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Fuzzy trading system on the forex market for deriving the portfolio of instruments

Juszczuk Przemysław, Kruś Lech

Control and Cybernetics

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2022

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Vol. 51, No. 4

467--486

EN

Decision support and trading systems for the forex market mostly derive a single signal for the decision-maker. This is so, because instruments are evaluated based on a single criterion, which creates a ranking of instruments, from which the best one is selected. At the same time, one can observe a lack of tools al- lowing one to derive the set of non-dominated trading opportunities considered in the multicriteria space. This article focuses on multicriteria analysis, in which several different market indicators describe a single instrument on the forex market (currency pair), leading to definite criteria. Thus, for a given time horizon, we consider a set of currency pairs described by a group of technical market indicators in every trading session. However, instead of deriving crisp information, based on the buy-no buy binary logic, we use concepts from the fuzzy sets theory, in which each criterion for a single variant takes a value from the h0, 1i interval. We select only the non-dominated variants from such a set, which will be used as elements of the portfolio of currency pairs on the forex market. We test our idea on the real-world data covering more than ten years, several technical market indicators, and over twenty different currency pairs. The preliminary results show that the proposed idea can be treated as a promising concept for deriving a portfolio of currency pairs instead of focusing on only a single currency pair.

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Supporting decisions on the Forex market using fuzzy approach

Juszczuk Przemysław, Kruś Lech

Journal of Automation Mobile Robotics and Intelligent Systems

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2020

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Vol. 14, No. 2

50--62

EN

A new concept of the multicriteria fuzzy trading system using the technical analysis is proposed. The existing trading systems use different indicators of the technical analysis and generate buy or sell signal only when assumed conditions for a given indicator are satisfied. The information presented to the trader – decision maker is binary. The decision maker obtains a signal or no. In comparison to the existing traditional systems called as crisp, the proposed system treats all considered indicators jointly using the multicriteria approach and the binary information is extended with the use of the fuzzy approach. Currency pairs are considered as variants in the multicriteria space in which criteria refer to different technical indicators. The introduced domination relation allows generating the most efficient, non‐dominated (Pareto optimal) variants in the space. An algorithm generated these non-dominated variants is proposed. It is implemented in a computer‐based system assuring the sovereignty of the decision maker. We compare the proposed system with the traditional crisp trading system. It is made experimentally on different sets of real‐world data for three different types of trading: short‐term, medium and long‐term trading. The achieved results show the computational efficiency of the proposed system. The proposed approach is more robust and flexible than the traditional crisp approach. The set of variants derived for the decision maker in the case of the proposed approach includes only non‐dominated variants, what is not possible in the case of the traditional crisp approach. The reservation point and its impact on the overall results are measured with the use of the sensitivity analysis.

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Wykorzystanie sztucznych sieci neuronowych przez przedsiębiorstwa eksportujące oraz importujące

Jasiński T.

Zarządzanie Przedsiębiorstwem

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2014

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Vol. 17, nr 1

37--40

EN

The paper raises issues of the use of artificial intelligence in the enterprise. The focus was on the possibility of using artificial neural networks to accurately predict the behavior of the time series relevant to the economic activities based on the export and import. In particular, the paper describes the practical possibilities for time series forecasting such as foreign exchange rates. Researches focused on predicting of slope of linear regression, to determinate the direction of exchange rate changes. Artificial neural networks, tested during researches, included two types of models. First one was a simple neural network model, containing only a one network. Second one was a more complex model containing at least a few networks. These networks were used for predicting a part of output variable. To obtained mentioned parts during researches was used multiresolution analysis based on discrete wavelet trans- form. During researches a lot of versions of multiresolution analysis were tested. Finally, as the best one, was chosen the discrete wavelet transform based on the biorthogonal 6/8 wavelet. The paper describes also a type of model input variables, considering a frequency of their changes. It shows advantages and disadvantages of macroeconomic data and technical analysis. The article describes main and the most useful types of moving averages, such as simple moving average, exponential moving average, weighted moving average and VI- DYA (Variable Index Dynamic Average). The paper mentions other type of input variable, especially such indicators as RSI and MACD and their modifications. The final evaluation of the models was carried out based on a simple trading system. Thus was confirmed the useful- ness of the results in practical applications. During the analysis of the obtained results, was used the method of sliding window.

4

Zastosowanie syntezy logiki rozmytej i teorii Dempstera-Shafera w systemie transakcyjnym

Kaczmarek K.

Metody Informatyki Stosowanej

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2011

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nr 3

77-90

EN

As a result of rapid technological development of IT industry, traders are now equipped with a number of systems supporting their work. The paper presents the developed transaction-based strategy based on the synthesis of fuzzy logic and Dempster-Shafer theory taking into account two different sources of evidence: oscillators and technical analysis indicators determining the strength of the current trend. The developed strategy was implemented in the form of information trading system and optimized using real data from the foreign exchange market (Forex). The system’s efficacy has been proved (tested after optimization stage) using the quotation of prices of the currency pairs EURUSD and GBPUSD (from 01.07.2010 to 30.04.2011). The advantage of the system is that it generates a large number of trading signals, that allows us for an active participation in the market and a very quick closing bad positions. The studies showed that the strategy for the transaction is highly effective (over 70% accurate decisions).