Horizontal Generalization Properties of Fuzzy Rule-Based Trading Models

نویسندگان

  • Célia da Costa Pereira
  • Andrea Tettamanzi
چکیده

We investigate the generalization properties of a data-mining approach to single-position day trading which uses an evolutionary algorithm to construct fuzzy predictive models of financial instruments. The models, expressed as fuzzy rule bases, take a number of popular technical indicators on day t as inputs and produce a trading signal for day t+ 1 based on a dataset of past observations of which actions would have been most profitable. The approach has been applied to trading several financial instruments (large-cap stocks and indices), in order to study the horizontal, i.e., cross-market, generalization capabilities of the models.

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تاریخ انتشار 2008