintile value of the factors: • PE • Quintile of the ratio of current price and earnings of the stock • PCF • Quintile of the ratio of current price and cash flow of the stock • ORS • Quintile of earnings growth rate of the stocks • PSale • Quintile of the ratio of current price and sales of the stock • PCHG • Relative Price Change of the stock and the benchmark

  6. Data Files

  7. Preparing the Data files • Data Upload Upload the file to a SQL Server with the help of a parser that understand the file format • SQL Advantage By uploading the data to a SQL server to get the advantage of sorting and quicker calculations

  8. What are we calculating ? • Entropy- It is a measure of uncertainty in an observation, it explains the amount of uncertainty about a particular outcome • For this case, the minimum uncertainty of a factor is best • The formula to calculate entropy is

  9. System Screenshot

  10. Getting all the entropy I can Eat!

  11. System Architecture Main New User Load Load Data Sign In Display Tree ID3 Algorithm Run Calculate Entropy values

  12. System Requirement • User need an Internet browser • I used VB.net, SQL Server

  13. Prototyping • Prototyping used since the client was not sure what they wanted • Client now wants to add some more features, I will implement them later.

  14. Conclusion • Successfully delivered a system tool for Selection of Factors for Stock Selection Models • I learned: • Experience working with a real product on web • More about programming in Visual Basic, particularly with ASP • More rigorous requirements could have eliminated some trouble and re-work farther into the development process

  15. Questions? Thank You!

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