Quantified moving average strategy of crude oil futures market based on fuzzy logic rules and genetic algorithms

摘要

Abstract The moving average strategy is a technical indicator that can generate trading signals to assist investment. While the trading signals tell the traders timing to buy or sell, the moving average cannot tell the trading volume, which is a crucial factor for investment. This paper proposes a fuzzy moving average strategy, in which the fuzzy logic rule is used to determine the strength of trading signals, i.e., the trading volume. To compose one fuzzy logic rule, we use four types of moving averages, the length of the moving average period, the fuzzy extent, and the recommend value. Ten fuzzy logic rules form a fuzzy set, which generates a rating level that decides the trading volume. In this process, we apply genetic algorithms to identify an optimal fuzzy logic rule set and utilize crude oil futures prices from the New York Mercantile Exchange (NYMEX) as the experiment data. Each experiment is repeated for 20 times. The results show that firstly the fuzzy moving average strategy can obtain a more stable rate of return than the moving average strategies. Secondly, holding amounts series is highly sensitive to price series. Thirdly, simple moving average methods are more efficient. Lastly, the fuzzy extents of extremely low, high, and very high are more popular. These results are helpful in investment decisions. Highlights