Fuzzy modeling of stock trading with fuzzy candlesticks

作者：

Highlights：

• A methodology to model trading rules for candlestick patterns using fuzzy logic.

• The fuzzy trading system adapts three well-known candlestick patterns to fuzzy rules.

• The fuzzy system performance is tested in two portfolios from different stock markets.

• The fuzzy system is more profitable than a crisp version of the candlestick rules.

• The fuzzy trading is more risk averse than the Buy and Hold (B&H) strategy used as benchmark.

摘要

•A methodology to model trading rules for candlestick patterns using fuzzy logic.•The fuzzy trading system adapts three well-known candlestick patterns to fuzzy rules.•The fuzzy system performance is tested in two portfolios from different stock markets.•The fuzzy system is more profitable than a crisp version of the candlestick rules.•The fuzzy trading is more risk averse than the Buy and Hold (B&H) strategy used as benchmark.

论文关键词：Trading,Fuzzy logic,Candlesticks,Forecasting,Pattern recognition,Stock market

论文评审过程：Received 25 February 2017, Revised 31 August 2017, Accepted 1 October 2017, Available online 3 October 2017, Version of Record 12 October 2017.

论文官网地址：https://doi.org/10.1016/j.eswa.2017.10.002