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An Intelligent Trading System with Fuzzy Rules and Fuzzy Capital Management

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Naranjo, Rodrigo y Meco, Albert y Arroyo Gallardo, Javier y Santos Peñas, Matilde (2015) An Intelligent Trading System with Fuzzy Rules and Fuzzy Capital Management. International Journal of Intelligent Systems, 30 (8). pp. 963-983. ISSN 1098-111X

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URL Oficial: http://onlinelibrary.wiley.com/doi/10.1002/int.21734/abstract



Resumen

In this work we are proposing a trading system where fuzzy logic is applied not only for defining the trading rules, but also for managing the capital to invest. In fact, two fuzzy decision support systems are developed. The first one uses fuzzy logic to design the trading rules and to apply the stock market technical indicators. The second one enhances this fuzzy trading system adding a fuzzy strategy to manage the capital to trade. Additionally, a new technical market indicator that produces short and long entry signals is introduced. It is based on the MACD (Moving Average Convergence Divergence) indicator. Its parameters have been optimized by genetic algorithms. The proposals are compared to a classical non-fuzzy version of the pro-posed trading systems and to the Buy-and-Hold strategy. Results favor our fuzzy trading system in the two markets considered, NASDAQ100 and EUROSTOXX. Conclusions suggest that the use of fuzzy logic for capital management is promising and deserves further exploration


Tipo de documento:Artículo
Palabras clave:Trading, Fuzzy logic, Decision making, Optimal-F, Capital management
Palabras clave (otros idiomas):
Materias:Ciencias > Informática > Inteligencia artificial
Ciencias > Informática > Sistemas expertos
Código ID:30730
Depositado:08 Jun 2015 11:10
Última Modificación:11 Abr 2016 23:01

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