Making Profit in Stock Investment Before XD Dates by Using Genetic Algorithm - Innovative Management in Information and Production - page 337

Tabl e 3 Summary of best strategies for buying stocks before XD dates in the
first half of the year

Average buying
days before
selling day a

Duration of holding
the stocks until the
selling day

Annual rate
of return
(% per year b ) Stocks

ADVANC 13.2 Short 42.74

CPALL 26 Medium 52.10

CPF 38 Long 94.08

IVL 48 Long 237.14

KBANK 49 Long 50.83

PTT 15.5 Short 49.65

SCC 24.6 Medium 76.84

TCAP 38.5 Long 126.83

76.89 c

All stocks 31.2

Note: a The selling day is the last day before XD dates
b Calculation by (average out-of-sample profit/average buying days)

× 260 days

c Geometric mean

The most influential reason why the study achieves such a higher performance
is the zero mutation rate. When applying the rate of 0.30, the performance is
around 37 % which is quite similar to the work of Sudtasan and Suriya; their work
applied the mutation rate of 0.50. Then it can be seen that the performance is affected
enormously by the different mutation rates.

6 Conclusions

This study applies genetic algorithm to detect regime switching of eight stock prices
before XD dates both in the first half and second half of the year in the stock
exchange of Thailand.
It reveals that regime switching does exist for stock prices before XD dates only
in the first half of the year. For the second half of the year, the switching can be seen
but not as clear as in the first half.
XD dates in the first half of the year are more attractive than those in the second
half in terms of its highest potential profit, the clear buying signals for all eight
stocks, and the yields that can be made by following the strategies suggested by
genetic algorithm.
The study found that genetic algorithm without mutation performs better than
one with mutation. Then it traces the model without mutation and found best
strategies for stock investment before XD dates especially in the first half of the
year. It discovers that ADVANC and PTT are good for short-term investment within
15 days before XD dates. It reveals that CPALL and SCC are appropriate for
the medium-term investment, 16-30 days before XD dates. Moreover, CPF, IVL,
KBANK, and TCAP are potential for longer than 31 days of the investment.