Designing and evaluating the profitability of linear trading system based on the technical analysis and correctional property

Traders in the capital market always seek methods to make full use of available information and combine them to find the best buying and selling strategy. The present study uses a linear hybrid system to combine ۱۰۶ signals from moving averages oscillators and RSI signals in the technical analysis along with two buy and sell bonds. In addition, the system has correctional property and modifies its parameters over time and according to new information. The result of the research on the Tehran Exchange overall index in the period ۱۳۸۰ to ۱۳۹۷ indicates that the system after the optimal training on training data has an average of daily returns of ۰/۰۰۲۵, ۰/۰۰۴۸ risk, and a daily Sharp ratio of ۰/۵۲, which is better than the individual performance of each signal and market performance in daily average return and sharp ratio criterion.

Keywords:

Corrective property , Fuzzy Inference System , Oscillators , PSO