Stock Trading Strategies Based on Fundamental Macro Analysis: Using the Markov model of dynamic switching

The present study examines stock trading strategies based on macro fundamental analysis: using the Markov model of dynamic switching in companies listed on the Tehran Stock Exchange in the period 1391-1397 (117 companies). For this purpose, using the field survey and document mining methods, the extracted information has been tested and analyzed using descriptive statistics methods and panel data model (logistic regression). The results of the hypothesis showed that the risk factor, size factor, book value to market ratio and investment factor is the determining factor in predicting the return on value stocks. Also, risk factor, book value to market ratio and investment factor is the determining factor in predicting growth stock returns. We also proved the results economically based on the fundamental analysis of the Markov dynamic switching model.