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

Volume

1

fYear

2011

fDate

10-13 July 2011

Firstpage

189

Lastpage

194

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;

fLanguage

English

Publisher

ieee

Conference_Titel

Machine Learning and Cybernetics (ICMLC), 2011 International Conference on

Conference_Location

Guilin

ISSN

2160-133X

Print_ISBN

978-1-4577-0305-8

Type

conf

DOI

10.1109/ICMLC.2011.6016678

Filename

6016678