Analysis of Sharpe Ratio for Stock Trend Prediction using Data Mining Techniques

The study shows that using the Sharpe Ratio to assess risk greatly helps in predicting stock market trends and improving portfolio performance. Companies that have higher Sharpe Ratios tend to offer more consistent returns with less risk.When data mining methods are combined with deep learning models, the accuracy of predicting future market movements increases. This framework can assist investors, financial analysts, and researchers in making better decisions and managing risks effectively.   

1. William F. Sharpe, (1966), Mutual Fund Performance, Journal of Business, 39(1), 119–138. 2. Thomas Fischer & Christopher Krauss, (2018), Deep Learning with Long Short-Term Memory Networks for Financial Market Predictions, European Journal of Operational Research, 270(2),654–669. 3. Jigar Patel, Sahil Shah, Priyank Thakkar, & Ketan Kotecha, (2015), Predicting Stock Market Index Using Fusion of Machine Learning Techniques, Expert Systems with Applications, 42(4), 2162–2172. 4. Jingyun Yang, Pan Li, Yiwen Cui, Xu Han, & Mengjie Zhou, (2025), Multi-Sensor Temporal Fusion Transformer for Stock Performance Prediction: An Adaptive Sharpe Ratio Approach.Sensors, 25(3),976. 5. Markus Schäfer, Thomas Müller, & Hugo Fernandez, (2025), Deep Learning for Stock Performance Prediction: A Sharpe Ratio-Optimized Approach, Asia Pacific Economic and Management Review, 2(2). 6. Thibaut Théate & Damien Ernst, (2020), An Application of Deep Reinforcement Learning to Algorithmic Trading. 7. Jaydip Sen & Abhishek Dutta, (2022), Design and Analysis of Optimized Portfolios for Selected Sectors of the Indian Stock Market. 8. Yuhui Jin, (2024), GraphCNNpred: A Stock Market Indices Prediction Using a Graph Based Deep Learning System. 9. Elton, E. J., Gruber, M. J., Brown, S. J., & Goetzmann, W. N., (2014), Modern Portfolio Theory and Investment Analysis, Wiley Publications. 10. Alexander, C., (2008), Market Risk Analysis, Volume II: Practical Financial Econometrics, Wiley Publications.