A new approach for combining multi-criteria trading decision models

The adverse financial market conditions make different single trading decision models face lack of robustness and trading decisions become more risky. In order to overcome this difficulty, a combination of several single decision models is proposed. The proposed model is formulated as a multi-criteria optimization model (maximizing the net profit and minimizing the maximum drawdown) to be solved for the contribution ratio of each trading decision model component in the trading decision pool. It has been demonstrated that the proposed strategy of combining different trading decision models results in noticeable increase of profit as well as considerable decrease in the maximum drawdown.