Τεχνική και Θεμελιώδης Ανάλυση μετοχών και εταιριών

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1 Σİθδεά εαδ Θİηİζδυįβμ ǹθΪζıβ ηİIJυθ εαδ İIJαδλδθ. Γεκτηαμ IJλΪIJκμέ ΠIJξδκτξκμ Οδεκθκηκζσΰκμ. MSc ‘ǼφαληκıηΫθβ Οδεκθκηδεά εαδ λβηαIJκκδεκθκηδεά (ǼέΚέΠέǹέή Σηάηα Οδεκθκηδευθ)’ Team Site: A.E.A.C. Co. Project Manager-Site Administrator e-mail: [email protected], My Blog, Twitter, Linkedin 08/10/2015 ΠǼΡΙΛΗΦΗ IJβθ ηİζΫIJβ αIJά γα αλκıδΪıκηİ ηİλδεκτμ ίαıδεκτμ εαθσθİμ εαδ įİέεIJİμ ΰδα IJİξθδεά αθΪζıβ ηİIJκξυθ- įİδεIJυθ εαδ γİηİζδυįβ αθΪζıβ İIJαδλδυθ. Θα ζΪίκηİ IJδμ αλİζγκτıİμ IJδηΫμ ΰδα ηδα ηİIJκξά εαδ ΫİδIJα ηİ IJα εαIJΪζζβζα İλΰαζİέα εαδ ηİγσįκμ IJβμ IJİθδεάμ αθΪζıβμ (Technical Analysis) γα λκıįδκλέıκηİ IJβθ κλİέα IJβμ ηİIJκξάμ. ΠαλΪζζβζα γα İιİIJΪακηİ εαδ ηİλδεΪ κδεκθκηδεΪ ηİΰΫγβ IJβμ İIJαδλέαμ υıIJİ θα λκίκτηİ ıİ γİηİζδυįβ αθΪζıβ (Fundamental Analysis), ΫξκθIJαμ ΫIJıδ ηδα κζκεζβλπηΫθβ İδεσθα ΰδα IJβθ κλİέα IJπθ κδεκθκηδευθ εαδ ξλβηαIJδıIJβλδαευθ ηİΰİγυθ IJβμέ Ǿ İIJαδλέα εαδ β ηİIJκξά κ γα αθαζτıκηİ İέθαδ IJπθ Ǽζζβθδευθ ΠİIJλİζαέπθ ǹέǼέ (ǼΛΠǼ ǹέǼέ). Ǿ ǼΛΠǼ įλαıIJβλδκκδİέIJαδ ıIJκθ ξυλκ IJπθ İIJλİζαδκİδįυθ ασ IJκ 1ληη εαδ ηααέ ηİ IJβθ Motor Oil, ακIJİζκτθ IJδμ įκ ηİΰαζτIJİλİμ İIJαδλέİμ ıIJκθ εζΪįκ IJβμ įδτζδıβμ İIJλİζαέκ εαδ İθΫλΰİδαμέ Σκ İτλκμ IJπθ İλΰαıδυθ IJβμ İλδζαηίΪθİδ įλαıIJβλδσIJβIJİμ σπμ β įδτζδıβ, İηκλέα εαδ įδαθκηά İIJλİζαέκ, ξβηδεΪ- İIJλκξβηδεΪ, İλİθΪ εαδ αλΪΰπΰβ įλκΰκθαθγλΪεπθ, αλαΰπΰά İθαζζαεIJδευθ βΰυθ İθΫλΰİδαμ, IJİξθδεΫμ βλİıέİμ ΰδα γΫηαIJα İθΫλΰİδαμ εIJζέ Οδ βλİıέİμ εαδ IJα λκρσθIJα IJκ κηέζκ εαζτIJκθ ıξİįσθ σζβ IJβθ İλδκξάμ IJβμ θκIJδκαθαIJκζδεά Ǽλυβμ. Οδ İIJαδλİέİμ κ ΪΰκθIJαδ ıIJκθ σηδζκ IJπθ ǼΛΠǼ İέθαδ 1) ǼζζβθδεΪ ΠİIJλΫζαδα ǹέǼέ (ǻδτζδıβ) β) ǼΚΟ ǹέǺέǼέǼέ, Καζοπ ǼέΠέǼέ ǼζζβθδεΪ Κατıδηα ǹέǼέǼέ (Ǽηκλέα) 3) ǼζζβθδεΪ ΠİIJλΫζαδα ǹέǼέ, ΝIJδαικθ ǹέǺέǼέǼέ (βηδεΪ) 4) ǼζζβθδεΪ ΠİIJλΫζαδα ǹέǼέ, εelrose Kuwait Energy ωo Τ ǼΛέΠǼέ, Vegas τil Τ GAS - ǼΛέΠǼέ (ǼλİθΪ εαδ ΠαλΪΰπΰβ įλκΰκθαθγλΪεπθ) 5) Elpedison BV (ΠαλΪΰπΰβ εαδ İηκλέα βζİεIJλδεάμ İθΫλΰİδαμ)
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Στην μελέτη αυτή θα παρουσιάσουμε μερικούς βασικούς κανόνες και δείκτες για τεχνική ανάλυση μετοχών- δεικτών και θεμελιώδη ανάλυση εταιριών. Θα λάβουμε τις παρελθούσες τιμές για μια μετοχή και έπειτα με τα κατάλληλα εργαλεία και μεθόδους της τεχνικής ανάλυσης (Technical Analysis) θα προσδιορίσουμε την πορεία της μετοχής. Παράλληλα θα εξετάζουμε και μερικά οικονομικά μεγέθη της εταιρίας ώστε να προβούμε σε θεμελιώδη ανάλυση (Fundamental Analysis), έχοντας έτσι μια ολοκληρωμένη εικόνα για την πορεία των οικονομικών και χρηματιστηριακών μεγεθών της.

Transcript of Τεχνική και Θεμελιώδης Ανάλυση μετοχών και εταιριών

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    . . MSc () Team Site: A.E.A.C. Co. Project Manager-Site Administrator e-mail: [email protected], My Blog, Twitter, Linkedin

    08/10/2015

    - . (Technical Analysis) . (Fundamental Analysis), (). 1 Motor Oil, , , - , , , . 1) () ), () 3) ,() 4) ,elroseKuwaitEnergyo,VegasilGAS - () 5) Elpedison BV ( )

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    6) , ( ) )( ) )()

    Keywords: technical analysis, fundamental analysis, stock market, corporation, MACD, William %R, SMA, EMA, Stochastic Oscillator, RSI, CCI, Bollinger Bands, ROE, ROA, Current Ratio, EPS, EBITDA, EBT

    (Technical Analysis) . , . . 1) (, / , , , , ) 2) . 3) . 4) -, .

    (Fundamental Analysis)

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    1) , 2) , , 3) . 4) , , . 5) .

    1) . ) , . ) , , . ) , . , , , ,

    ,

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    ------

    . (leading) (lagging) , .

    H , -- (bull market- uptrend), (bear market- downtrend) / (sideways trend). ( ), ( ) ( ).

    (patterns1), , (indicators), . 1) (trend) (--) 2) (volume). 3) (volatility). 4) (momentum). .

    1 .

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    (oscillator), , (overbought), , (sell signal). , (oversell), (buy signal) . , .

    . . ( )

    1) (Simple Moving Average- SMA) 2) (Exponential Moving Average- EMA) 3) MACD (Moving Average Convergence/Divergence). 4) Bollinger Bands 5) Commodity Channel Index 6) Relative Strength Index 7) William %R 8) Stochastic Oscillator

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    1) SMA (Simple Moving Average)

    , . , . , SMA (lagging) . , SMA .

    ---- SMA

    (Close Price), (), (SMA)

    SMA=++++ (P= Close Price, N= )

    , , , . , (), 1 . , SMA ,1. , , . , SMA 5 (5-days SMA),SMA 50 (50-days SMA), 5-days SMA 50-days SMA, (signal) (uptrend)5-days SMA 50-days SMA, (signal) (downtrend).

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    SMA. , SMA 10 (10-days SMA) 1-days SMA (signal) (uptrend) 1-days SMA (signal) (downtrend). , SMA (lagging), , .

    2) EMA (Exponential Moving Average)

    EMA, . SMA , (lagging) . EMA, , . , ,

    ---- EMA

    (Close Price), (), (EMA)

    SMA .

    t=1 EMA1=SMA

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    EMAt= + , t>1 , (P= Close Price) 0

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    ---- MACD

    (Close Price)

    MACD= EMA(Close Price, 12 days) - EMA(Close Price, 26 days) Signal= EMA(MACD, 9 days) Divergence = MACD Signal

    MACD Signal, (bear market), . MACD Signal, (bull market), . MACD ,

    4) Bollinger Bands

    John Bollinger, 1 (volatility bands) . , . . Bollinger Bands . , Bollinger Bands -Tops(*) W-Bottoms(*) .

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    ollinger ands (middle zone) (upper zone, lower zone). (SMA3), 20 . H +2 (upper zone) (middle zone), -2 (lower zone) .

    *-Tops: , , , () . *W-Bottoms: , W, , () .

    W- Bottom M-Tops

    3 SMA= Simple Moving Average

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    ---- Bollinger Bands

    (Close Price) (Standard Deviation)

    Middle Zone= 20 days SMA of Close Price Upper Zone= Middle Zone + 2*Standard Deviation(20 days) of Close price Lower Zone= Middle Zone - 2*Standard Deviation(20 days) of Close price

    (SMA) () SMA,

    5) Commodity Channel Index (CCI)

    onald Lambert 1 . , (ETFs, , ). CCI . CCI , . , CCI , . , CCI (overbought), (oversell).

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    ---- CCI

    (Close Price), (High Price) (Low Price). (Typical Price)

    Typical Price= + +

    CCI= ,

    CCI +100 , , . CCI -100 , , . +1 -100 CCI , +-200, .

    6) Relative Strength Index (RSI)

    Welles Wilder, 1 (oscillator). .

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    ---- RSI

    RSI= +

    RS=

    4 14 (14 days CMA). , (Close Price) (upward) (downward)

    1.

    Close Price(t) Close Price(t-1). Close(t) Close(t-1). >0 Upward (U) (Gain) Close(t) Close(t-1). 1: CMA(t) = +1

    4 ,

    (Smoothing Moving Average)

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    3.

    RSI= + 5

    RSI 1 (overbought) (oversell) RSI . ,

    RSI (oscillator) ( ) RSI .

    7) William %R

    Larry William, . (oscillator) Fast Stochastic Oscillator. O William %R, , N .

    5 CMA(D,1)(),RS RSI=100.

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    ---- William %R

    (Close Price), (High Price) (Low Price). 14 (1).

    %R= -100*

    -1 (-,) (overbought) (-100,-) (oversell), . -50 (-50,0), . (-100,-50) 125-days %R, . 125-days %R -50. . 125-days %R -50. .

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    8) Stochastic Oscillator

    George Lane, , 1 (oscillator) George Lane (momentum) , .

    ---- Stochastic Oscillator.

    (Close Price), (High Price) (Low Price). 14 (1).

    %K= %D=(3 days SMA) of %K

    Stochastic Oscillator, ,%K %D. %D, (signal) MACD. %K %D (signal), (bear market), . %K %D (signal), (bull market), .

    Stochastic Oscillator, %R.

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    Stochastic Oscillator 0 +1 %R Stochastic Oscillator, (overbought) (oversell). %K (,1) (overbought) (0,20) (oversell), . , (80,100), , (,) .

    50 (50,100), . (0,50) .

    Stochastic Oscillator. Stochastic Oscillator .

    1) Fast Stochastic Oscillator ( Stochastic Oscillator). , George Lane ,

    2) Slow Stochastic Oscillator. Fast Stochastic Oscillator. .

    ) Fast Stochastic Oscillator (Fast %) Fast %= Clece cle ceLw PceH PceLw Pce

    ) 3 Fast Stochastic Oscillator, Slow

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    ) 3 Slow %K, Slow %D (signal)

    Slow %K= (3 days SMA) of Fast Stochastic Oscillator Slow %D=(3 days SMA) of Slow %K

    Slow Stochastic Oscillator , (smoothing) (SMA) Fast Stochastic Oscillator (momentum) .

    3) Full Stochastic Oscillator. %K %D. Fast Stochastic Oscillator , 14 , , Full Stochastic Oscillator, .

    ) Fast Stochastic Oscillator (Fast %) Fast %= Clece cle ceLw PceH PceLw Pce

    ) M1 Fast Stochastic Oscillator, Full

    ) M2 Full , Full %D (signal)

    Full %K= (M1 days SMA) of Fast Stochastic Oscillator Full %D=(M2 days SMA) of Full %K

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    ------

    , . , , , ( , , , - , , ). , (business plan), (business strategy), - (trademark), (customer relationships), (reputation) (goodwill), (R&D) , , . ,

    1) () 2) () 3) (AAE ROA) 4) (AA-ROE) 5) (A) 6) (EPS) 7) () 8) 9) () 10) ()

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    1)

    , , , , , , ,

    ---- .

    ++

    2

    () , -

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    ---- .

    3(AAE ROA)

    , ) , ) ), , ,

    ---- .

    ROA=

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    4) AA-ROE)

    , ,

    ----

    ROE=

    ,

    ---- .

    =

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    (EPS)

    EPS , , , ( ), , , , t t+1 (split), , , EPS ,EPS , , ( ) , EPS , EPS ( ,)

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    ---- .

    EPS=

    7)

    ,,,, , ,

    ---- .

    =

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    8)

    ( ) ) - ( ) , ) , . , . ) (Break Event Point). - . . - , . , , . . 1) ) -, ) ) -

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    ) .

    9(EBT).

    , (Earnings Before Taxes- EBT). . , , , , ( ), -

    10

    , , . , ,

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    ().

    ()

    ()

    , ,

    ( , EBITDA)

    ,

    ()

    (EBT)

    ( ) (/ )

    1. EBITDA: Earnings Before Interest Taxes Depreciation and Amortization (EBITDA: , )

    2. EBIT ( ): Earnings Before Interest and Taxes (EBIT: () ) EBIT= -

    3. () - ()-

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    ( ) 01/01/2014 31/12/2014 1 , , - , , , . .

    excel

    excel , (sheet) , (technical_analysis_ELPE.xls) , .

    -

    , , , . ,

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    1) SMA

    10-DAY SMA . , , , SMA . , SMA, (lagging) , 10 . , 1-days SMA 1-days SMA 06/2014-07/2014 1-days SMA, 04/2014 1 1-days SMA.

    0

    1

    2

    3

    4

    5

    6

    7

    8

    9

    SMA

    Close Price

    10-DAY SMA

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    2) EMA

    10-DAY EMA , EMA, (lagging) , 1 . , 1-days EMA 1-days EMA 06/2014-07/2014 1-days EMA, 04/2014 1 1-days EMA. EMA SMA, , .

    0

    1

    2

    3

    4

    5

    6

    7

    8

    9

    EMA

    Close Price

    10-DAY EMA

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    3) MACD.

    MACD, . MACD MACD Signal, (bear market), MACD Signal, (bull market), , , , MACD. 1 1 MACD Signal , MACD Signal, . ( 04/2014 04/2014), MACD Signal. 1 1, MACD Signal , MACD Signal, . 1 1, MACD Signal. 09/2014 10/2014, MACD Signal , , .

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    4) Bollinger Bands

    Bollinger Bands. , , . W- Bottom, , , , . , Bollinger M- Tops W-Bottoms

    -0.5

    -0.4

    -0.3

    -0.2

    -0.1

    0

    0.1

    0.2

    MACD & SIGNAL

    MACD

    SIGNAL

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    5) Commodity Channel Index (CCI)

    ,CCI . CCI , ,CCI , . +1 -100 . +1 -1 , , +-200. CCI . , CCI +1-100 , ( 1),

    0

    1

    2

    3

    4

    5

    6

    7

    8

    9

    BOLLINGER BANDS

    MIDDLE BAND

    UPPER BAND

    LOWER BAND

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    6) Relative Strength Index (RSI)

    , RSI 1 (overbought) (oversell) RSI (oscillator) () RSI ++ (+70) , (+30) , ,

    -300

    -200

    -100

    0

    100

    200

    300

    CCI

    CCI

    - 100 LINE

    +100 LINE

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    ,RSI ,

    7) William %R

    , %R ,14 -100 0. (-,) (overbought) (-100,-) (oversell), - (-,), (-100,-50) . (-100,-) (-,), , (-80,-) . .

    0.00

    10.00

    20.00

    30.00

    40.00

    50.00

    60.00

    70.00

    80.00RSI

    RSI

    +30 LINE

    +70 LINE

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    R CCI, CCI CCI

    8) Stochastic Oscillator

    Stochastic Oscillator,,(oscillator) (momentum) ,. Stochastic Oscillator, , %K %D %D, (signal) MACD. %K %D (signal), (bear market),

    -120

    -100

    -80

    -60

    -40

    -20

    0WILLIAM %R

    William R

    -80LINE

    -20 LINE

    -50 LINE

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    %K %D (signal), (bull market), Stochastic Oscillator,Stochastic Oscillator +1 %K (,1) (overbought) (,) (oversell), (,1), (,) .

    D (signal), D, , D, . , , . , D (3 Days SMA) Slow Stochastic Oscillator .

    , . , + + , . , (+10, +90) . , + ,

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    +, .

    0

    20

    40

    60

    80

    100

    120 %K &%D

    %K

    %D

    0

    20

    40

    60

    80

    100

    120 %K

    %K

    _+80 LINE

    _+20 LINE

    _ +50 LINE

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    1

    , 0. .91, . , , , , , . , - , , , . . , , ,

    2014 0,703 0,837 0,912 0,806

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    2)

    , . , , . , , , , . -0.022 -0.036, . , . , . 1, , 1 / , . , , / , . / , . , , .

    2014 -0,022 -0,013 -0,017 -0,036

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    3) (AAE ROA)

    (), . -0.008 -0.046, , . , , , , , , .

    , . , , , , () , ,

    2014 (ROA) -0,008 -0,008 -0,017 -0,046

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    4) AA-ROE)

    ROE -0.027 -0.266 . ROE , ROE, , , . , , 1 , . , , ROE. , . AKK, ROA, ROE, , , .

    2014 (ROE) -0,027 -0,034 -0,074 -0,266

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    5) (AI)

    . 17 0.28, , , , . , . , , , . , , 1) , 2) , 3) , 4) )

    2014 0,28 0,24 0,228 0,173

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    6) (EPS)

    EPS , , EPS , EPS -0.14 -1.03, 1 cents 1 . , (ROE, ROA), . , , , , ( , - , ), ,

    2014 EPS -0,14 -0,17 -0,36 -1,03

    1 , , ,

    2014 1,24 2,65 4,39 7,4

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    - - .

    , , (, , , ) , . . 313 , , , . , . , , . , / , . .

    2014 1.928.825.000 4.127.881.000 6.542.111.000 8.750.184.000 -57.993.000 -60.736.000 -150.548.000 -426.705.000 -42.250.000 -52.707.000 -110.504.000 -313.550.000

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    , , , . , , , , . , , , , .

    , . , . , , . , , . , . , , , ,

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    , , , , .

    -

    [1] (- 2006) [2] ( - 2006) [](University Studio Press- 2009) [](- 2002 [](EisenJPeter- 1997) [6] (- 2002) [7]Risk Management (- 2006) [](. Eurocapital- 1997) [](etapublications- 1999) [10] ( Nomismatus RPI- 2000) [11] Technical analysis, plain and simple (Kahn Michael. FT Press- 2006) [12] Technical Analysis of the Financial Markets: A Comprehensive Guide to Trading Methods and Applications (Murphy John. New York Institute of Finance- 1999)

    www.wikipedia.org www.stockcharts.com

    www.elpe.gr

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    (patterns)

    DOUBLE TOP

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    HEAD and SHOULDER TOP

    ASCEDING TRIANGLE

    [10] ( . Nomismatus RPI- 2000)