Supporting trading strategies by inverse fuzzy transform
Trading in finance requires to define strategies able to identify early trading buy/sell signals, i.e., conditions which suggest to enter or exit a position, in order to exploit early mover advantage. Trading signals are generally identified by looking at the time series of prices and volumes. Several technical analysis indicators and strategies have been proposed and are commonly in use. In this paper we propose inverse fuzzy transform as a means for building a new class of technical indicators. Experimental results show that this approach outperforms simple and exponential moving average when embedded in common strategies. (C) 2011 Elsevier B.V. All rights reserved.
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