Financial Trading Strategy System Based on Machine Learning

Table 1

Features and implication.

	Index	Calculation method	Implication
Profitability	ROE	Net profit/owner’s equity	Return on equity
	ROA	Net profit/total assets	Return on assets
	ROS	Total profit/operating income	Return on sales
Fluidity	D/E	Liabilities/owner’s equity	Debt to equity ratio
	Cash ratio	(Current assets − inventory)/current liabilities	Ratio of quick assets to current liabilities
	Current ratio	Current assets/current liabilities	Ratio of current assets to current liabilities
Operating efficiency	Equity turnover	Sales income/average shareholders’ equity	The efficiency of the company in using the owner’s assets
	Asset turnover	Sales income/average total assets; Average balance of total assets  =  opening balance  +  closing balance/2	An important financial ratio to measure the efficiency of enterprise asset management
Valuation index	B/M	Outstanding stock  closing price/shareholder equity	Book-to-market ratio; High B/M, considered to be undervalued by the market, resulting in high yield
	P/E	Market price per common share/earnings per common share per year	Price-to-earnings ratio; The lower the price earnings ratio is, the lower the profitability of the market price relative to the stock is
	P/B	Share price/net asset per share	Price-to-book ratio; The higher the investment value of stocks with low market to net ratio is, the lower the investment value is
	Market value of listed company	Market price per share  total number of shares issued	The total value of shares issued by a listed company at market price
	Turnover	Trading volume/total issued shares	The higher the turnover of a stock is, the more active the stock is in trading
β Coefficient	Systematic risk coefficient	Regression of the historical rate of return of a single stock asset to the index rate of return of the same period	β describes the systemic risk of a fully diversified portfolio