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Designing and Investigating the Profitability of Fuzzy Inference Trading System based on Technical Signals and Corrective Property

عنوان مقاله: Designing and Investigating the Profitability of Fuzzy Inference Trading System based on Technical Signals and Corrective Property
شناسه ملی مقاله: JR_IJFIFSA-4-1_005
منتشر شده در در سال 1399
مشخصات نویسندگان مقاله:

- - - PhD Candidate of Financial Engineering, Department of Management, Dehaghan Branch, Islamic Azad University, Dehaghan, Iran.
- - - Assistant Prof., Department of Management, Dehaghan Branch, Islamic Azad University, Dehaghan, Iran.
- - - Assistant Prof of Finance, Department of Management, Shahrood University of Technology, Shahrood, Iran.

خلاصه مقاله:
Technical analysis is constituted as an approach in the market analysis which is based on the study of pricing behavior and shares size in the past and price determination and its procedure in the future. Algorithmic transactions are growing rapidly in order to automate business strategies, given the arrival of computer-based technologies and the rapid processing of bulky information. Trading systems combine input information and ultimately identify the time of purchase and sale by forming one signal. In this paper, the training system is a kind of fuzzy inference system that combines fuzzified RSI and SO signals from technical analysis. The system’s trade rules database (selling, buying, and holding) would be calculated based on an optimization process using PSO. This optimization process should be repeated at certain intervals to keep the system up to date. This process is called the corrective property of systems. The findings on the overall index in the period ۲۰۰۱/۳/۲۱-۲۰۱۹/۳/۲۰ indicate that the system having optimized training on training data has an average daily return of /۰۰۲۷, risk-taking of /۰۰۶۵ and the daily sharp ratio of /۴۲. Concerning the index of return and sharp ratio, the findings reveal that the system outperforms the signals and the market performance.

کلمات کلیدی:
Corrective property, Fuzzy inference system, Oscillators, PSO

صفحه اختصاصی مقاله و دریافت فایل کامل: https://civilica.com/doc/1428468/