A Technical Analysis Indicator Based On Fuzzy Logic

Escobar, Alejandro; Moreno, Julián; Múnera, Sebastián

doi:10.1016/j.entcs.2013.02.003

Cited by 28 publications

(11 citation statements)

References 11 publications

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“…The design of many stock market trading systems based on synthesis of fuzzy logic and the rule-base evidential reasoning methods of Dempster (1968) and Shafer (1976) has produced ample evidence of predictability in price movements (see, e.g., Chang and Liu (2008), Dymova, Sevastianov and Bartosiewicz (2010), Boyacioglu and Avci (2010), Dymova, Sevastianov and Kaczmarek (2012), Escobar, Moreno and Múnera (2013), Chourmouziadis and Chatzoglou (2016), Chang, Wu and Lin (2016) or Rubell and Jessy (2016), among others). The empirical results on the performance of this type of stock trading expert systems suggests that financial markets function consistently with the Adaptive Markets Hypothesis (AMH) proposed by Lo (2004 and2005), according to which the market efficiency phenomenon tends to evolve over time, and the predictability of stock prices can arise periodically depending on evolving market conditions and agent behaviour (see, e.g., Urquhart andMcGroarty (2014 and or Manahov and Hudson (2014), among others).…”

Section: Introductionmentioning

confidence: 99%

A stock market trading system based on foreign and domestic information

Brzeszczyński

Ibrahim

2019

Expert Systems with Applications

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This paper investigates whether a particular magnitude and direction of interregional return signal transmission dominates the performance of domestic trading in American, European and Australasian stock markets. A trading system design, based on fuzzy logic rules, combines direct and indirect channels of foreign information transmission, modelled by stochastic parameter regressions, with domestic momentum information to generate stock market trading signals. Filters that control for magnitude and direction of trading signals are then used to investigate incremental impact on economic performance of the proposed investment system. The results indicate that at reasonable levels of transaction costs very profitable trades that are fewer in number do not increase investment performance as much as trades based on foreign information of a specific low-to-medium daily return magnitude of 0.5% to 0.75%. These information-based strategies are profitable on risk-adjusted bases and relative to a market, but performance declines considerably when traded instruments are used.

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Section: Introductionmentioning

confidence: 99%

A stock market trading system based on foreign and domestic information

Brzeszczyński

Ibrahim

2019

Expert Systems with Applications

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“…Even though the bases of trading are quite simple -buy low and sell high-the complication is how much to buy or sell and when (Escobar, Moreno, & Múnera, 2013). Since the financial market, as a complex system, involves a high number of interacting participants to maximize profits.…”

Section: Introductionmentioning

confidence: 99%

“…Since the financial market, as a complex system, involves a high number of interacting participants to maximize profits. However, financial markets are influenced by other factors such as politics, culture, and even macroeconomics news (Lan, Zhang, & Xiong, 2011), (Escobar et al, 2013) and (Scholtus, Van Dijk, & Frijns, 2014).…”

Section: Introductionmentioning

confidence: 99%

HUELUM Trading System: A Low-Frequency Algorithm Proposal

Preciado

Aké

Ríos

2019

REMEF

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El objetivo del presente trabajo es construir un conjunto de estrategias de trading para capturar la persistencia y memoria de series financieras. Se propone un sistema de trading de baja frecuencia llamado HUELUM, mismo que es probado con el Exchange Traded Fund (EFT) iShares NAFTRAC para precios diarios. La principal contribución de este trabajo es que el sistema de trading HUELUM tiene la capacidad de adaptarse al NAFTRAC, capturando su comportamiento, tendencia y persistencia. El sistema HUELUM es validado a través de un análisis de ventanas móviles, además de que funciona con cualquier activo financiero que registre precios de tipo apertura, máximo, mínimo y cierre (OHLC, por sus siglas en inglés). Cuando nos encontramos en un mercado con poca liquidez y profundidad, HUELUM proporciona señales precisas de compra y venta comparada con una estrategia de buy & hold, asimismo, el sistema de trading propuesto permite la cobertura ante potenciales pérdidas de inversión.

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“…Technicians also look for relationships between price/volume indices and market indicators. Technical analysis involves predicting stock price using technical indicators like SMA, EMA, RSI and MACD [4,11].…”

Section: Introductionmentioning

confidence: 99%

Classification and Prediction of Stock Market Index Based on Fuzzy Metagraph

Anbalagan¹,

Maheswari²

2015

Procedia Computer Science

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Stock market price forecasting is one of the challenging tasks due to the difficulty in predicting the non-linear and non-stationary time series data. In this paper a Fuzzy Metagraph (FM) based stock market decision making, classification and prediction are proposed for short term investors of Indian stock market. Simple Moving Average (SMA), Exponential Moving Average (EMA), Moving Average Convergence Divergence (MACD) and Relative Strength Index (RSI) are some of the Technical Indicators which are used as input to train the system which is integrated with Fuzzy Metagraph. This approach of incorporating FM with SMA, MACD and RSI would be a new attempt in classification and prediction on share market investment. Stocks listed in Bombay Stock Exchange (BSE) in India are used to evaluate the performance of the system. The results obtained from the proposed FM based model are found to be satisfactory with very low risk error.

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A Technical Analysis Indicator Based On Fuzzy Logic

Cited by 28 publications

References 11 publications

A stock market trading system based on foreign and domestic information

A stock market trading system based on foreign and domestic information

HUELUM Trading System: A Low-Frequency Algorithm Proposal

Classification and Prediction of Stock Market Index Based on Fuzzy Metagraph

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