A Fuzzy Logic-Based Stock Market Trading Algorithm Using Bollinger Bands

2019 IEEE 11th International Conference on Humanoid, Nanotechnology, Information Technology, Communication and Control, Environment, and Management ( HNICEM ) Pub Date : 2019-11-01 DOI:10.1109/HNICEM48295.2019.9072734

Sandy C. Lauguico, R. Ii, Jonnel D. Alejandrino, Dailyne D. Macasaet, Rogelio Ruzcko Tobias, A. Bandala, E. Dadios

{"title":"A Fuzzy Logic-Based Stock Market Trading Algorithm Using Bollinger Bands","authors":"Sandy C. Lauguico, R. Ii, Jonnel D. Alejandrino, Dailyne D. Macasaet, Rogelio Ruzcko Tobias, A. Bandala, E. Dadios","doi":"10.1109/HNICEM48295.2019.9072734","DOIUrl":null,"url":null,"abstract":"Stock market price forecasting with the use of Technical Analysis is not precise Mathematics. Mostly, prediction is only based on probabilities supported by historical data and patterns. With these, several technical strategies were made by traders to produce signals on trading execution. This study proposes an algorithm that undergoes a certain trading strategy using three fuzzy logic controllers. Technical indicators such as candlestick parameters and Bollinger Bands (BB) were used for triggering the strength of buy, hold, and sell signals. Stock price data were gathered from a certain stock company. These data contain the opening and closing prices that are utilized for computing the BB. The raw and the computed values are the crisp input parameters for the Fuzzy Inference System (FIS). The membership functions were classified to very low, low, high, and very high levels depending on the input default parameters used by traders. Sets of rules were created fuzzy logically to produce signals indicating the strength of an execution recommendation. The system is implemented using NI LabVIEW and MATLAB, proving that the tests are yielding acceptable result of about 94.44%.","PeriodicalId":6733,"journal":{"name":"2019 IEEE 11th International Conference on Humanoid, Nanotechnology, Information Technology, Communication and Control, Environment, and Management ( HNICEM )","volume":"42 1","pages":"1-6"},"PeriodicalIF":0.0000,"publicationDate":"2019-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"17","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"2019 IEEE 11th International Conference on Humanoid, Nanotechnology, Information Technology, Communication and Control, Environment, and Management ( HNICEM )","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/HNICEM48295.2019.9072734","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}

引用次数: 17

Abstract

Stock market price forecasting with the use of Technical Analysis is not precise Mathematics. Mostly, prediction is only based on probabilities supported by historical data and patterns. With these, several technical strategies were made by traders to produce signals on trading execution. This study proposes an algorithm that undergoes a certain trading strategy using three fuzzy logic controllers. Technical indicators such as candlestick parameters and Bollinger Bands (BB) were used for triggering the strength of buy, hold, and sell signals. Stock price data were gathered from a certain stock company. These data contain the opening and closing prices that are utilized for computing the BB. The raw and the computed values are the crisp input parameters for the Fuzzy Inference System (FIS). The membership functions were classified to very low, low, high, and very high levels depending on the input default parameters used by traders. Sets of rules were created fuzzy logically to produce signals indicating the strength of an execution recommendation. The system is implemented using NI LabVIEW and MATLAB, proving that the tests are yielding acceptable result of about 94.44%.

查看原文本刊更多论文

基于模糊逻辑的布林带股票交易算法

运用技术分析进行股票市场价格预测并不是精确的数学。大多数情况下，预测只是基于历史数据和模式支持的概率。有了这些，交易者制定了一些技术策略来产生交易执行的信号。本研究提出了一种使用三个模糊逻辑控制器来经历特定交易策略的算法。烛线参数和布林带(BB)等技术指标被用来触发买入、持有和卖出信号的强弱。股票价格数据是从某股票公司收集来的。这些数据包含用于计算BB的开盘价和收盘价。原始值和计算值是模糊推理系统(FIS)的清晰输入参数。根据交易者使用的输入默认参数，成员函数被分为非常低、低、高和非常高的级别。模糊逻辑地创建规则集，以产生指示执行建议强度的信号。系统在NI LabVIEW和MATLAB环境下实现，测试结果表明，系统的可接受率约为94.44%。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

2019 IEEE 11th International Conference on Humanoid, Nanotechnology, Information Technology, Communication and Control, Environment, and Management ( HNICEM )

自引率

0.00%

发文量