The Effectiveness of the Automatic System of Fuzzy Logic-Based Technical Patterns Recognition: Evidence from Tehran Stock Exchange

Advances in Mathematical Finance and Applications

مقاله 8، دوره 4، شماره 3، مهر 2019، صفحه 107-125   

نوع مقاله: Research Paper

شناسه دیجیتال (DOI): 10.22034/amfa.2019.585179.1185

نویسندگان

Abdolmajid Abdolbaghi Ataabadi¹؛ Sayyed Mohammad Reza Davoodi^{* 2}؛ Mohammad Salimi Bani³

¹Department of Management, Industrial Engineering, Amp and Management Sciences, Shahrood University of Technology

²Department of Management ,Dehaghan Branch, Islamic Azad University, Dehaghan, Iran.

³Department of Financial Engineering, Dehaghan Branch, Islamic Azad University, Dehaghan, Iran.

چکیده

The present research proposes an automatic system based on moving average (MA) and fuzzy logic to recognize technical analysis patterns including head and shoulder patterns, triangle patterns and broadening patterns in the Tehran Stock Exchange. The automatic system was used on 38 indicators of Tehran Stock Exchange within the period 2014-2017 in order to evaluate the effectiveness of technical patterns. Having compared the conditional distribution of daily returns under the condition of the discovered patterns and the unconditional distribution of returns at various levels of confidence driven from fuzzy logic with the mean returns of all normalized market indicators, we observed that in the desired period, after recognizing the pattern, all patterns investigated at the confidence level 0.95 with a fuzzy point 0.5 contained useful information, practically leading to abnormal returns.

کلیدواژه‌ها

Technical patterns؛ pattern recognition؛ moving average؛ fuzzy logic

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