A new concept of the multicriteria fuzzy trading system
using the technical analysis is proposed. The existing trading systems use different indicators of the technical analysis and generate buy or sell signal only when assumed
conditions for a given indicator are satisfied. The information presented to the trader – decision maker is binary.
The decision maker obtains a signal or no. In comparison to the existing traditional systems called as crisp, the
proposed system treats all considered indicators jointly
using the multicriteria approach and the binary information is extended with the use of the fuzzy approach. Currency pairs are considered as variants in the multicriteria
space in which criteria refer to different technical indicators. The introduced domination relation allows generating the most efficient, non‐dominated (Pareto optimal)
variants in the space. An algorithm generated these non-dominated variants is proposed. It is implemented in a
computer‐based system assuring the sovereignty of the
decision maker.
We compare the proposed system with the traditional
crisp trading system. It is made experimentally on different sets of real‐world data for three different types of
trading: short‐term, medium and long‐term trading. The
achieved results show the computational efficiency of the
proposed system. The proposed approach is more robust
and flexible than the traditional crisp approach. The set
of variants derived for the decision maker in the case of
the proposed approach includes only non‐dominated variants, what is not possible in the case of the traditional
crisp approach. The reservation point and its impact on
the overall results are measured with the use of the sensitivity analysis.
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