Paper Info
Title
An Intelligent Trading System with Fuzzy Rules and Fuzzy Capital Management
Abstract
AbstractIn 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 moving average convergence divergence indicator. Its parameters have been optimized by genetic algorithms. The proposals are compared to a classical nonfuzzy version of the proposed 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.
Year
DOI
Venue
2015
10.1002/int.21734
Periodicals
Field
DocType
Volume
Convergence (routing),Trading strategy,Fuzzy set operations,Computer science,Fuzzy logic,Artificial intelligence,Adaptive neuro fuzzy inference system,Stock market,Moving average,Genetic algorithm
Journal
30
Issue
ISSN
Citations 
8
0884-8173
3
PageRank 
References 
Authors
0.41
13
4
Name
Order
Citations
PageRank
Rodrigo Naranjo130.41
Albert Meco231.09
Javier Arroyo3112.31
Matilde Santos414324.39