Interpretable Forex trading models based on new technical analysis indicators and fuzzy multi-criteria optimization

IF 3.2 1区数学 Q2 COMPUTER SCIENCE, THEORY & METHODS

Fuzzy Sets and Systems Pub Date : 2025-03-17 DOI:10.1016/j.fss.2025.109371

Pavel Sevastjanov , Krzysztof Kaczmarek , Ludmila Dymova , Leszek Rutkowski

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引用次数: 0

Abstract

New technical analysis indicators based on the use of complete information about Candles (Opening, Low, High, Closing prices and Volumes) and mathematical tools of fuzzy set theory have been developed and tested. They were directly focused on profit forecasting and returning the relative strength of trading signals. Using them, a set of new technical analysis indicators was developed and studied, based on a fuzzy multi-criteria aggregation of developed particular indicators. Based on these results, a set of highly profitable and reliable new interpretable Forex trading models based on fuzzy multi-criteria aggregation of model output parameters and new technical analysis indicators was developed and tested. It is shown that these models are significantly superior to the traditional ones based on a single-criteria approach. The results obtained provide an opportunity to develop trading models based on a portfolio based approach in the Forex market. The article may be of interest mainly to researchers and Automatic Trading Systems developers, especially using the most popular Meta Trader 4 platform with about 16 million users (traders) in 2024 year.

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来源期刊

Fuzzy Sets and Systems 数学-计算机：理论方法

CiteScore

6.50

自引率

17.90%

发文量

321

审稿时长

6.1 months

期刊介绍： Since its launching in 1978, the journal Fuzzy Sets and Systems has been devoted to the international advancement of the theory and application of fuzzy sets and systems. The theory of fuzzy sets now encompasses a well organized corpus of basic notions including (and not restricted to) aggregation operations, a generalized theory of relations, specific measures of information content, a calculus of fuzzy numbers. Fuzzy sets are also the cornerstone of a non-additive uncertainty theory, namely possibility theory, and of a versatile tool for both linguistic and numerical modeling: fuzzy rule-based systems. Numerous works now combine fuzzy concepts with other scientific disciplines as well as modern technologies. In mathematics fuzzy sets have triggered new research topics in connection with category theory, topology, algebra, analysis. Fuzzy sets are also part of a recent trend in the study of generalized measures and integrals, and are combined with statistical methods. Furthermore, fuzzy sets have strong logical underpinnings in the tradition of many-valued logics.