2019 4th International Conference on Information Technology (InCIT), Bangkok, THAILAND
Machine Trading by Time Series Models and
Portfolio Optimization
Pongsak Thuankhonrak Ekarat Rattagan
Faculty of Information Science and Faculty of Information Science and
Technology Technology
Mahanakorn University of Technology Mahanakorn University of Technology
Bangkok, Thailand Bangkok, Thailand
pthuankhonrak@gmail.com pokekarat@gmail.com
Abstract — Machine learning algorithms such as Support Vector
Machine (SVM) and Artificial Neural Network (ANN) are used for
machine trading. The problem with SVM and ANN is that it is
difficult to determine appropriated features for both models;
moreover, it is also time consuming to perform backpropagation
for ANN when a number of both features and data increase.
However, machine trading is not confined only these two
algorithms, but also time series models. In this study, we will
employ time series models namely Autoregressive Integrated
Moving Average (ARIMA) and Holt – Winters’ Exponential
Smoothing (HW) as the guidance for trading since time series
models only require time series as an input. We will perform time
series analysis to snatch the trading opportunity in the Stock
Exchange of Thailand (SET). There are fifty companies on the list
of SET50 index; we will choose five amongst them to invest
measured by Sharpe Ratio; the top five from this measurement will
be selected as invested assets in simulated portfolio. Furthermore,
the well-known portfolio optimization framework by Harry
Markowitz will be used to ensure that the combination of the
invested assets is located on the efficient frontier; the result from
this study is favorable as the return generated by these activities
outperforms market return; furthermore, manipulating time series
into different time lags yields higher return and as well as
combining both ARIMA and HW models to help predict stock
prices also improves power of prediction of time series models.
This study will help retail investor who has limited resource
overthrow bias and intuition throughout investment decision
process ranging from finding the stocks for investment to
capturing market movement for trading opportunity.
I. INTRODUCTION
Investment in financial securities becomes parts of
people’s lives. Investment in financial instruments is not
only a mean of yield enhancement, but also a vehicle to
obtain tax privileges such as investing in Long Term Equity
Fund (LTF) and Retirement Mutual Fund (RMF).
Furthermore, corporates managing treasury operations also
needs investment apart from bank deposits for their surplus
cash.
Some institute investors might utilize trading system
such as algorithmic trading or arbitrage opportunity to
exploit the market discrepancy[1]; however, retail investors
will find it difficult to weather the market situation due to
the inability to access trading information on time and
limited budget for their advanced financial technology;
besides, they have little knowledge of trading compared
with large financial institutions who invest a huge amount
on their trading platform and skilled personnel, thus there is
a need for the guideline regarding portfolio construction
which can be implemented on personal computer such that
978-1-7281-1019-6/19/$31.00 ©2019 IEEE 217
Suronapee Phoomvuthisarn
Faculty of Information Science and
Technology
Mahanakorn University of Technology
Bangkok, Thailand
suronape@mut.ac.th
individual investors especially retail investors who have
some basic knowledge and limited budget could build up
their portfolio efficiently resulting to the expansion in
financial market and interest for investing in financial
instruments as alternative investments for wealth
management.
Machine learning algorithms, such as Support Vector
Machine (SVM) and Artificial Neural Network (ANN), are
the learning methods commonly used for machine trading
[2]. However, these methods must determine all factors that
influence on the asset price and therefore not scalable to
obtain all trading information both directly and indirectly
affecting particular stock such as, GDP growth, foreign
exchange and past financial performance. Time series
models instead use only one factor that indexed in time order
to determine the asset price. Hence, the input for the model
calibration is only the price of the stock itself.
In this study, we will employ time series models namely
Autoregressive Integrated Moving Average (ARIMA) and
Holt – Winters’ Exponential Smoothing (HW) as the
guidance for trading. There are fifty companies in the list of
SET50 index announced by the Stock Exchange of Thailand
(SET); only the top five amongst them measured by Sharpe
Ratio[3] will be invested, the top five from this
measurement will be selected as invested assets in simulated
portfolio. Furthermore, the well-known portfolio
optimization framework by Harry Markowitz[4] will be
used to ensure that the combination of the invested assets is
located on the efficient frontier.
This paper is conducted at the empirical level to evaluate
the extended time series models using ARIMA and HW. By
using mean square error (MSE), both models are then
compared in terms of robustness and accuracy. Besides, by
combining both ARIMA and HW together, we can make
better decisions to foresee the closing price. The body of this
paper is presented in nine sections. Section 2-5 summarizes
the essential but important prior works related to time series
models. The comparison of the extended ARIMA and HW
model follows the data analysis process and then evaluated
in Section 6 and 7. Section 8 combined both ARIMA and
HW model for better judgement the closing price. The
summary is then discussed in the end.
 2019 4th International Conference on Information Technology (InCIT), Bangkok, THAILAND
II. LITERATURE REVIEWS
A number of numerical predicting models have been
developed to forecast assets prices. Barack and Lawrence
[5] implemented ANN once to predict the stock prices in
Nairobi Securities Exchange and New York Stock
Exchange; the models gave the preferable results; however,
they cannot carried all experiment for all sixty stocks due
to time consuming during model turning as they needed
around two hours to fit the model to predict the price of a
stock; besides, they had to single out the stocks
qualitatively for model’s inputs. SVM also used to predict
stock prices with substantial performance by using time
series of historical data including open price, low price,
high price and closed price as the features [6]; however,
selecting features is critical and controversial [7] as both
ANN and SVM can provide different results with different
set of features such that, in fundamental analysis, there are
many aspects to which an investor can pay attention, for
example, in top down analysis [8], the factors we can take
into account including the current state in economic cycle,
fiscal policy, monetary policy, nature of industry,
regulations and pricing and costing policy etc.; these factors
can be incorporated into both ANN and SVM and will not
yield the same result. Besides, unlike ANN, we do not have
to resort the performance of the computer to perform back
propagation [9] ; hence, in this study we will employ time
series models to capture the stock movements as time series
models require fewer inputs just only historical price is
needed; moreover, we are not demanded much time to fit
the model since we do not have to perform back
propagation, thus time series models give us more
flexibility to capture the market movement and guide the
trading.
III. AUTOREGRESSIVE INTEGRATED MOVING AVERAGE
(ARIMA) AND HOLT-WINTERS’ EXPONENTIAL SMOOTHING
WITH SEASONALITY
A. Autoregressive integrated moving average (ARIMA)
ARIMA model is one of time series models which can
handle none-stationary process. The foundation inherited in
ARIMA model stems from Autoregressive (AR) model and
Moving average (MA) model.
Autoregressive or AR model is time series model which
works on the stable process which can be elaborated by the
following generalized form;
Xt = a0 + a1Xt-1 + a2Xt-2 +……+ apXt-p + Ԑt
AR model is just a linear model where its current value
Xt depends on the former value of Xt-1 and Xt-2 so on and so
forth plus Gaussian white noise (Ԑt) where the effect of
white noise is the effect of unexpected even on time series.
Ԑt is stable and follow the Normal Distribution with mean
(µ) equals to 0 and stable variance (σ2) and Ԑt can be also
called random shock since it represents the unforeseen
circumstances that deviate from the process.
Moving average or MA model is different from AR
model in the sense that Xt depends on its white noise (Ԑt)
from the past to present as can be seen from the following
generalized form;
Xt = β0 + Ԑt – β1Ԑt-1 – β2Ԑt-2 - …… - βqԐt-q (2)
MA model is the linear model comprised of the series
of parameter β and white noise Ԑ from the past until present;
while, β0 is the average of the selected period of time series.
ARMA is the combination of both AR and MA model.
The generalized from of ARMA can be described as,
Xt = a0 + a1Xt-1 + a2Xt-2 +……+ apXt-p + Ԑt – β1Ԑt-1 - β2Ԑt-
2- …… - βqԐt-q (3)
ARMA model incorporates both its value in the past
(Xt) along with white noise (Ԑt), ARIMA model is the
extension of ARMA in order to handle non-stationary
process which is caused by factors like seasonality and
trend within time series. The standard form for ARIMA
model is formulated as follows;
( )∆ = + ( ) (4)
Where;
∆d = difference between lag time such as Xt – Xt-1
α(L) = 1 – α1L – α2L2 - …… - αpLp (ARMA model)
β(L) = 1 – β1L – β2L2 - …… - βqLq (MA model)
B. Holt and Winters exponential smoothing model (HW)
The model was firstly developed by Professor Charlest
C. Holt for forecasting trends in production. Later,
Professor Peter R. Winters has improved the model by
adding seasonality so that the model can handle business
time series which normally exhibit trend and seasonality.
HW can accommodate the time series which stationary
assumption can be disregarded. Hence, HW yields the great
benefits as normal business time series does exhibit trend,
seasonal, circle and irregular effects within time series. The
model can be written as Yt = Tt + St + Ct + It where Yt is the
value of time series t, Tt is trend at time t, St denotes
seasonal at time t, Ct denotes business life circle and It
represents irregularity at time t.
HW can be classified into two choices – additive and
multiplicative. The difference between the two models is
the calculation of seasonal factor St (described below)
where the former will handle seasonality by simply
subtracting each value in time series by its expected value,
while the latter calculates the ratio between the value in
time series and its expected value; however, the
(1) multiplicative HW method is ubiquitously used amongst
the two.
The model utilized Triple Exponential Smoothing
method which comprises of three components including
level, trend and seasonal. The expression for the
components can be generalized as,
Expression for additive model
= ( − ) + (1 − )( + ) Level (5)
= ( − ) + (1 − ) Trend (6)
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= ( − ) + (1 − ) Seasonal (7) D. Irregular event

Sometimes, the time series exhibits all components
= + + Forecast (8) including trend, cycle and seasonality; however, there
could possibly be extraordinary event which influences its
Where the initial values can be computed as below,
fashion so that the figure is not resembled in its patterns.
= ( + + ⋯+ ) (9) The example for this particular occasion is the
announcement of 30% of capital reserve by Bank of
Thailand. After the announcement, the SET index dropped
= + + ⋯+ (10) from 721.85 to 587.92 or 19.52%. Not until did the
investors consume all information, the index adjusted itself
= − , = − ,…….., = − (11) to the previous level in the next trading day.

Expression for multiplicative model V. SHARPE RATIO

= + (1 − )( + ) Level (12) In order to determine which investment asset should be
included in the investment portfolio, we need to gouge the
= ( − ) + (1 − ) Trend (13) associated risk and return of the investment asset. Generally
speaking, high return from investment always comes along
= + (1 − ) Seasonal (14) with high associated risk, thus there should be a
measurement to evaluate the choice of amongst investible
assets.
= + + Forecast (15)
Sharpe ration is one measurement used to compare the
While initial values can be computed as additive model candidate assets. Sharpe ratio assesses the excess return of
as following: candidate investment over risk free rate adjusted by its
= , = ,………., = (16) individual risk elaborated by following formula;

Where: ℎ = (17)
α, β and γ denote exponential smoothing parameters
and p is numbers of seasonal in a year such as 12 for Where:
monthly collected data or 4 for quarterly one.
Rx = Return from investment asset

IV. TIME SERIES Rf = Risk free return

A time series is the data set indexing accordingly to its
time order. The example of time series are unemployment
rate, sale revenue of a company or even inflation rate. The
component of time series includes trend, cycle, Seasonal
variations and irregular fluctuation [10].
A. Trend
A trend is the component which makes time series to
increase or decrease as the passage of time. The example of
trend is the sale value which can be small at the inception
of business, then will become bigger when the company
keeps growing.
B. Cycle
A cycle of time series is the full loop of evolution of
time passage. The full loop may begin with upward trend
and follow by downward trend or vice versa. Normally, the
cycle takes 2 or 10 years to complete the example of cycle
in the time series is the economic circle which normally
includes the boom and the bust.
C. Seasonality
Most business time-series present seasonality.
Seasonality creates time-series with the pattern repeating
every each calendar year. Seasonality differs from cycle in
the way that the loop of the pattern in seasonality finishes
within one calendar year, while the patter in cycle normally
takes more than a year to compete it pattern.
σx = standard deviation of investment asset’s return
Clearly, the Sharpe ration is the measurement to
compare the return over risk free and its individual risk,
thus the higher Sharpe ratio, the higher compensation of
return over stand-alone risk, then we will consider the stock
that yield high Sharpe ratio compared to its peer to include
into our portfolio.
VI. PORTFOLIO THEORY
Markowitz [11] proposed the expected return and
expected risk measurement of the portfolio; also, he
showed that variance of the portfolio can be used as the risk
measurement of overall portfolio leading to diversification
study in asset allocation. Markowitz includes following
assumptions in his proposal.
1. Investors consider each investment alternative in the
form of distribution of expected return described by
probability of distribution.
2. Investors maximize one-period expected utility and
utility function followed by diminishing marginal utility of
wealth.
3. Investors calculate derive return from investment from
the portfolio variance of expected return

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4. Investors consider both expected return and risk, then
the utility function of each investor depends on both
expected risk and return.
5. Given the same amount of risk, investors will invest
in the asset yielding the highest return and the vice versa.
The study from Markowitz suggests that to construct the
efficient portfolio, the combination of the invested assets
must be located on the efficient frontier as efficient frontier
represents the best reward of return given the certain
amount of risk measured by standard deviation [12] where
the construction of the portfolio will maximize the expected
return Rp while keep the variance (σ2p) of the portfolio at
the minimum as described below,
Rp = wTµ (18)
σ2p = wT∑w (19)
Where;
1. Airport of Thailand PLC (AOT)
2. Energy Absolute PLC (EA)
3. Global Power Synergy (GPSC)
4. Indorama Ventures PCL (IVL)
5. Beauty Community PCL (BEAUTY)
The next is to find the portion for each candidate
such that we will obtain the optimum portfolio in
accordance with Markowitz’s portfolio theory, in this case
we will find the portion for each stock such that the risk
(variance) of the portfolio is minimum. The result is that we
will invest 55%, 2.4%, 22%, 16.2% and 4.4% in AOT, EA,
GPSC, IVL, and BEAUTY accordingly and the efficient
frontier is shown next.

Rp = Expected return from portfolio

σ2p = Portfolio variance

σp = Portfolio standard deviation

µ = Vector of expected return form each asset

w = Vector of share of wealth in each asset

∑ = Variance covariance matrix of asset return

Fig. 1. Efficient frontier for candidate stocks
σp = ∑ (20)
C. Model training
We will simulate the trading for 100 days, then we will
compare the result with SET50 performance; the simulation
VII. PROCEDURE employs 300 data set starting from 6th April 2017 onward
The procedure for experiment will follow data analysis because among 50 stocks comprised in SET50, TPI Polene
process which the steps will be as following; Power Pcl., (TPIPP) was firstly traded on that day before,
1. Data acquisition hence, older data prior 6th April for TPIPP does not exist.
2. Exploring and preparing data we divide data set into two subsets, first for model training
3. Model Training and the second one for prediction, thus the trading will be
4. Model performance evaluation made on the last 100 days from dataset.
We simulate 100 trading days and each time we
A. Data acquistion built both ARIMA and HW once, then we will use both
To acquire the list of stocks comprising in SET50, we model to predict the price of the stock and make the
need to access to The Stock Exchange of Thailand’s (SET) decision where we will long, short or hold the stock. We
website, SET has its own policy to include stocks for also incorporate 0.25% commission on trading value.
SET50 index. The list will be updated in accordance with
SET’s policy for selecting stock to be included in the TABLE I. PARAMETERS IN ARIMA MODELS FROM THE FIRST ITERATION
SET50 and as well as to be removed, thus the list will
change when stocks in the list does comply or does not Stock ARIMA model Model
comply with SET’s criteria.
We also need another source of data because SET only AOT ARIMA(0,1,0) − = .
provides historical prices traced back for 6 months or
roughly 180 records which are quite small, thus we need to EA ARIMA(0,1,0) − = .
retrieve historical prices from Yahoo Finance to obtain GPSC ARIMA(2,2,1) − −
longer data series. =− . − .
− .
B. Explorting and preparing data IVL ARIMA(1,1,1) −
All data from the acquisition is needed to be cleaned = . − .
such that only relevant data will be used. Until this process + .
BEAUTY ARIMA(0,1,0) − = .
we have all 50 stocks and their times series, thus we will
compute Sharpe Ratio to select only top 5 stocks yielding
highest scores and the top performers are

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TABLE II. PARAMETERS IN ARIMA MODELS FROM THE FIRST stock all are the same as we have determined in earlier
ITERATION
except that the time series we will use here will be varied by
its lag time.
Stock Smoothing parameters ( , , )
AOT = . , = , = What we means about lag time here is that; when we say
EA = . , = . , = we will use two lags of time to forecast the future price
GPSC = . , = . , = means we will collect the closed price of our stock every
IVL = . , = . , period indicated by aforementioned lags of time such as, if
= .
we use two lags of time for our prediction we will collect
BEAUTY = . , = , =
the closed price very two days and use as our time series for
building models both ARIMA and Holt – Winters or when
we use four lags of time for building up forecasted
D. Model performance and evaluation models we will gather closed price every four days
One dimension for selecting the model is to see whether depicted in diagram below;
the model generates large amount of errors. One
methodology for gauging the accuracy of the model is to T0 T1 T2 T3 T4 T5 T6 T7 T8 T9 T10

find the mean square errors (MSE) the least MSE, the better Fig. 2. Time line with different lag time
performance of the model. Here, we can summarize the
MSE for each model the traded stocks employed after 100 - Members of two lag time series is comprised of T0, T2,
simulations of trading in the table. T4, T6… T10
TABLE III. SUMMARY OF SUM SQUARE ERRORS (MSE) AND - Members of four lag time series is comprised of T0, T4
PERFORMANCE and T8
Stocks Model
ARIMA Holt and Winters TABLE IV. SUMMARY OF PERFORMANCE FOR EACH LAG TIME
AOT 0.57 0.81
EA 4.43 5.05 Number Profit No. Profit per Trade
GPSC 2.03 2.95 of Lag ARIMA Holt - Trade ARIMA Holt-
IVL 1.18 1.17 winters Winters
BEAUTY 0.26 10.35 1 -9.38% -9.65% 100 -0.093% -0.096%
Total 8.21 20.33 2 32.75% 20.64% 50 0.655% 0.413%
Return -9.38% -9.65% 3 19.69% 14.41% 33 0.596% 0.436%
4 14.54% 1.95% 25 0.581% 0.078%
5 5.74% 4.32% 20 0.287% 0.216%
The first glimpse at the table, we can say that
ARIMA model outperforms HW model as total MSE for
ARIMA model is far lower than one from ARIMA model; The result shown above summarized the result from
the result is true for the accuracy describing above. From trading by using different lags up to five lags of time. We
the simulation for 100 times, we found that portfolio using can see that using different lags of time yields different
ARIMA model as the predictor yields -9.38%, while HW result. The most relevant criteria for evaluating the
yields -9.65%, while if an investor invests during the performance is profit per trade, as it says, the profit per trade
simulated period will suffer from 11.43% loss; thus, only will get rid of bias based on the number of trading
ARIMA model outperforms the market return. transactions such that we scale down the result into per
trading transaction to judge which model perform better.
We can conclude from our experiment that; even
though, the model fits time series quite well, the instruction We can see that when we use time series used two lags
to trigger the execution to buy or sell is matter, especially of close prices as the input, ARIMA provides the highest
when the prediction signals the up move, but the signal is return or 0.655% per trading, while Holt – Winters performs
too weak in other words just a little higher than previous best when using three lag of closing prices as the input.
price. In this case, the gain might not compensate Seemingly, using different lag time enhanced the
commission fees and eventually, we will lose as we trade performance of overall model as the result of
too often; the lost is not from the inaccuracy of the 1. Lower commission fees as the number of trade is
prediction, but from the commission fees instead. drastically reduced. The first proposed methodology
assumes that we will made the transaction every and each
transaction we will pay 0.25% on the amount of trading, thus
VIII. ENHANCED PERFORMANCED BY MULTIPLE DAY implementing time lag for trading means the less trading
TRADING transaction; with two lags will cut the commission fee by
We implement the same strategy for both ARIMA and half.
HW model; however, the input time series will be modified
2. Daily volatility reduces unnecessary transaction. We
in accordance with lag time starting from two to five lags of
can see on the next graph that the volatility of AOT daily
time series.
price is higher than AOT four lag price as the latter graph is
To be able to compare with our previous strategy, we smoother than daily’s one. The smoother time series will
will also use the same assumptions using in daily trade enhance the model due to both ARIMA and HW employ the
strategy which includes the invested assets (AOT, EA, IVL, previous day trading price in building up the model the less
GPSC and BEAUTY), trading period and stock (from 1st volatility of time series, the more accuracy of the model.
January 2018 to 28th June 2018) and the weight in each Furthermore, daily trading will overlook the power of

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market correction or we put more concern over daily instantaneously. Results from all strategies simulating in
volatility; there are many times that there is a rumor or this study are summarized in table V.
uncertainty happens during day trade resulting to the spike
in price. Player in the market does take time to recognize all
relevant information to remake the right decision; market TABLE V. SUMMARY OF PERFORMANCE FROM ALL METHODS
anxiety during political protest could be the good example,
during the chaos, there will always be a flow of information Strategy Profit No. Profit per trade
ARIMA HW Trade ARIMA HW
which is more arbitrary in nature; investors will response to
Daily -9.38% -9.65% 100 -0.093% -
the perceived information and reconcile their decision when trading 0.096
they receive the fact. This will create the fluctuation on stock %
price which could move up or down, then revert to the 2-day lags 32.75% 20.64% 50 0.655% 0.413
original level on the next trading day. Thus, using time lag trading %
of trading will remove such irregularity and lessen 3-day lags 19.69% 14.41% 33 0.596% 0.436
trading %
superfluous trading.
4-day lags 14.54% 1.95% 25 0.581% 0.078
trading %
5-day lags 5.74% 4.32% 20 0.287% 0.216
trading %
Combined
Both 0.5%
ARIMA
and HW

Portfolio theory proposed by Markowitz also play

Fig. 3. Price volatility with four lags of time
IX. COMBINED BOTH ARIMA AND HW TOGETER
In previous approach, we separately make our prediction
based on ARIMA or HW. Since both models possess
different assumptions and acquire distinctive abilities to
foresee the closing price. We can replicate the idea by using
the same methodology in technical trading by put both
models together as in technical trading we usually put
trading signals together and make transactions in
accordance with their suggestions. To imitate the idea by
using time series model, we will execute the transaction
only when both model confirm the same prediction which
means we will sell our stock when both ARIMA and HW
suggest that the price of the next trading day will go lower
and buy the stock when both models suggest that the price
will go higher etc.
We employ this strategy and follow the same iteration
with the same assumptions as daily trading (the same
weights in each stock, same trading period). We found that
this methodology provides preferable result as we
outperform the market by making the profit of 0.5% which
drastically drop from trading with each model separately.
X. SUMMARY
The proposed method for trading provides the
preferable result as both ARIMA and Holt-Winters time
series models could capture the rhythm of the market;
besides, manipulating time series by creating time lag will
enhance the performance due to unnecessarily trading from
price volatility and reducing in commission fees. Moreover,
combining the two models together will enhance the overall
performance as the execution of transaction will be done
when these models confirm the same direction
a vital role in our trading strategy as the portfolio will be
constructed based on the minimum variance to reduce
overall portfolio risk, such that each fund will effectively
allocated to each candidate stock in way to minimize
portfolio risk; otherwise, randomly assigned budget to each
stock could possibly yields the worsen result than the
market does.
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