AUC Score :
Short-term Tactic1 :
Dominant Strategy :
Time series to forecast n:
ML Model Testing : Statistical Inference (ML)
Hypothesis Testing : Spearman Correlation
Surveillance : Major exchange and OTC
1Short-term revised.
2Time series is updated based on short-term trends.
Key Points
The Philippine Stock Exchange Composite Index is projected to experience a period of moderate growth, fueled by potential positive impacts from sustained economic recovery and increased investor confidence. However, this positive outlook faces significant risks, including global economic uncertainties, inflationary pressures, and potential fluctuations in commodity prices. Moreover, geopolitical instability and shifts in government policies could introduce further volatility, potentially offsetting gains and leading to downward pressure on the index, especially if there is a failure to address key structural weaknesses. The overall sentiment leans towards a cautiously optimistic outlook, but investors should remain vigilant and prepared for market fluctuations.About PSEi Composite Index
The PSEi Composite, or Philippine Stock Exchange Index, serves as the primary benchmark for the performance of the Philippine stock market. It's a market capitalization-weighted index, reflecting the overall movement of prices for a select group of publicly listed companies on the Philippine Stock Exchange (PSE). The index is designed to provide a comprehensive view of the market's health, capturing the performance of a representative portfolio of companies across various sectors. Its value is constantly updated throughout trading sessions, enabling investors and analysts to gauge market sentiment and make informed decisions.
The composition of the PSEi is regularly reviewed by the PSE to ensure it reflects the most significant and actively traded companies. This reassessment process involves criteria such as market capitalization, liquidity, and free float. Changes to the index's constituents are announced in advance, allowing market participants to adjust their portfolios accordingly. The PSEi is crucial for both domestic and international investors, offering a key indicator for evaluating investment opportunities in the Philippine equities market and tracking broader economic trends within the country.
PSEi Composite Index Forecasting Machine Learning Model
Our team of data scientists and economists has developed a machine learning model to forecast the performance of the Philippine Stock Exchange Composite Index (PSEi). The model leverages a diverse array of input variables, including historical PSEi values, trading volumes, and economic indicators such as inflation rates, interest rates (both domestic and international), gross domestic product (GDP) growth, and government bond yields. We also incorporate external factors like global market sentiment, represented by indices such as the S&P 500 and the MSCI Emerging Markets Index, to capture the impact of international events on the local market. Furthermore, we integrate technical indicators, including moving averages, relative strength index (RSI), and MACD, to identify trends and patterns within the index's historical performance. The model is designed to generate forecasts over various time horizons, from short-term daily predictions to longer-term quarterly outlooks.
The model architecture employs a hybrid approach, combining the strengths of different machine learning techniques. Recurrent Neural Networks (RNNs), specifically Long Short-Term Memory (LSTM) networks, are utilized to analyze the time-series nature of the PSEi and its historical performance. This enables the model to capture the dependencies and patterns that exist over time. We complement this with ensemble methods, such as Gradient Boosting and Random Forests, which can capture non-linear relationships between the predictor variables and the PSEi. Before model training, we perform rigorous data preprocessing, including data cleaning, handling missing values, and feature scaling to ensure the input data is consistent and optimized for model performance. We also employ feature engineering to create new variables from the existing ones, potentially enhancing the model's predictive capabilities.
The model's performance is evaluated using various metrics including Mean Absolute Error (MAE), Root Mean Squared Error (RMSE), and the R-squared score. We validate the model using an out-of-sample testing strategy to ensure robustness and minimize overfitting. In addition, we incorporate a sensitivity analysis to understand the impact of different input variables on the forecast accuracy. The model is designed to be regularly retrained with the newest data and the best weights. We will work with stakeholders to integrate our model into existing trading platforms and support decision-making processes. Through continuous monitoring and improvements, we aim to provide consistent and reliable forecasts, empowering investors and stakeholders to make well-informed decisions about the PSEi.
ML Model Testing
n:Time series to forecast
p:Price signals of PSEi Composite index
j:Nash equilibria (Neural Network)
k:Dominated move of PSEi Composite index holders
a:Best response for PSEi Composite target price
For further technical information as per how our model work we invite you to visit the article below:
How do KappaSignal algorithms actually work?
PSEi Composite Index Forecast Strategic Interaction Table
Strategic Interaction Table Legend:
X axis: *Likelihood% (The higher the percentage value, the more likely the event will occur.)
Y axis: *Potential Impact% (The higher the percentage value, the more likely the price will deviate.)
Z axis (Grey to Black): *Technical Analysis%
Philippine Stock Exchange index (PSEi) Composite: Financial Outlook and Forecast
The Philippine Stock Exchange index (PSEi) Composite, a key barometer of the Philippine financial market, is currently navigating a complex environment shaped by both domestic and global factors. Domestically, the Philippine economy demonstrates resilience, driven by strong consumer spending, government infrastructure projects, and a burgeoning business process outsourcing (BPO) sector. However, persistent inflation, albeit showing signs of easing, remains a key concern, potentially impacting consumer confidence and corporate profitability. Furthermore, the implementation of new tax laws and regulations could create both opportunities and challenges for listed companies. Internationally, the PSEi is influenced by global economic conditions, particularly developments in major economies such as the United States and China. Interest rate decisions by the US Federal Reserve, geopolitical tensions, and shifts in global trade dynamics have a significant bearing on investor sentiment and capital flows into the Philippine market. The overall outlook suggests a cautiously optimistic approach, with potential for growth tempered by inherent risks.
The financial outlook for the PSEi hinges on several key sectors. Financials, consumer discretionary, and property sectors are expected to be major drivers. The financial sector benefits from economic expansion, leading to increased lending activities and stronger profitability. The consumer discretionary sector stands to gain from robust domestic consumption, fueled by a large and growing middle class. Infrastructure developments are a core catalyst. However, these sectors face challenges related to inflation, policy implementation, and global economic uncertainty. Other sectors to watch include utilities, information technology, and industrial. The ability of companies within these sectors to adapt to changing market conditions, manage costs effectively, and capitalize on emerging opportunities will play a crucial role in their financial performance and, consequently, the overall performance of the PSEi. Investors are carefully monitoring the earnings reports of listed companies, assessing their ability to meet expectations and deliver value.
Several economic and market factors are considered. The government's fiscal policies, particularly its infrastructure spending program and tax reforms, have a considerable impact on investor confidence and the economic trajectory. Monetary policy, specifically the interest rate decisions of the Bangko Sentral ng Pilipinas (BSP), affects borrowing costs for businesses and impacts overall investment. External factors, such as global economic growth, commodity prices, and exchange rates, have a substantial influence, as the Philippine economy is connected to international markets. Increased foreign direct investment and portfolio flows are significant catalysts, signifying confidence in the country's economic prospects. In addition, political stability, the effectiveness of governance, and the regulatory environment play a critical role in attracting and retaining investors. These variables require constant monitoring for the proper market valuation. Economic data releases, such as GDP growth, inflation figures, and employment rates, provide crucial insights into the overall health of the economy, allowing investors to make informed decisions.
Looking ahead, the PSEi is poised for moderate growth. The positive factors such as strong domestic consumption, government infrastructure initiatives, and expansion in certain key sectors are seen to contribute to this growth. However, several risks could dampen the outlook, including heightened inflation, potential interest rate hikes by the BSP, and global economic slowdown, especially as a result of negative economic data of the major economic powers. Furthermore, unexpected geopolitical events or policy changes could negatively impact investor confidence. It is imperative to stay watchful on external economic shocks. Therefore, while a cautiously positive outlook appears to be more likely, investors should be prepared for market volatility and manage their portfolios accordingly. A diversified investment strategy that considers both domestic and global factors is recommended to mitigate risks and seize opportunities.
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| Rating | Short-Term | Long-Term Senior |
|---|---|---|
| Outlook | B2 | B1 |
| Income Statement | Baa2 | B3 |
| Balance Sheet | Caa2 | Caa2 |
| Leverage Ratios | Ba3 | Caa2 |
| Cash Flow | B3 | Baa2 |
| Rates of Return and Profitability | C | Baa2 |
*An aggregate rating for an index summarizes the overall sentiment towards the companies it includes. This rating is calculated by considering individual ratings assigned to each stock within the index. By taking an average of these ratings, weighted by each stock's importance in the index, a single score is generated. This aggregate rating offers a simplified view of how the index's performance is generally perceived.
How does neural network examine financial reports and understand financial state of the company?
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