The Role of Fundamental Information for Trading Strategies Creation

The fundamental information, in the current world, is one of the main elements for decision making among governments, banks and individual investors. The paper discussesuseof basicfundamentalindicatorsin the trading strategycreation. The main goal and researchideaisto testthe ability, sensitivity and reaction rate of markets on the information. The idea was to research how quickly market absorbsanannounced value of the fundamental information andconverse them intothe desiredchanges inthe price movements. Research offersan unconventionallook at the instrument price movement, taking into consideration comparedvalue changes of fundamental information and different timedelaysapplied to the entrypositions. The approach is applied to the majorstock indexS&P 500representing the widest scope of the market. The lengthof the time series,on whichthe strategies could be tested, together with the impact of information, served us as determinantsof the stock indexes selection. In the development phase the maximumpossible combinations of strategiesfordecision-makingalgorithm,were tested. The results were used for the selection of the most efficient strategies taking into account the smallest drawdown. At the end of the paper the results and strategies are discussed, and selected strategies are back-tested ontheunderlying assets ETF, SPDRS&P500 (SPY).