Embedding Four Medium-Term Technical Indicators to an Intelligent StockTrading Fuzzy System for Predicting: A Portfolio Management Approach

摘要

This paper utilizes a small number of coherent trend-following technical indicators with similar characteristics, but constructed with a different philosophy, in order to predict the movement of a stock market (the Athens Stock Exchange-ASE). Each one of them produces independent buy/sell signals which are used by a previously strict classic trading strategy that has been transformed appropriately to promote the subjectivity and fuzziness. These signals act as inputs to an appropriately designed fuzzy system, which makes a medium-term prediction regarding the optimum level (percent) of the investor's portfolio which should be invested. The performance of the model for the 1997-2012 period is excessively superior from the buy and hold (B&H) strategy and the interest gained from saving bank accounts, even after the subtraction of the trading costs. The results are very convincing, even when the testing period is divided into a number of bull and bear market sub periods.