{"id":"https://openalex.org/W3171575920","doi":"https://doi.org/10.1109/access.2021.3089563","title":"Using Trend Ratio and GNQTS to Assess Portfolio Performance in the U.S. Stock Market","display_name":"Using Trend Ratio and GNQTS to Assess Portfolio Performance in the U.S. Stock Market","publication_year":2021,"publication_date":"2021-01-01","ids":{"openalex":"https://openalex.org/W3171575920","doi":"https://doi.org/10.1109/access.2021.3089563","mag":"3171575920"},"language":"en","primary_location":{"id":"doi:10.1109/access.2021.3089563","is_oa":true,"landing_page_url":"https://doi.org/10.1109/access.2021.3089563","pdf_url":null,"source":{"id":"https://openalex.org/S2485537415","display_name":"IEEE Access","issn_l":"2169-3536","issn":["2169-3536"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310319808","host_organization_name":"Institute of Electrical and Electronics Engineers","host_organization_lineage":["https://openalex.org/P4310319808"],"host_organization_lineage_names":["Institute of Electrical and Electronics Engineers"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"IEEE Access","raw_type":"journal-article"},"type":"article","indexed_in":["crossref","doaj"],"open_access":{"is_oa":true,"oa_status":"gold","oa_url":"https://doi.org/10.1109/access.2021.3089563","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5067978605","display_name":"Yao\u2013Hsin Chou","orcid":"https://orcid.org/0000-0002-3254-5510"},"institutions":[{"id":"https://openalex.org/I193365169","display_name":"National Chi Nan University","ror":"https://ror.org/03ha6v181","country_code":"TW","type":"education","lineage":["https://openalex.org/I193365169"]}],"countries":["TW"],"is_corresponding":false,"raw_author_name":"Yao-Hsin Chou","raw_affiliation_strings":["Department of Computer Science and Information Engineering, National Chi Nan University, Nantou, Taiwan"],"raw_orcid":"https://orcid.org/0000-0002-3254-5510","affiliations":[{"raw_affiliation_string":"Department of Computer Science and Information Engineering, National Chi Nan University, Nantou, Taiwan","institution_ids":["https://openalex.org/I193365169"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5072290707","display_name":"Yun-Ting Lai","orcid":"https://orcid.org/0000-0002-7625-9815"},"institutions":[{"id":"https://openalex.org/I193365169","display_name":"National Chi Nan University","ror":"https://ror.org/03ha6v181","country_code":"TW","type":"education","lineage":["https://openalex.org/I193365169"]}],"countries":["TW"],"is_corresponding":false,"raw_author_name":"Yun-Ting Lai","raw_affiliation_strings":["Department of Computer Science and Information Engineering, National Chi Nan University, Nantou, Taiwan"],"raw_orcid":"https://orcid.org/0000-0002-7625-9815","affiliations":[{"raw_affiliation_string":"Department of Computer Science and Information Engineering, National Chi Nan University, Nantou, Taiwan","institution_ids":["https://openalex.org/I193365169"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5081338996","display_name":"Yu-Chi Jiang","orcid":"https://orcid.org/0000-0003-0489-9896"},"institutions":[{"id":"https://openalex.org/I16733864","display_name":"National Taiwan University","ror":"https://ror.org/05bqach95","country_code":"TW","type":"education","lineage":["https://openalex.org/I16733864"]}],"countries":["TW"],"is_corresponding":false,"raw_author_name":"Yu-Chi Jiang","raw_affiliation_strings":["Department of Electrical Engineering, National Taiwan University, Taipei, Taiwan"],"raw_orcid":"https://orcid.org/0000-0003-0489-9896","affiliations":[{"raw_affiliation_string":"Department of Electrical Engineering, National Taiwan University, Taipei, Taiwan","institution_ids":["https://openalex.org/I16733864"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5016347657","display_name":"Shu\u2013Yu Kuo","orcid":"https://orcid.org/0000-0002-9780-0738"},"institutions":[{"id":"https://openalex.org/I162838928","display_name":"National Chung Hsing University","ror":"https://ror.org/05vn3ca78","country_code":"TW","type":"education","lineage":["https://openalex.org/I162838928"]}],"countries":["TW"],"is_corresponding":false,"raw_author_name":"Shu-Yu Kuo","raw_affiliation_strings":["Department of Computer Science and Engineering, National Chung Hsing University, Taichung, Taiwan"],"raw_orcid":"https://orcid.org/0000-0002-9780-0738","affiliations":[{"raw_affiliation_string":"Department of Computer Science and Engineering, National Chung Hsing University, Taichung, Taiwan","institution_ids":["https://openalex.org/I162838928"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":4,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":{"value":1850,"currency":"USD","value_usd":1850},"apc_paid":{"value":1850,"currency":"USD","value_usd":1850},"fwci":4.1515,"has_fulltext":false,"cited_by_count":22,"citation_normalized_percentile":{"value":0.94455941,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":94,"max":99},"biblio":{"volume":"9","issue":null,"first_page":"88348","last_page":"88363"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9994000196456909,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9994000196456909,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9993000030517578,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9983999729156494,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.8479242324829102},{"id":"https://openalex.org/keywords/sharpe-ratio","display_name":"Sharpe ratio","score":0.6593492031097412},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.6255719065666199},{"id":"https://openalex.org/keywords/stock-market","display_name":"Stock market","score":0.578930139541626},{"id":"https://openalex.org/keywords/rate-of-return-on-a-portfolio","display_name":"Rate of return on a portfolio","score":0.5780190825462341},{"id":"https://openalex.org/keywords/stock","display_name":"Stock (firearms)","score":0.5641866326332092},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5566003322601318},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5244336724281311},{"id":"https://openalex.org/keywords/modern-portfolio-theory","display_name":"Modern portfolio theory","score":0.4661608338356018},{"id":"https://openalex.org/keywords/expected-return","display_name":"Expected return","score":0.46383580565452576},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.36397117376327515},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.3162616193294525},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.26977479457855225},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.2614915072917938},{"id":"https://openalex.org/keywords/engineering","display_name":"Engineering","score":0.11124420166015625}],"concepts":[{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.8479242324829102},{"id":"https://openalex.org/C139938925","wikidata":"https://www.wikidata.org/wiki/Q1501898","display_name":"Sharpe ratio","level":3,"score":0.6593492031097412},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.6255719065666199},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.578930139541626},{"id":"https://openalex.org/C104946779","wikidata":"https://www.wikidata.org/wiki/Q7295542","display_name":"Rate of return on a portfolio","level":4,"score":0.5780190825462341},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.5641866326332092},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5566003322601318},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5244336724281311},{"id":"https://openalex.org/C9725762","wikidata":"https://www.wikidata.org/wiki/Q1072885","display_name":"Modern portfolio theory","level":3,"score":0.4661608338356018},{"id":"https://openalex.org/C154611145","wikidata":"https://www.wikidata.org/wiki/Q4331879","display_name":"Expected return","level":3,"score":0.46383580565452576},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.36397117376327515},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3162616193294525},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.26977479457855225},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.2614915072917938},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.11124420166015625},{"id":"https://openalex.org/C2780762169","wikidata":"https://www.wikidata.org/wiki/Q5905368","display_name":"Horse","level":2,"score":0.0},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1109/access.2021.3089563","is_oa":true,"landing_page_url":"https://doi.org/10.1109/access.2021.3089563","pdf_url":null,"source":{"id":"https://openalex.org/S2485537415","display_name":"IEEE Access","issn_l":"2169-3536","issn":["2169-3536"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310319808","host_organization_name":"Institute of Electrical and Electronics Engineers","host_organization_lineage":["https://openalex.org/P4310319808"],"host_organization_lineage_names":["Institute of Electrical and Electronics Engineers"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"IEEE Access","raw_type":"journal-article"},{"id":"pmh:oai:doaj.org/article:e8ab87338c1f48c08f32c68fad0f7d09","is_oa":true,"landing_page_url":"https://doaj.org/article/e8ab87338c1f48c08f32c68fad0f7d09","pdf_url":null,"source":{"id":"https://openalex.org/S4306401280","display_name":"DOAJ (DOAJ: Directory of Open Access Journals)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-sa","license_id":"https://openalex.org/licenses/cc-by-sa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"IEEE Access, Vol 9, Pp 88348-88363 (2021)","raw_type":"article"}],"best_oa_location":{"id":"doi:10.1109/access.2021.3089563","is_oa":true,"landing_page_url":"https://doi.org/10.1109/access.2021.3089563","pdf_url":null,"source":{"id":"https://openalex.org/S2485537415","display_name":"IEEE Access","issn_l":"2169-3536","issn":["2169-3536"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310319808","host_organization_name":"Institute of Electrical and Electronics Engineers","host_organization_lineage":["https://openalex.org/P4310319808"],"host_organization_lineage_names":["Institute of Electrical and Electronics Engineers"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"IEEE Access","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G1500812654","display_name":null,"funder_award_id":"107-2221-E-260-019-MY2","funder_id":"https://openalex.org/F4320322795","funder_display_name":"Ministry of Science and Technology, Taiwan"},{"id":"https://openalex.org/G608410527","display_name":null,"funder_award_id":"109-2222-E-005-002-MY3","funder_id":"https://openalex.org/F4320322795","funder_display_name":"Ministry of Science and Technology, Taiwan"},{"id":"https://openalex.org/G7003475368","display_name":null,"funder_award_id":"109-2627-M-002-003","funder_id":"https://openalex.org/F4320322795","funder_display_name":"Ministry of Science and Technology, Taiwan"},{"id":"https://openalex.org/G8471309957","display_name":null,"funder_award_id":"108-2638-E-002-002-MY2","funder_id":"https://openalex.org/F4320322795","funder_display_name":"Ministry of Science and Technology, Taiwan"},{"id":"https://openalex.org/G8823845631","display_name":null,"funder_award_id":"109-2221-E-260-014","funder_id":"https://openalex.org/F4320322795","funder_display_name":"Ministry of Science and Technology, Taiwan"}],"funders":[{"id":"https://openalex.org/F4320322795","display_name":"Ministry of Science and Technology, Taiwan","ror":"https://ror.org/02kv4zf79"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":47,"referenced_works":["https://openalex.org/W315644267","https://openalex.org/W1482349436","https://openalex.org/W1556437391","https://openalex.org/W1557053574","https://openalex.org/W1569468759","https://openalex.org/W1603434128","https://openalex.org/W1668618005","https://openalex.org/W1846149634","https://openalex.org/W1912679334","https://openalex.org/W1966251796","https://openalex.org/W1970835330","https://openalex.org/W1983541554","https://openalex.org/W1985177160","https://openalex.org/W2011030315","https://openalex.org/W2017114519","https://openalex.org/W2021414249","https://openalex.org/W2050568179","https://openalex.org/W2061328748","https://openalex.org/W2064891927","https://openalex.org/W2069511311","https://openalex.org/W2101017154","https://openalex.org/W2110673618","https://openalex.org/W2120271349","https://openalex.org/W2124216144","https://openalex.org/W2153580489","https://openalex.org/W2154589806","https://openalex.org/W2159318931","https://openalex.org/W2162397932","https://openalex.org/W2188824969","https://openalex.org/W2244320897","https://openalex.org/W2558137120","https://openalex.org/W2596205691","https://openalex.org/W2758670583","https://openalex.org/W2775412787","https://openalex.org/W2896711858","https://openalex.org/W2909258731","https://openalex.org/W2909484307","https://openalex.org/W2927866065","https://openalex.org/W2989643917","https://openalex.org/W3112623373","https://openalex.org/W3124170611","https://openalex.org/W3125794401","https://openalex.org/W3125923067","https://openalex.org/W3149035007","https://openalex.org/W4236670843","https://openalex.org/W4253277059","https://openalex.org/W6787399429"],"related_works":["https://openalex.org/W3173433198","https://openalex.org/W4386638991","https://openalex.org/W3114011295","https://openalex.org/W2131638049","https://openalex.org/W2367990330","https://openalex.org/W2342245948","https://openalex.org/W4290972973","https://openalex.org/W4387811153","https://openalex.org/W2221832056","https://openalex.org/W2498125471"],"abstract_inverted_index":{"Stock":[0],"selection":[1],"is":[2,24,106,109],"an":[3],"important":[4,19],"issue":[5],"in":[6,103,185,197,228,240],"the":[7,38,42,65,100,126,175,186,198,208,220,232,241,253,257,262,269,280],"stock":[8,104,188,223,233],"market,":[9],"and":[10,16,34,84,157,160,231,276],"when":[11],"assessing":[12],"portfolio":[13,32,47,54,80,87,140,181,230,250,254,266],"performance,":[14],"return":[15,33,94,236],"risk":[17,83,278],"are":[18],"conditions.":[20],"The":[21,72,170],"Sharpe":[22,39,258,281],"ratio":[23,40,67,74,271],"a":[25,53,77,86,90,119,139,162,166,180,212,229,265],"well-known":[26],"assessment":[27,289],"strategy":[28],"that":[29,88,174],"simultaneously":[30],"considers":[31],"risk.":[35,98],"However,":[36],"as":[37,58],"uses":[41,64,125,148],"average":[43],"line":[44],"to":[45,68,111,115,136,155,261],"assess":[46,52,76],"risk,":[48,60],"it":[49,108],"can":[50,75,178,204,286],"easily":[51],"with":[55,81,133,165,182,234,252],"stable":[56,78,183,274],"uptrend":[57,79,184,275],"high":[59,167],"thus,":[61],"this":[62,70,123,146,246],"paper":[63,124,147,191],"trend":[66,73,168,270],"address":[69],"problem.":[71],"low":[82],"identify":[85,161,179],"has":[89,272],"higher":[91],"daily":[92,97],"expected":[93],"per":[95],"unit":[96],"As":[99],"solution":[101,105,199,242],"space":[102],"huge,":[107],"hard":[110],"use":[112],"brute-force":[113],"method":[114,177,203,285],"exhaust":[116],"selections":[117],"within":[118],"limited":[120,142],"time.":[121,143],"Thus,":[122,283],"Global-best":[127],"guided":[128,255,267],"Quantum-inspired":[129],"Tabu":[130],"Search":[131],"algorithm":[132],"Not-gate":[134],"(GNQTS)":[135],"effectively":[137],"optimize":[138],"given":[141],"In":[144,244],"addition,":[145,245],"13":[149],"different":[150],"kinds":[151],"of":[152,211],"sliding":[153],"windows":[154],"train":[156],"test":[158],"data,":[159],"suitable":[163],"period":[164],"ratio.":[169,282],"experimental":[171,263],"results":[172],"show":[173],"proposed":[176],"U.S.":[187],"market.":[189],"This":[190],"does":[192],"not":[193,225],"exclude":[194],"any":[195],"stocks":[196],"space;":[200],"therefore,":[201],"our":[202,249,284],"comprehensively":[205],"consider":[206],"all":[207],"possible":[209],"combinations":[210],"portfolio.":[213],"Moreover,":[214],"we":[215],"find":[216],"some":[217],"interesting":[218],"phenomenon:":[219],"best":[221],"single":[222],"may":[224],"be":[226,238],"contained":[227],"negative":[235],"cannot":[237],"excluded":[239],"space.":[243],"study":[247],"compares":[248],"performance":[251],"by":[256,268],"ratio;":[259],"according":[260],"results,":[264],"more":[273],"lower":[277],"than":[279],"outperform":[287],"other":[288],"strategies.":[290]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":3},{"year":2024,"cited_by_count":9},{"year":2023,"cited_by_count":7},{"year":2022,"cited_by_count":2}],"updated_date":"2026-06-11T09:08:48.828518","created_date":"2025-10-10T00:00:00"}
