Title :
Adaptive parameter forecasting for FOREX automatic trading system using fuzzy time series
Author :
Maneesilp, Kraimon ; Kruatrachue, Boontee ; Sooraksa, Pitikhate
Author_Institution :
Fac. of Eng., King Mongkut´´s Inst. of Technol., Bangkok, Thailand
Abstract :
Efficiency of FOREX automatic trading system via technical indicator depends on suitability of its parameters. Using parameter forecasting with fuzzy time series is a simple and efficient solution. But its effectiveness depends on the similarities of the time series pattern to learn and to forecast which represent in the form of fuzzy relationship. This paper presents a method for time-varying fuzzy relationship. The forgetting factor allows the system to perform better in all time periods. Effects of the length of time series on forecasting the performance of the system, as well as those of profits derived from various methods on predicting the trading decisions in real markets are studied.
Keywords :
economic forecasting; foreign exchange trading; fuzzy set theory; time series; FOREX automatic trading system; adaptive parameter forecasting; fuzzy time series; time-varying fuzzy relationship; trading decisions; Cybernetics; Forecasting; Investments; Machine learning; Mathematical model; Predictive models; Time series analysis; Foreign exchange forecasting; Foreign exchange trading; Forgetting factor; Fuzzy time series;
Conference_Titel :
Machine Learning and Cybernetics (ICMLC), 2011 International Conference on
Conference_Location :
Guilin
Print_ISBN :
978-1-4577-0305-8
DOI :
10.1109/ICMLC.2011.6016678
