RT Journal Article
T1 An Intelligent Trading System with Fuzzy Rules and Fuzzy Capital Management
A1 Naranjo, Rodrigo
A1 Meco, Albert
A1 Arroyo Gallardo, Javier
A1 Santos Peñas, Matilde
AB 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
PB Wiley
SN 1098-111X
YR 2015
FD 2015-04-11
LK https://hdl.handle.net/20.500.14352/24032
UL https://hdl.handle.net/20.500.14352/24032
LA eng
NO Ministerio de Ciencia e Innovación (MICINN)
DS Docta Complutense
RD 6 may 2024