Making Profit in Stock Investment Before XD Dates by Using Genetic Algorithm - Innovative Management in Information and Production - page 333

Profit 2

Apply to data of XD round 2

Best solution XD round 1

Apply to data of XD round 3 Profit 3

Repeat the same
process to the best
solutions from
other XD rounds

Profit n

Apply to data of XD round n

Average Profit XD round 1

Apply to data of XD round j; for i ¹ j Average profit XD round i

Best solution XD round i

Best of the
best solution

Max [Average profit XD round i]
for i = 1, ..., n

Fig. 2 The process to find best of the best solution (the out-of-sample test)

4. When there is more than one period that meets these criteria, the period that lies
nearest to the XD dates is counted as the regime switching. This is to minimize
the days of investment. With less days of investment, an investor bears less risk
and may earn higher rate of return.
5. For the fragmented buying signals, it should be said that there is no signal.
For the data, this study examines eight stocks during the period of 2005-2011.
Seven stocks represent the biggest market capitalized stock of top seven biggest
sectors in the stock exchange of Thailand. The eighth stock, TCAP, is a rapidly
and strongly growing stock. The author retrieves the data from the finance and
investment center (FIC), Chiang Mai University. Names of the stocks are listed
in Table 1 .

4R su s

This section presents the best result of the series of experiments. The genetic
algorithm model uses zero mutation rate and calculates only for XD dates in the
first half of the year. The results show that the regime switching takes place in 18
out of 24 investment plans (75 %). Therefore, it can be said that regime switching
does exist in the first half of the year.