An Automated Trading System with Multi-indicator Fusion Based on D-S Evidence Theory in Forex Market

Trading automation is a hotspot in the field of financial research. The key to an automated trading system is the buy & sell rule. Various technical indicators have been studied and developed to generate the trading signal of buy and sell. Each indicator has its advantage and disadvantage. Single indicator often produces false signal which may cause loss. In order to promote quality and reliability of trading signal, this paper present a method to fuse multiple indicators based on D-S theory. Some classical indicators including MACD, RSI, CCI and are selected to be fused. A corresponding trading strategy back testing on Euro vs US dollar in 2008s is done to validate the effectiveness of this method compared with using single indicator.