Comparison of Technical and Fundamental Analysis Trading Disciplines on Portfoilo Performance: Short and Long Term Backtest Analysis on Borsa İstanbul National Stock Indices

https://doi.org/10.33094/26410265.2021.33.128.143

Authors

  • Mustafa ÖZYEŞİL Istanbul Aydin University, Business Management Dept. Istanbul, Turkey.

Abstract

The aim of this study is to comparatively analyze the backtest performances of trading disciplines applied in various portfolio baskets (Bist 30, 50 and 100) for different investment periods (short term – ytd and long term). According to the results of the analysis, it has been determined that in all trading disciplines, the investor has a higher return than the benchmark indicator in a 5-year term, that is, they can earn abnormal returns. Also, the return in the 5-year term is much higher than the 1-year and YTD returns. In the P / E & MA model, the Bist - 50 index in the 5-year period and the Bist - 100 index in the 1-year period provide the maximum return, while according to the P / E model, the Bist-30 and Bist -50 indices provide optimum returns in all maturity options. Based on these findings, it can be expected that if the trading disciplines used in this study are applied in a long term such as 5 years and on the portfolio basket consisting of Bist-30 and Bist-50 industrial stocks, it will maximize returns. In terms of risk and return, in YTD period, the sharpe and treynor ratios of the model portfolio formed in all trading disciplines except M /B trading discipline were lower than in 1 year in the 5-year investment period. This situation arose due to the increased risk of the portfolio as a result of the extended maturity and is in line with our expectations.

Keywords:

Technical analysis, Fundamental analysis, Trading disciplines, M/ B, P/E, Moving Averages, Backtest, Sharpe, Treynor.

How to Cite

ÖZYEŞİL, M. . (2021). Comparison of Technical and Fundamental Analysis Trading Disciplines on Portfoilo Performance: Short and Long Term Backtest Analysis on Borsa İstanbul National Stock Indices. Journal of Contemporary Research in Business, Economics and Finance, 3(3), 128–143. https://doi.org/10.33094/26410265.2021.33.128.143
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