A hybrid stock trading system for intelligent technical analysis-based equivolume charting

This paper presents the use of an intelligent hybrid stock trading system that integrates neural networks, fuzzy logic, and genetic algorithms techniques to increase the efficiency of stock trading when using a volume adjusted moving average (VAMA), a technical indicator developed from equivolume charting. For this research, a neuro-fuzzy-based genetic algorithm (NF-GA) system utilizing a VAMA membership function is introduced. The results show that the intelligent hybrid system takes advantage of the synergy among these different techniques to intelligently generate more optimal trading decisions for the VAMA, allowing investors to make better stock trading decisions.

[1]  Michael Negnevitsky,et al.  Artificial Intelligence: A Guide to Intelligent Systems , 2001 .

[2]  Michio Sugeno,et al.  Industrial Applications of Fuzzy Control , 1985 .

[3]  Steven B. Achelis.  Technical Analysis from A to Z : Covers Every Trading Tool... from the Absolute Breadth Index to the Zig Zag , 2000 .

[4]  Lawrence Davis,et al.  Genetic Algorithms and Simulated Annealing , 1987 .

[5]  Chin-Teng Lin,et al.  Neural fuzzy systems , 1994 .

[6]  Eberhard Schöneburg,et al.  Stock price prediction using neural networks : A project report , 2003 .

[7]  Goldberg,et al.  Genetic algorithms , 1993, Robust Control Systems with Genetic Algorithms.

[8]  Sheng-Tun Li,et al.  Knowledge discovery with SOM networks in financial investment strategy , 2004, Fourth International Conference on Hybrid Intelligent Systems (HIS'04).

[9]  Hussein Dourra,et al.  Investment using technical analysis and fuzzy logic , 2002, Fuzzy Sets Syst..

[10]  C. L. Karr,et al.  Fuzzy control of pH using genetic algorithms , 1993, IEEE Trans. Fuzzy Syst..

[11]  Jyh-Shing Roger Jang,et al.  ANFIS: adaptive-network-based fuzzy inference system , 1993, IEEE Trans. Syst. Man Cybern..

[12]  C. H. Chen,et al.  An intelligent stock trading decision support system through integration of genetic algorithm based fuzzy neural network and artificial neural network , 2001, Fuzzy Sets Syst..

[13]  Donald F. Specht,et al.  A general regression neural network , 1991, IEEE Trans. Neural Networks.

[14]  Elias N. Houstis,et al.  Neurofuzzy characterization of financial time series in an anticipatory framework , 1997, Proceedings of the IEEE/IAFE 1997 Computational Intelligence for Financial Engineering (CIFEr).

[15]  Michael A. H. Dempster,et al.  Computational learning techniques for intraday FX trading using popular technical indicators , 2001, IEEE Trans. Neural Networks.

[16]  J. Poterba,et al.  What moves stock prices? , 1988 .

[17]  Jing-Shing Yao,et al.  Applying Genetic Algorithms to Solve the Fuzzy Optimal Profit Problem , 2002, J. Inf. Sci. Eng..

[18]  Richard W. Arms.  Volume cycles in the stock market : market timing through equivolume charting , 1983 .

[19]  Ming Dong,et al.  Can Fuzzy Logic Make Technical Analysis 20/20? , 2004 .

[20]  M. Kosaka,et al.  Application Of Neural Network To Technical Analysis Of Stock Market Prediction , 2001 .

[21]  Sholom M. Weiss,et al.  Computer Systems That Learn , 1990 .

[22]  Madan M. Gupta,et al.  On the principles of fuzzy neural networks , 1994 .

[23]  David E. Goldberg,et al.  Genetic Algorithms in Search Optimization and Machine Learning , 1988 .

[24]  Chin-Teng Lin,et al.  Neural-Network-Based Fuzzy Logic Control and Decision System , 1991, IEEE Trans. Computers.

[25]  Francisco Herrera,et al.  Tuning fuzzy logic controllers by genetic algorithms , 1995, Int. J. Approx. Reason..

[26]  David Enke,et al.  Intelligent technical analysis based equivolume charting for stock trading using neural networks , 2008, Expert Syst. Appl..

[27]  Donald C. Wunsch,et al.  A fuzzy perspective towards technical analysis-case study of trend prediction using moving averages , 1999, Proceedings of the IEEE/IAFE 1999 Conference on Computational Intelligence for Financial Engineering (CIFEr) (IEEE Cat. No.99TH8408).

[28]  C. Tan,et al.  NEURAL NETWORKS FOR TECHNICAL ANALYSIS: A STUDY ON KLCI , 1999 .

[29]  Jonathan M. Garibaldi,et al.  Agent based genetic algorithm employing financial technical analysis for making trading decisions using historical equity market data , 2004 .

[30]  Franklin Allen,et al.  Using genetic algorithms to find technical trading rules , 1999 .

[31]  B. LeBaron,et al.  Simple Technical Trading Rules and the Stochastic Properties of Stock Returns , 1992 .

[32]  David Enke,et al.  Development and analysis of intelligent computation-based stock forecasting and trading systems , 2003 .

[33]  C. S. George Lee,et al.  Neural fuzzy systems: a neuro-fuzzy synergism to intelligent systems , 1996 .

[34]  Ebrahim H. Mamdani,et al.  An Experiment in Linguistic Synthesis with a Fuzzy Logic Controller , 1999, Int. J. Hum. Comput. Stud..

[35]  David E. Goldberg,et al.  Genetic and evolutionary algorithms come of age , 1994, CACM.

[36]  Russell L. Purvis,et al.  Stock market trading rule discovery using technical charting heuristics , 2002, Expert Syst. Appl..

[37]  D. E. Goldberg,et al.  Genetic Algorithms in Search , 1989 .

[38]  John H. Holland,et al.  Adaptation in Natural and Artificial Systems: An Introductory Analysis with Applications to Biology, Control, and Artificial Intelligence , 1992 .

[39]  Zoran Obradovic,et al.  Embedding Technical Analysis Into Neural Network Based Trading Systems , 1996, Appl. Artif. Intell..

[40]  Kevin M. Passino,et al.  Biomimicry for Optimization, Control and Automation , 2004, IEEE Transactions on Automatic Control.

[41]  Magne Setnes,et al.  Fuzzy modeling in stock-market analysis , 1999, Proceedings of the IEEE/IAFE 1999 Conference on Computational Intelligence for Financial Engineering (CIFEr) (IEEE Cat. No.99TH8408).

[42]  Simon Sosvilla-Rivero,et al.  Technical Analysis in the Madrid Stock Exchange , 1999 .

[43]  Rong-Jun Li,et al.  Forecasting stock market with fuzzy neural networks , 2005, 2005 International Conference on Machine Learning and Cybernetics.

[44]  Christopher J. Neely,et al.  Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach , 1996, Journal of Financial and Quantitative Analysis.