A Fuzzy Multicriteria Approach for the Trading Systems on the Forex Market

The paper relates to the trading systems supporting traders ma- king decision on the forex market. Typical trading systems using tech- nical analysis generate a buy or sell signal when the technical indicator crosses a given oversell or overbought levels. The paper extends the approach in which the above strict crisp conditions are replaced by fuzzy relations. The indicators are treated not independently as it is in the typical systems but jointly. Currency pairs are compared in the muliticriteria space in which each criterion is dened by a membership function referring to a given indicator. New formulations of the mem- bership functions for dierent indicators are proposed. General ideas of the algorithm generating non-dominated alternatives in the multi- criteria space are presented. The algorithm has been implemented in an experimental system. Computational results for dierent time win- dows using real-world data from the forex market are presented and discussed.