The application of Fuzzy Sets in finding the Best Stock-Rule Pairs

Stock markets are playing more and more important role in our daily life and research. But, many problems also emerged with the development of the markets. Such as: how to find the best stocks and trading rules to make more profit, etc. Many other researchers have done some work to solve the problems, but, they concerned on how to find a best rule for all stocks, or a best stock for any rules to make profit. In this paper, we pay our attention on finding the best stock-rule pairs which can make more successful in stock market. Firstly, we create a table for stock and trading rule pairs. Secondly, we test every stock-rule pair and divide the stocks into different rule set for the better evaluation results (higher Sharpe ratio, etc). Every element in a set with a weight is the "Sharpe ratio". Finally, we can give the users suggestions according to the stock-rule set which has a fuzzy weight.