Designing and evaluating the profitability of linear trading system based on the technical analysis and correctional property

Advances in Mathematical Finance and Applications

مقاله 3، دوره 7، شماره 1، فروردین 2022، صفحه 49-63   

نوع مقاله: Research Paper

شناسه دیجیتال (DOI): 10.22034/amfa.2021.1906285.1474

نویسندگان

CharaghAli Bakhtiyari Asl¹؛ Sayyed Mohammad Reza Davoodi^{* 2}؛ Abdolmajid Abdolbaghi Ataabadi³

¹PhD student of Financial Engineering, Dehaghan Branch, Islamic Azad University, Dehaghan, Iran.

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

³management, Industrial Engineering and Management Sciences, shahrood university of technology

چکیده

Traders in the capital market always seek methods to make full use of available information and combine them to find the best buying and selling strategy. The present study uses a linear hybrid system to combine 106 signals from moving averages oscillators and RSI signals in the technical analysis along with two buy and sell bonds. In addition, the system has correctional property and modifies its parameters over time and according to new information. The result of the research on the Tehran Exchange overall index in the period 1380 to 1397 indicates that the system after the optimal training on training data has an average of daily returns of 0/0025, 0/0048 risk, and a daily Sharp ratio of 0/52, which is better than the individual performance of each signal and market performance in daily average return and sharp ratio criterion.

کلیدواژه‌ها

Corrective property؛ Fuzzy inference system؛ Oscillators؛ PSO

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