انتخاب سهام برتر با بکارگیری استراتژی کانسلیم و کاربرد ابر ایچیموکو در تشخیص زمان ورود و خروج به این سهام مقاله

نسبت قیمت به درآمد به نرخ رشد به عنوان یکی از مهمترین شاخص انتخاب سهام برای سرمایه‌گذار گارپ (روشی ترکیبی از سرمایه‌گذاری ‌ارزشی ‌و ‌رشدی)، محسوب می‌شود. این نسبت‌، تعادل و توازن بین پتانسیل رشد یک سهم و قیمت آن را ارزیابی می‌کند. در بخش اول این پژوهش ارتباط بین این نسبت به عنوان فاکتوری بنیادی که در ساختار آن نرخ رشد سود سهام به عنوان یک عامل اساسی لحاظ شده‌است با استراتژی کانسلیم‌ به عنوان استراتژی ترکیبی از مدل بنیادی (با تفکر سرمایه‌گذاری ‌رشدی‌ و ‌کیفی) ‌و مدل تکنیکی، ارزیابی شده‌است. نمونه مورد مطالعه کلیه صنایع تولید‌کننده مواد پایه (صنایع شیمیایی، فلزات اساسی، کانی‌های فلزی) در بورس و فرابورس تهران در بازه زمانی (1396-1392) است که به روش همبستگی مبتنی بر تحلیل رگرسیون چند متغیره مبتنی بر داده‌های پانل و مقطعی صورت گرفته‌است. متغیرهای توضیحی این پژوهش عبارتند از رشد سود فصلی، متوسط رشد سود پنج‌ساله، نسبت بازده حقوق صاحبان سهام، نسبت بازده دارایی، قیمت بالای جدید، درصد سهام شناور، ضریب بتا، تعداد روزهای خرید حقوقی با حجم حداقل 70%. نتایج آزمون بر اساس متغیرهای ذکر شده معرف ارتباط مستقیم و معنی‌دار در سطح 5% بین رشد سود فصلی، افزایش بازده دارایی و قیمت بالای جدید با نسبت قیمت به درآمد به نرخ رشد است. در بخش دوم این پژوهش، سهام برتر بر اساس استراتژی کانسلیم گزینش و انتخاب شد و سپس زمان مناسب برای ورود و خروج به این سهام بر اساس سیستم معاملاتی ابر ایچیموکو مشخص شده‌است و در نهایت با استفاده از ضریب پیرسون، ارتباط بین قیمت سهام در زمان تشخیص، با بازده سهام تعیین گردید. نتیجه این بررسی معرف رابطه کامل و معکوس بین قیمت سهام در زمان ورود با بازده سهام است.  

Introduction Capital market is a link between monetary market and financial market. One of the causes of backwardness of the country in economic growth and development discussion, is the weakness and immortality of the capital market, and economic instability, sensitive capital market, lack of financial knowledge and investor skill, constitute a bitter humor which will reveal a true view of the current market situation. An example of the other factors affecting economic growth is increased participation of specialized workforce. Acquiring knowledge and skill, specifically deep work, will be achieved by continuous and concentrated study together with gaining experience. Given high rate of unemployment in the country, especially, in the educated class who is not able to identify and create logic relationship between invisible circles of education, skill and specialty, and knowing the fact that in the information age, and in view of hard conditions of employment, there is no place for civil servant thinking, to get rid of this vortex of thought and to breed entrepreneurship and investment thinking, with the aim of motivating this class of the society, in this study, one of the comprehensive and successful scientific methods derived from two American and Japanese strategies with an applied aspect and in decision-making discussion, portfolio selection and management is efficient in the capital market, is presented and studied. Theoretical frame work Thinking that the audience of this method is the public with any amount of capital, O'Neill (inventor of CAN SLIM strategy); and thinking that this system is efficient in different intervals, Guichi Husuda (Ichimoku designer), have designed it. This comprehensive system will be problematic when it is used as an analytical device by those investors who lack the knowledge and skill required for correct analysis. Given the fact that O'Neill strategy like Warren Buffett (capital market prodigy), focuses on one or two preferred companies in a long-term period (focused investment), and knowing that fundamental way has a crucial role in Buffet strategy and O'Neill strategy, thought O'Neill thinking most tends to have a growth and quality approach, and in Buffet strategy, value and quality method is most observed, considering the thinking of these two scholars, the dependent variable is PEG. This ratio is among the main indices of investment of GARP (growth at reasonable price). This investment method is between value method and growth method (Warren Buffett and O'Neill thinking). In Garp's method, investor searches for the stock whose market value is slightly less than intrinsic value, as well as has a stable and sustainable growth potential. In fact, in this method, investor searches for the stock with both its price and future growth is in a more balanced state than value and growth methods.   Methodology In Section 1 of the study, the relationship between CAN SLIM criteria and the ratio of price to earnings to growth rates (PEG) is studied. In this part, the relationship between this ratio as a fundamental factor that in its structure dividend growth rate is considered as an essential factor, and CAN SLIM strategy as a combination of fundamental model (with the idea of growth and qualitative investment) and technical model, is evaluated. The case study includes all base materials production industries (chemicals, basic metals, metal minerals) in Tehran Stock Exchange and OTC during 2013-2017, which is based on multivariable regression analysis-based correlation based on panel and cross-sectional data. Explanatory variables of this study include seasonal earnings growth, mean five-year earnings growth, return on equity ratio, return on asset ratio, new high price, percentage of floating stock, Beta coefficient, number of legal purchase days (min 70%). Eviews version 9 software was used to test the hypotheses. In Section 2 of this study, top-performing stock is selected based on CAN SLIM strategy and then, reasonable time for inclusion and exclusion of such stock is determined based on Ichimoku Clouds transaction system (‌Tenkan Sen / Kijun Sen Crossover  Strategy). Finally, using Pearson coefficient, the relationship between stock price at the time of determination (inclusion and exclusion) and return on stock is determined. As the purpose of investment is to earn profit, in this part seasonal and annual return on the selected stock are analyzed and evaluated with seasonal and annual return on stock of 3 well-known indices of the market (cap-weighted index, weighted price index, and index of 50 active companies).   Results & Discussion According to the results of hypothesis testing in Section I of this study, the hypotheses 1 and 3 are confirmed.  Hypothesis 1 of this study indicates that: There is a direct relationship between the growth of seasonal EPS more than 20% and PEG ratio. Given the fact that value of F statistic and probability value for the overall model is 104.239 and 0.0000, respectively, meaning that the model is significant overall (because the probability value of this statistic is less that significant level 0.05), the determination coefficient is 0.405. Therefore, this hypothesis is confirmed.  Hypothesis 3 of this study indicates that: There is a direct relationship between the efficiency of management; and new high price and PEG ratio. In this hypothesis, the increased return on assets is used to evaluate efficiency of management in the operational section. Given the fact that value of F statistic and probability value for the overall model is 3.327 and 0.046, respectively, meaning that the model is significant overall (because the probability value of this statistic is less that significant level 0.05), the determination coefficient is 0.152. Therefore, this hypothesis is confirmed.  In Section 2 of this study, Correlation coefficient -0.99, indicating that there is a complete and reverse relationship between stock price in the time of inclusion and return on stock. Finally, seasonal and annual return on the selected stock are analyzed and evaluated with seasonal and annual return on stock of 3 well-known indices of the market.‌ The result indicates that return on the selected stocks, according to CAN SLIM strategy, is significantly more superior than return on stock of the three indices. Given the results from this applied study, it sounds that as capital market is raging in Iran especially the stock market, if the investment process is based on fully scientific and empirically validated models, by avoiding emotional behaviors and managing time and setting the appropriate loss limit, a remarkable long-term return will be achieved.  Conclusions & Suggestions In Section 1 of this study, the relationship between CAN SLIM criteria and the ratio of price to earnings to growth rates (PEG) is studied. the results of the test represent a direct significant relationship (5% level) between seasonal earnings growth; increase return on asset; and new high price and PEG ratio. Considering the practical result of Section 2 of this study, O'Neill thinking, that is, selection of only one stock and design of CANSLIM model which results in section of leading stocks, is met. In the discussion of return on selected stocks, that is, a big return more than that of the stock market, comparing the seasonal and annual return of top stocks (Zagros Petrochemical) with the seasonal and annual return of 3 well-known stock market indices, this hypothesis is confirmed as well. Based on the result of Ichimoku cloud analysis, it is found that within a year (1396 corresponding to March 21, 2017 to March 20, 2018), Zagros shares have not issued a strong output signal. So, O'Neill time thinking indicating a long-term investment, is met according to this study. To promote the capital market, under the Principle 44, one of the strategies for structural modifications in the capital market which the Government can use in its executive policies plan, is to perform the policy of privatization with the aim of increasing efficiency and productivity of the firms in microeconomic level and to accelerate economic growth through decreasing financial and managerial load of the Government in macroeconomic level. In addition, performing the monetary policies through macroeconomic variables (bank interest rate, exchange rate, money supply etc.) as the variables affecting total stock index, capital mobility and the effect of releasing of the financial market on better performance of the capital market are examples of the other executive solutions of the Government towards promotion of capital market level. The first step a beginner investor should take for entering capital markets is to correctly know him/herself and capital market (financial and behavioral). In this course, training; planning; relying on his/her lessons; paying attention to the news and avoiding rents and rumors and its margins, and finally, continuous and concentrated movement in this respect, will create a healthy atmosphere and better tomorrow for the capital market and will be the basis for one's success.          

‌در‌بخش ‌اول ‌اين ‌پژوهش ‌ارتباط ‌بـين ‌ايـن ‌نسـبت ‌بـه ‌ عنوان ‌فاکتوري‌بنيادي‌که ‌در‌ساختار‌آن ‌نرخ ‌رشد‌سود‌سهام ‌به ‌عنوان ‌يک ‌عامل ‌اساسي ‌لحـاظ ‌شـده ‌اسـت ‌ با‌استراتژي کانسليم به ‌عنوان ‌استراتژي‌ترکيبي‌از‌مدل ‌بنيادي‌(با‌تفکر‌سـرمايه ‌گـذاري‌رشـدي‌‌و‌کيفـي)‌و‌ مدل ‌تکنيکي،‌ارزيابي‌شده ‌است . ‌در‌بخش ‌اول ،‌ارتباط ‌بين معيارهـاي‌کانسـليم ‌و‌نسـبت ‌ PEG بـا‌هـدف ‌ارزيـابي‌تـوازن ‌بـين ‌‌ پتانسيل ‌رشد‌آتي‌يک ‌سهم ‌و‌قيمت ‌آن ‌بررسي‌شـده ‌و‌در‌بخـش ‌دوم ‌کـه ‌جنبـه ‌علمـي‌کـاربردي‌ دارد،‌با‌استفاده ‌از‌ديتاي‌ارزيابي‌شده ‌بر‌اساس ‌معيارهـاي‌کانسـليم ،‌سـهام ‌برتـر‌گـزينش ‌و‌انتخـاب ‌ شده ‌و‌سپس ‌زمان ‌مناسـب ‌بـراي‌ورود‌و‌خـروج ‌بـه ‌ايـن ‌سـهام ‌بـر‌اسـاس ‌يکـي‌از‌اسـتراتژي‌هـاي‌ معاملاتي‌ابر‌ايچيموکو‌در‌بازه ‌يکساله ‌١٣٩٦‌تحليل ‌و‌در‌نهايت ‌بازدهي‌سهام ‌انتخابي‌بـا‌بـازدهي‌٣‌ شاخص ‌مطرح ‌بازار‌(شاخص ‌کـل ‌هـم ‌وزن ،‌شـاخص ‌قيمـت ‌هـم ‌وزن ،‌شـاخص ‌٥٠‌شـرکت ‌فعـال )‌ مقايسه ‌و‌ارزيابي‌شده ‌است . ‌مناسـب ‌تـر‌ين ‌زمـان ‌ براي ‌خريد‌سهام ‌زماني ‌است ‌که ‌الگوي ‌تثبيت ‌و‌تعيين ‌قيمت ‌بـه ‌درسـت‌ي ‌تحليـل ‌‌شـود‌و‌يـا‌‌نمـودار‌ ________________________________________________________________ 1- Current Quarterly Earnings Per Share 2- Investor's Business Daily 3-Annual Earnings Increases 4- Newer Companies, New Products, New Management, New Highs off Properly Formed Bases قيمت ،‌همزمان ‌با‌افزايش ‌حجم ‌خريد،‌به ‌قيمت ‌هـاي‌‌بـالا‌ي ‌جديـد‌‌رسـ‌يده ‌‌باشـد‌ ( ,٢٠٠٩ ,O'Neil ١٧٨). ‌اين ‌نسبت ‌شاخصي ‌است ‌که ‌جهت ‌اندازه ‌گيري قيمت ‌سهام ‌١٢‌مـاه ‌گذشـته ‌طراحـ‌ي ‌شـد‌ه است ‌تا‌مقايسه ‌اي ‌با‌ديگر‌بخش ‌هاي ‌بازار‌بـر‌پا‌يـ‌ه ‌شـاخص ‌ ٥٠٠ S&P در‌دوره ‌هـا‌ي ‌زمـا‌ني ‌ديگـر‌‌ داشته ‌باشد. (٢٠١٤ ,Rayome &Lutey, Crum, )،‌نسخه ‌سـاده ‌شـده ‌اي ‌از‌اسـتراتژ‌ي CAN SLIMرا‌ارائه ‌و‌آزمون ‌نمودند‌که ‌به ‌شـکل ‌مطلـو‌بي ‌در‌مقايسـه ‌‌بـا‌شـاخص ‌ ١٠٠ NASDAQ در‌ دوره ‌هاي ‌زماني ‌سه ‌و‌پنج ‌ساله ‌عمل ‌نموده ‌است ،‌اين ‌امر‌مشـخص ‌کننـده ‌ا‌يـن ‌‌اسـت ‌کـه ‌اسـتراتژ‌ي ‌ اصلاح ‌شده ‌،‌ابزار‌مؤثري ‌براي ‌آن ‌دسـته ‌از‌افـراد‌ي ‌اسـت ‌‌کـه ‌خواهـان ‌سـرما‌يه ‌گـذاري‌‌بلنـد‌مـدت ‌ هستند. “The Profitability of Technical Analysis Rules in Tehran Stock Exchange and Several of Selected Countries With a Bootstrap Appoach”, Journal of Quarterly Financial Engineering and Securities Management (Portfolio Management), Vol. 3, No. 12, pp.